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Informe Option Levels

Ene 4, 2023 | Option Levels | 0 Comentarios

Futures are higher to 3860 ahead of todays 2pm ET FOMC minutes. First resistance is at 3840-3850, then 3900. Above 3900 there remains a resistance gap to 4000. Large support lies at 3800, then 3766 (SPY 375).

Our core theme of grinding lower vs crashing higher remains in play (see yesterdays AM note), and today’s Minutes could be an interesting catalyst in that regard.

This is because FOMC minutes have been a source for volatility as of late, and we anticipate that being the case again, today. With that, ff the S&P can close >=3900 we think that invokes a test of the large 4000 gamma area by week end. Conversely, a close <=3800 likely leads to a test of the 3700 Put Wall. The key point here is that we believe that the S&P is likely to now dislodge from the 38xx’s.

The overarching theme here is that while markets seemed poised to rally yesterday, bad news from TSLA & AAPL served to clip that setup. However, that failed to materially frighten markets as the large 3800 support level held, and implied volatility remained contained. There was a small pickup in some IV measurements, for example the VIX and our Risk Reversal readings, but that appears be unwound this AM.

This price action is essentially that which has been on display for the last several weeks. Bears have been given every opportunity to drive price lower, but long put demand remains muted. As a result there seems to be a failure for material negative gamma to pick up.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3824 3839 380 10862 264
SG Implied 1-Day Move:: 1.28%, (±pts): 49.0 VIX 1 Day Impl. Move:1.44%
SG Implied 5-Day Move: 2.89% 3839 (Monday Ref Price) Range: 3729.0 | 3951.0
SpotGamma Gamma Index™: -0.93 -0.61 0.00 0.01 -0.06
Volatility Trigger™: 3840 3855 130 10825 265
SpotGamma Absolute Gamma Strike: 4000 4000 400 11275 265
Gamma Notional(MM): -496.0 -366.0 6.0 2.0 -472.0
Put Wall: 3700 3700 405 10500 260
Call Wall : 4000 4000 455 11275 271
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3913 3900 -25 10698.0 299
CP Gam Tilt: 0.73 0.79 2.11 1.17 0.69
Delta Neutral Px: 3937
Net Delta(MM): $1,339,831 $1,408,688 $2,107 $38,341 $78,484
25D Risk Reversal -0.05 -0.04 -0.04 -0.05 -0.05
Call Volume 488,698 512,338 1,906,635 8,940 799,560
Put Volume 892,814 1,000,641 2,349,922 9,893 861,313
Call Open Interest 5,248,810 5,373,115 119,019 58,639 4,567,472
Put Open Interest 9,673,237 9,477,592 48,347 54,070 5,834,801
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3850, 3800]
SPY: [455, 415, 405, 400]
QQQ: [280, 270, 265, 260]
NDX:[12000, 11500, 11275, 11000]
SPX Combo (strike, %ile): [(4000.0, 81.52), (3801.0, 95.08), (3786.0, 86.03), (3774.0, 90.51), (3751.0, 93.38), (3725.0, 83.08), (3702.0, 95.94), (3675.0, 76.81), (3648.0, 89.21)]
SPY Combo: [368.63, 378.54, 373.58, 375.87, 363.3]
NDX Combo: [11275.0, 10678.0, 10472.0]
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