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Informe Option Levels

Ene 9, 2023 | Option Levels | 0 Comentarios

Futures are currently higher, near 3925. Key SG levels remain largely unchanged, with our major pivot level at 3910 (SPY 390 Call Wall), with resistance at 3950 & 4000 (SPX Call Wall). Support shows at 3870, 3860(SPY385) & 3850.

The bottom line here is that we have been on the lookout for a sharp rally in January (laid out here), and that a close above 3900 to generate that “risk on” signal. Friday we posted that we thought it would take 1-2 days to move into the 3900 area, and traders wouldn’t shift full “risk on” until digesting an update from Powell and/or the CPI.

Friday’s move did outpace our expectations, and we are looking for consolidation today around the 3900 level. As per the SPX plot below from Fridays AM note, we are bullish on a close over 3900 as there is little resistance until 4000. The trick here is Powell at 9AM ET tomorrow, which may inhibit bullish activity today as traders await his remarks.

In regards to that sharp rally on Friday (and per Fridays PM note), 0DTE call action was very heavy, particularly at the 3880-3900 strikes. We think this helped to drive the equity surge higher. For example, Over 150k total contracts traded at the 3900 strike on Friday, and >100k of those were for Fridays expiration.

Further, the fact that we do not see a shift higher in the SPY Call Wall (390) despite the ~2% rally on Friday suggests that longer term options traders were not aggressively positioning. Again, the challenge here for those with views >1 day is that markets have to contend with Powell’s speech tomorrow AM, and the CPI on Thursday, 1/12.

We think the cleanest thing to do here is to look at some longer dated calls. Its a guessing game as to how the market will react to Powell tomorrow, however we believe that given a dovish angle there could be a viscous rally with little resistance until 4000-4050. This presents a nice risk/reward, particularly if IV holds up into a rally due to a long call chase (i.e. VIX up, market up).

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3894 3898 388 11040 268
SG Implied 1-Day Move:: 1.25%, (±pts): 49.0 VIX 1 Day Impl. Move:1.33%
SG Implied 5-Day Move: 3.0% 3894 (Monday Ref Price) Range: 3777.0 | 4011.0
SpotGamma Gamma Index™: -0.14 -1.07 -0.18 0.03 -0.04
Volatility Trigger™: 3870 3855 388 11175 266
SpotGamma Absolute Gamma Strike: 4000 4000 390 11275 270
Gamma Notional(MM): -55.0 -6.0 -869.0 4.0 -334.0
Put Wall: 3700 3700 380 10500 260
Call Wall : 4000 4100 390 11275 270
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3926 3900 393.0 10710.0 299
CP Gam Tilt: 0.96 1.0 0.74 1.35 0.79
Delta Neutral Px: 3920
Net Delta(MM): $1,429,844 $1,479,519 $145,253 $41,439 $79,405
25D Risk Reversal -0.05 -0.04 -0.03 -0.05 -0.04
Call Volume 576,683 483,529 2,288,462 7,756 780,740
Put Volume 925,643 702,224 3,228,772 7,597 1,018,367
Call Open Interest 5,555,590 5,608,204 6,353,067 61,463 4,602,433
Put Open Interest 9,926,239 9,957,883 11,378,096 56,995 6,061,794
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3850]
SPY: [390, 385, 382, 380]
QQQ: [280, 270, 265, 260]
NDX:[12000, 11500, 11275, 11000]
SPX Combo (strike, %ile): [(4073.0, 74.81), (4066.0, 82.9), (4050.0, 78.81), (4030.0, 74.77), (3999.0, 93.68), (3976.0, 77.02), (3949.0, 86.97), (3925.0, 87.23), (3847.0, 78.88), (3816.0, 82.11), (3801.0, 94.04), (3773.0, 76.84), (3766.0, 75.97), (3750.0, 89.24), (3715.0, 77.72)]
SPY Combo: [378.77, 398.56, 373.72, 391.18, 393.51]
NDX Combo: [11272.0, 10676.0, 10886.0, 11085.0]
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