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Informe Option Levels

Ene 10, 2023 | Option Levels | 0 Comentarios

Futures have slid lower to 3890 ahead of Powell’s 9AM ET speech. Key SG levels are unchanged, with the exception of the Vol Trigger which is now at 3900. This helps to reinforce 3900 as the key bull/bear pivot line. By default our models are bullish while the SPX is > Vol Trigger, and bearish below. This syncs with our overall theme of a market breakout with a close >3900.

The major theme here is that a directional breakout is now likely to be reinforced by OPEX flows. A directional breakout involves a close >3900 or <3800. If traders do not get enough insights from Powell, then attention flips to Thursdays CPI, wherein this “directional breakout” remains in play.

Needless to say Powell should trigger a wide range of movement today. Particularly into 9AM liquidity will dry up (from low to anemic) and spreads widen out. This facilitates extreme moves which are often read as overreactions, which subsequently mean revert. Resistance is at 3915 (SPY 390), 3950, then 4000. Support shows at 3865, 3850, then 3815 (SPY 380).

While implied volatility is escalated in the short term for Powell & CPI, there remains little demand for longer term hedging. This theme is not new, but suggests that traders continue to be hyper focused on short term market gyrations and holding back on longer term positioning.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3892 3909 387 11108 270
SG Implied 1-Day Move:: 1.23%, (±pts): 48.0 VIX 1 Day Impl. Move:1.38%
SG Implied 5-Day Move: 3.0% 3894 (Monday Ref Price) Range: 3777.0 | 4011.0
SpotGamma Gamma Index™: -0.37 -0.14 -0.21 0.03 -0.06
Volatility Trigger™: 3915 3870 389 11090 272
SpotGamma Absolute Gamma Strike: 4000 4000 390 11275 270
Gamma Notional(MM): -182.0 70.0 -1060.0 5.0 -446.0
Put Wall: 3700 3700 380 10500 260
Call Wall : 4000 4000 410 11275 290
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3924 3912 393.0 10696.0 303
CP Gam Tilt: 0.9 1.04 0.69 1.46 0.74
Delta Neutral Px: 3918
Net Delta(MM): $1,466,567 $1,435,576 $149,928 $45,232 $82,515
25D Risk Reversal -0.05 -0.05 -0.04 -0.04 -0.04
Call Volume 587,401 576,683 2,222,172 15,400 859,619
Put Volume 916,151 925,643 3,356,341 10,947 1,180,703
Call Open Interest 5,676,329 5,555,590 6,539,285 66,252 4,696,940
Put Open Interest 10,026,010 9,926,239 11,829,339 58,777 6,341,065
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3850]
SPY: [400, 390, 385, 380]
QQQ: [280, 270, 265, 260]
NDX:[12000, 11500, 11275, 11000]
SPX Combo (strike, %ile): [(4075.0, 78.68), (4063.0, 83.56), (4052.0, 82.43), (4028.0, 76.14), (4001.0, 93.12), (3974.0, 77.4), (3951.0, 83.66), (3923.0, 78.88), (3849.0, 82.56), (3826.0, 80.05), (3814.0, 88.99), (3799.0, 94.85), (3764.0, 76.45), (3748.0, 89.63), (3725.0, 75.31), (3713.0, 74.74), (3701.0, 95.2)]
SPY Combo: [368.85, 378.55, 398.72, 373.51, 380.1]
NDX Combo: [11275.0, 10675.0, 10886.0]
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