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Informe Option Levels

Ene 18, 2023 | Option Levels | 0 Comentarios

Futures are up fractionally to 4005. 4000 remains the major strike to watch, but there was a shift in our data as the SPX Call Wall moved from 4000, to 4050. The SPY Call Wall holds at 400 (SPX 4015). Based on this we now consider an SPX move > 4000-4015 as valid (vs seeing that as overbought yesterday).

This shift higher in the Call Wall indicates that the SPX can now grind/drift a bit higher, but we do not think there will be an explosive move up. For today we see large resistance levels as 4015 (SPY 400 equivalent), then 4023 and 4031.

Downside support shows at 3970, then 3963. Note that the Put Walls have shifted higher to 3900 in the SPX, and 395 in the SPY. Higher Put Walls are bullish indicators in the short term.

Our bottom line for today is we favor buying dips under 4000. From 4000-4050 is well supported due to gamma positioning, but price action should be low volatility drift. Over 4050 is considered overbought. Lastly, the “OPEX pin” in the 4k area is broken on a break of 395 SPY (3965 SPX).

We now see that Fridays OPEX has an heavy delta weighting to the call side, as shown below. Recall that last week we suggested single stocks could outperform the S&P, as the index was set for a grind this week due to OPEX.

While an extended run higher could be in the cards, we continue to think that there will be at least an initial consolidation post-OPEX based on IV/RV dynamics (read here) and a reduction in these call positions.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3990 3990 397 11557 281
SG Implied 1-Day Move:: 1.0%, (±pts): 40.0 VIX 1 Day Impl. Move:1.22%
SG Implied 5-Day Move: 2.76% 3998 (Monday Ref Price) Range: 3888.0 | 4109.0
SpotGamma Gamma Index™: 0.54 .71 -0.17 0.05 -0.01
Volatility Trigger™: 3970 3970 398 11190 280
SpotGamma Absolute Gamma Strike: 4000 4000 400 11275 280
Gamma Notional(MM): 161.0 260.0 -887.0 10.0 -85.0
Put Wall: 3900 3800 395 11000 260
Call Wall : 4050 4000 400 11275 290
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3987 3967 400.0 10874.0 301
CP Gam Tilt: 1.13 1.19 0.78 1.74 0.95
Delta Neutral Px: 3928
Net Delta(MM): $1,454,086 $1,492,511 $156,310 $52,075 $84,371
25D Risk Reversal -0.04 -0.04 -0.04 -0.05 -0.05
Call Volume 556,637 556,637 1,559,978 7,075 620,746
Put Volume 985,801 985,801 2,352,772 10,480 836,896
Call Open Interest 5,992,441 2,179,940 6,720,557 69,832 4,925,726
Put Open Interest 10,474,817 3,353,767 13,090,270 62,845 6,862,741
Key Support & Resistance Strikes:
SPX: [4050, 4000, 3950, 3900]
SPY: [400, 398, 395, 390]
QQQ: [285, 280, 275, 270]
NDX:[12000, 11600, 11500, 11275]
SPX Combo (strike, %ile): [(4174.0, 76.36), (4150.0, 87.75), (4098.0, 95.41), (4075.0, 91.77), (4067.0, 88.49), (4059.0, 76.13), (4051.0, 96.66), (4039.0, 78.02), (4031.0, 94.13), (4027.0, 92.25), (4011.0, 89.85), (4007.0, 80.88), (3999.0, 93.46), (3963.0, 85.73), (3911.0, 79.7), (3899.0, 92.14), (3851.0, 87.8), (3811.0, 79.62), (3799.0, 91.37)]
SPY Combo: [403.74, 408.51, 401.75, 398.57, 401.35]
NDX Combo: [11280.0, 11904.0, 11696.0, 11083.0, 11291.0]
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