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Informe Option Levels

Ene 24, 2023 | Option Levels | 0 Comentarios

Futures are down slightly to 4025. Key SG levels in the S&P are largely unchanged, with resistance remaining at the 4050 SPX Call Wall, followed by 4064 (SPY 405). Support shows at 4020 (SPY 400), then 4000. We anticipate 4000 will hold as support today.

While S&P levels are unchanged, there was a large jump 10pt jump in QQQ Call Wall. Generally we view the Call Wall(s) shifting higher as a bullish indicator, because it signals options traders are building positions at higher strikes. The jump in QQQ is large, but given Fridays OPEX (clearing of positions) and large rally (+2%) its not shocking. What is interesting is that there was such a jump in QQQ, but a lag in the S&P.

That highlights a key feature about the rally the last few days: it’s very concentrated in things which benefit from the “fed pivot” narrative. In other words, the worst performing (most shorted) stuff is all bouncing the most.

Shown below is the 3 day performance of the GS most shorted stocks basket (purple) vs QQQ (white), SPY (red) and DIA(blue). Recall that the DOW (DIA) has sharply outperformed QQQ over the past year by ~15%

Whats equally as interesting is many stocks with strong rallies all shifted to a very interesting equilibrium yesterday. Consider NVDA, which was up +7% yesterday, it rallied right to the point at which there are put strikes (blue bars) disappear. You can see at the red arrow in the chart below, and its a similar phenomenon in a slew of other tech names (AAPL, SQ, CRWD). What this reads like it a put rally, somewhat like short covering.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 4019 4008 400 11873 288
SG Implied 1-Day Move:: 1.19%, (±pts): 48.0 VIX 1 Day Impl. Move:1.24%
SG Implied 5-Day Move: 2.86% 3971 (Monday Ref Price) Range: 3858.0 | 4085.0
SpotGamma Gamma Index™: 0.83 0.13 -0.13 0.04 0.01
Volatility Trigger™: 3970 3945 399 11175 284
SpotGamma Absolute Gamma Strike: 4000 4000 400 11425 280
Gamma Notional(MM): 268.0 416.0 -708.0 7.0 45.0
Put Wall: 3800 3800 390 11000 260
Call Wall : 4050 4050 410 11425 295
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3986 3975 403.0 0 306
CP Gam Tilt: 1.26 1.27 0.8 1.71 1.03
Delta Neutral Px: 3956
Net Delta(MM): $1,405,734 $1,369,879 $155,677 $48,901 $81,262
25D Risk Reversal -0.05 -0.06 -0.04 -0.05 -0.05
Call Volume 638,140 584,232 2,447,056 13,942 1,023,539
Put Volume 1,058,389 863,314 3,844,512 10,346 1,229,538
Call Open Interest 5,301,703 5,234,182 5,658,822 55,542 4,025,443
Put Open Interest 9,692,956 9,429,234 11,908,964 53,975 6,516,205
Key Support & Resistance Strikes:
SPX: [4050, 4000, 3950, 3900]
SPY: [400, 398, 395, 390]
QQQ: [300, 290, 285, 280]
NDX:[12000, 11500, 11425, 11000]
SPX Combo (strike, %ile): [(4200.0, 93.71), (4176.0, 81.35), (4148.0, 91.64), (4124.0, 76.77), (4116.0, 79.52), (4100.0, 96.65), (4076.0, 93.98), (4064.0, 93.72), (4060.0, 78.0), (4056.0, 78.0), (4052.0, 98.32), (4044.0, 77.09), (4040.0, 82.46), (4036.0, 88.74), (4032.0, 89.13), (4024.0, 95.39), (4020.0, 81.71), (3999.0, 94.2), (3963.0, 78.45), (3915.0, 83.9), (3899.0, 92.25), (3851.0, 83.2)]
SPY Combo: [403.84, 408.64, 401.03, 398.63, 406.24]
NDX Combo: [11423.0, 12123.0, 11921.0, 12004.0, 12325.0]
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