Futures are up slightly to 3960. Key SG levels are again unchanged, with resistance at 3850, then 3900. Support shows at 3835, then 3800. Breaking 3775(SPY375 Put Wall) continues to mark the point at which “the bounce is gone”.
Core PCE & Durable Goods data are out this morning at 8:30AM ET, which could lead to volatility.
While there have been some fairly wide swings this week, the market continues to respect options levels and hold the 3775-3875 range outlined earlier this week. While everyone is focused on the 3835 JPM collar strike, yesterday was a good reminder that there are sizeable SPY positions, including the 375 Put Wall, which marked yesterdays low.
“Non-3835 strike” positions continue to fill into the current key range, as shown below in SPY. The gamma at these other strikes should continue to strengthen into next week, and therefore we continue to assign edge to markets holding the 3775-3875 range.
The major risk continues to lie on a break of the 3775 (SPY375 Put Wall) area, as we see dealers initiating negative gamma hedging under that strike. These dynamics were laid out on in Mondays AM note, and are still in play.
Finally, we wanted to direct everyone to the new Equity Put/Call ratio page. This figure looks at the put/call ratio for all single stocks (i.e. index/ETF are excluded), across ALL exchanges. The “record” put/call ratio being passed around is just for CBOE exchange. You can see that the ratio here is high, but far from March ’20 highs. Further, we included a put/call open interest ratio. As you can see that is nowhere near recent highs.
SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Ref Price: | 3822 | 3795 | 380 | 10956 | 266 |
SG Implied 1-Day Move:: | 1.24%, | (±pts): 47.0 | VIX 1 Day Impl. Move:1.38% | ||
SG Implied 5-Day Move: | 2.53% | 3851 (Monday Ref Price) | Range: 3754.0 | 3948.0 | ||
SpotGamma Gamma Index™: | -0.95 | -0.53 | -0.34 | 0.01 | -0.11 |
Volatility Trigger™: | 3830 | 3900 | 382 | 11250 | 276 |
SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 380 | 11275 | 270 |
Gamma Notional(MM): | -537.0 | -889.0 | -1688.0 | 2.0 | -786.0 |
Put Wall: | 3800 | 3800 | 375 | 11000 | 265 |
Call Wall : | 3835 | 3835 | 390 | 11275 | 273 |
Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Zero Gamma Level: | 3912 | 3942 | 388.0 | 10629.0 | 305 |
CP Gam Tilt: | 0.75 | 0.57 | 0.61 | 1.21 | 0.58 |
Delta Neutral Px: | 3907 | ||||
Net Delta(MM): | $1,413,362 | $1,270,910 | $166,748 | $37,323 | $86,740 |
25D Risk Reversal | -0.04 | -0.03 | -0.02 | -0.04 | -0.03 |
Call Volume | 637,321 | 554,067 | 2,850,729 | 7,756 | 1,006,903 |
Put Volume | 897,066 | 835,514 | 3,946,850 | 7,844 | 1,700,745 |
Call Open Interest | 5,487,135 | 5,335,494 | 7,290,838 | 54,721 | 4,916,995 |
Put Open Interest | 9,893,621 | 9,569,539 | 12,246,427 | 49,309 | 6,216,316 |
Key Support & Resistance Strikes: |
---|
SPX: [4000, 3900, 3850, 3800] |
SPY: [385, 382, 380, 375] |
QQQ: [280, 270, 265, 260] |
NDX:[12000, 11500, 11275, 11000] |
SPX Combo (strike, %ile): [(3999.0, 80.6), (3850.0, 76.77), (3834.0, 94.36), (3827.0, 80.63), (3815.0, 87.7), (3800.0, 97.19), (3792.0, 86.25), (3777.0, 87.97), (3762.0, 90.92), (3750.0, 95.98), (3712.0, 87.19), (3701.0, 96.21), (3674.0, 78.46), (3662.0, 86.95), (3651.0, 87.55)] |
SPY Combo: [378.44, 368.54, 373.49, 381.86, 374.63] |
NDX Combo: [10879.0, 10682.0, 11274.0, 11088.0, 10474.0] |