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Informe Option Levels

Dic 23, 2022 | Option Levels | 0 Comentarios

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]
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