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Informe Option Levels

Sep 29, 2022 | Informe Option Levels, Option Levels | 0 Comentarios

Futures have contracted some to 3700. Levels are little changed, with resistance at 3720 (SPY 370), then 3747. Support shows at 3700, 3670 (SPY 365), then 3647.

TLDR: Time frames. We are still looking for a rally to start next month, but one needs to respect that we are not quite clear of the OPEX chop (see yesterday‘s note). We could continue to rise into Friday which is why we advised looking for call positions now, but the risk of a reversal today/tomorrow is also high off of positional OPEX flows. Should we get a pullback here, we would not “throw in the towel” on being long some calls into Oct OPEX.


Put selling, and short dated call buying were the primary driver of yesterdays rally. ~40% of yesterdays SPY/SPX/QQQ volume was tied to the shortest dated expirations. Rallies, in this situation, are not stable, and are subject to violent reversals. This is because, on net, put open interest increased for SPX/SPY, and much of this is very short dated.

These short dated positions create jump risk – similar to last weeks CPI reading (here) – but of a much smaller magnitude.

With Fridays expiration we should shed a meaningful amount of put positions which can help stabilize a rally for next week. This is why we are careful to note that we look for a rally into next week.

Currently we see the gamma at 9/30 expiration in SPY/QQQ at just over 20%, while SPX remains smaller, at 10%. Additionally, October 21 becomes the major expiration . The positions out in October monthly expiration are not quite as sensitive to market price move, so there should be less “jumpiness”.

To this point on jumpiness, 45k contracts of the 3850 JPM Collar put which expires tomorrow still sits there, and if markets suddenly gap significantly lower it energizes that put which can create large market pressure. We don’t see this happening today, but its an important dynamic to acknowledge should some headline catch traders off-guard.

You can see in the SPY Gamma chart below how the negative gamma rolls off (todays teal line shifts to the black line on Monday). This reduction in negative gamma should lead to reduced volatility into next week, which is part of the reason we look for a rally to start October.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3717 3734 370 11493 279
SG Implied 1-Day Move:: 1.25%, (±pts): 46.0 VIX 1 Day Impl. Move:1.91%
SG Implied 5-Day Move: 2.7% 3695 (Monday Ref Price) Range: 3595.0 | 3795.0
SpotGamma Gamma Index™: -1.50 -2.09 -0.39 0.01 -0.11
Volatility Trigger™: 4000 4000 390 11725 310
SpotGamma Absolute Gamma Strike: 4000 4000 370 11750 290
Gamma Notional(MM): -865.0 -825.0 -2015.0 0.0 -757.0
Put Wall: 3600 3600 350 11000 270
Call Wall : 4300 4200 382 11750 325
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3971 3989 395.0 11480.0 317
CP Gam Tilt: 0.57 0.55 0.47 1.0 0.57
Delta Neutral Px: 4005
Net Delta(MM): $1,613,650 $1,658,725 $213,793 $46,417 $108,525
25D Risk Reversal -0.07 -0.08 -0.06 -0.08 -0.07
Call Volume 662,910 535,694 2,235,607 5,939 904,257
Put Volume 1,021,944 1,169,562 3,586,819 5,039 1,870,088
Call Open Interest 5,889,707 5,715,812 7,937,597 55,183 4,740,249
Put Open Interest 10,762,722 10,637,268 12,823,924 73,238 6,949,206
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3800, 3700]
SPY: [380, 375, 370, 360]
QQQ: [290, 285, 280, 275]
NDX:[13000, 12500, 12000, 11750]
SPX Combo (strike, %ile): [(3799.0, 84.03), (3747.0, 89.6), (3714.0, 74.69), (3699.0, 93.56), (3673.0, 74.07), (3662.0, 77.86), (3647.0, 94.04), (3625.0, 78.68), (3614.0, 82.36)]
SPY Combo: [363.49, 368.68, 373.49, 378.68, 360.16]
NDX Combo: [11747.0, 11287.0, 11494.0]
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