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Informe Option Levels

Ene 13, 2023 | Option Levels | 0 Comentarios

Consumer price data came in as expected, and this resulted in some dovish price action.

The S&P 500 (INEX: SPX), after a volatile first hour, ended the day higher, short of our $4,000.00 Call Wall. Note that this was a level we said the index was likely to reach after Tuesday’s break above our $3,900.00 Volatility Trigger (bull/bear pivot). Beyond the $4,000.00 figure, $3,945.00 and $3,970.00 were held as major supports, today. We retrieved these levels via our Equity Hub tool.

Note: Inflections in the below chart of our Equity Hub often serve as important turning points.

Graphic: Retrieved from SpotGamma’s Equity Hub 1/12/2023.

After the market opened, there was a large decline in top-line measures of implied volatility (IV) such as the VIX. As we discussed, ahead of consumer price updates, traders sought protection or options, and this resulted in higher IV.

Short of anything unexpected, traders were expected to sell volatility after consumer price updates, which they did; consumer price data met expectations and traders sold their options which added a boost (i.e., delta hedging blows with respect to falling IV or bullish vanna flows).

In the AM Note, we quoted the 0 DTE at-the-money SPX straddle at $84.00 (reference: $3,970.00, IV = 75%). At the close, the straddle was priced at ~$13.00Short volatility turned out to be a great trade, as we expected.

Graphic: Retrieved from SpotGamma’s AM Note 1/12/2023.

We think the bullishness that was to boost the SPX into OPEX was spent. Bulls’ inability to close the SPX above $4,000.00 likely results in less bullishness over the coming days. Therefore, we think the $4,000.00-$4,100.00 area resists a far-reaching advance.

Traders may find more opportunities in depressed single stocks (e.g., Apple, Google, and Tesla). We say this in a nod to our post on the SPX up, VIX up phenomenon; traders’ fear of missing out on upside may result in call buying (and associated hedging) that boosts markets and bids IV.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3983 3969 397 11454 279
SG Implied 1-Day Move:: 1.08%, (±pts): 43.0 VIX 1 Day Impl. Move:1.2%
SG Implied 5-Day Move: 3.0% 3894 (Monday Ref Price) Range: 3777.0 | 4011.0
SpotGamma Gamma Index™: 0.57 0.57 -0.11 0.05 -0.00
Volatility Trigger™: 3915 3915 395 11190 273
SpotGamma Absolute Gamma Strike: 4000 4000 390 11275 280
Gamma Notional(MM): 214.0 134.0 -318.0 8.0 29.0
Put Wall: 3800 3800 380 10500 260
Call Wall : 4000 4000 410 11275 280
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3956 3971 399.0 10701.0 303
CP Gam Tilt: 1.17 1.08 0.89 1.76 1.02
Delta Neutral Px: 3950
Net Delta(MM): $1,552,498 $1,546,812 $162,081 $49,501 $86,502
25D Risk Reversal -0.05 -0.04 -0.04 -0.04 -0.04
Call Volume 624,412 624,412 1,827,522 9,329 1,026,994
Put Volume 919,804 919,804 3,089,669 9,126 1,115,677
Call Open Interest 5,845,956 5,845,956 6,813,753 67,915 4,983,063
Put Open Interest 10,387,937 10,387,937 12,726,959 60,494 6,660,952
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3850]
SPY: [400, 395, 390, 380]
QQQ: [285, 280, 270, 265]
NDX:[12000, 11500, 11275, 11000]
SPX Combo (strike, %ile): [(4159.0, 85.24), (4111.0, 95.89), (4087.0, 91.3), (4075.0, 89.3), (4059.0, 93.04), (4043.0, 75.47), (4039.0, 82.95), (4035.0, 89.02), (4023.0, 75.29), (4011.0, 98.08), (3983.0, 84.4), (3960.0, 79.91), (3860.0, 85.29), (3824.0, 86.06), (3808.0, 93.09)]
SPY Combo: [400.12, 410.04, 379.87, 404.88, 407.66]
NDX Combo: [11307.0, 10918.0, 11535.0, 11947.0, 11741.0]
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