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Informe Option Levels

Ene 5, 2023 | Option Levels | 0 Comentarios

Futures are up slightly to 3878. This morning the market contends with 8:30AM ET jobless claims, followed by Nonfarms tomorrow AM. Key SG levels remain unchanged, with major resistance holding at 390 SPY (3910 SPX). The pivot area holds in the 3945-3955 area (Vol Trigger/SPX 3950 & SPY 395 large gamma strikes), and large support persists at 3800.

Yesterdays SPX map we laid (here) remains in play for today, wherein we are stuck in the 3800 handle(s) neutral zone and need a spark. There should be a nice setup for a tradable swing once we tip out of this 38xx zone, until then we are lying in wait.

From a similar “neutral zone” perspective, IV is stuck. 1 month realized volatility (green line, lower chart) in the SPX is ~20, a level which has been the low for the past year. There is little reason to think that realized volatility would come down anytime soon, and this should therefore set a baseline for implied volatility.

Accordingly, you can see that ~20 level of volatility is more or less what is being priced in the future, as shown in the SPX term structure below. This implies that there isn’t much IV premium to sell.

While there are jobless claims numbers today, options traders have more attention on tomorrows Nonfarms and indicated by the IV premium (or backwardation). Following Nonfarms, focus will then shift immediately to Tuesdays CPI (1/12).

It seems that “in line” data points serve to just shift attention to the next macro figure as it may offer a glimpse into Fed policy. However, as you can see above, the rest of the term structure remains in a sleepy contango with IV’s that basically reflect that 20 realized volatility (i.e. there is no fear premium). We think this lack of premium simply reflects lack of long term (anything past 2-3 weeks) options demand, and trade is focused on the 0DTE gyrations. As we’ve noted ad nauseam, there is nothing that resembles fear in this market, but at the same time there isn’t upside demand, either.

We are currently a bit too far out in time from Jan OPEX for any material charm effect, and IV isn’t impressive enough here to offer much in the way of vanna. Barring any aberrant jobs data print, we continue to think downside price action is going to be met with mean reversion off of 3800 as traders seek to play 0DTE elevated IV’s. If we can break out over 3900, the lack of overhead call positioning could draw some new flows, and serve to pull forward Jan OPEX put-decay (i.e. Jan puts decline in value quickly as the move OTM).

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3852 3835 383 10914 265
SG Implied 1-Day Move:: 1.28%, (±pts): 49.0 VIX 1 Day Impl. Move:1.39%
SG Implied 5-Day Move: 2.89% 3839 (Monday Ref Price) Range: 3729.0 | 3951.0
SpotGamma Gamma Index™: -0.43 -0.94 -0.24 0.01 -0.07
Volatility Trigger™: 3845 3840 385 11225 265
SpotGamma Absolute Gamma Strike: 4000 4000 380 11275 265
Gamma Notional(MM): -312.0 -416.0 -1271.0 3.0 -490.0
Put Wall: 3800 3700 380 10500 260
Call Wall : 4000 4000 390 11275 271
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3913 3896 392.0 10669.0 300
CP Gam Tilt: 0.87 0.77 0.63 1.25 0.69
Delta Neutral Px: 3908
Net Delta(MM): $1,427,311 $1,343,983 $145,499 $38,591 $78,907
25D Risk Reversal -0.04 -0.05 -0.03 -0.04 -0.04
Call Volume 531,139 488,698 1,913,553 6,438 703,571
Put Volume 912,265 892,814 3,318,661 6,682 1,402,149
Call Open Interest 5,526,643 5,248,810 6,298,321 61,524 4,639,151
Put Open Interest 9,833,261 9,673,237 11,294,128 52,538 5,896,673
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3850, 3800]
SPY: [390, 385, 382, 380]
QQQ: [280, 270, 265, 260]
NDX:[12000, 11500, 11275, 11000]
SPX Combo (strike, %ile): [(3999.0, 87.4), (3926.0, 83.36), (3899.0, 81.29), (3826.0, 77.76), (3814.0, 89.76), (3799.0, 95.92), (3776.0, 82.72), (3764.0, 78.54), (3749.0, 92.53), (3726.0, 81.36), (3714.0, 79.62), (3699.0, 95.3), (3676.0, 78.21)]
SPY Combo: [378.39, 368.41, 373.4, 379.92, 398.34]
NDX Combo: [11275.0, 10675.0, 10882.0, 10478.0]
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