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Informe Option Levels

Ene 27, 2023 | Informe Option Levels, Option Levels | 0 Comentarios

Futures were quiet overnight, holding 4065. The SPX¬†Call Wall¬†has shifted up to 4100, which is now the top of our range, and syncs with the 410 SPY¬†Call Wall. The closer area of large resistance continues to be at 4050 ‚Äď 4065 (SPY 405). Support lies at 4015 (SPY 400) & 4000 SPX. We do currently see a large support level under 4000 until 3900.

There are a few data points out which may trigger short term volatility: 8:30 PCE & 10AM UMich + home sales.

The two big strikes yesterday were 400SPY/4000SPX on the put side, and 405/4050 on the call side. This is leading to the 4050-4100 area filling in with call strikes which we believe is creating more resistance in the form of positive gamma.

A few days ago we expressed that we felt the 4050-4065 (SPY 405) area would be the top into FOMC, and while we still feel that way, our models don’t signal an overbought condition unless we break 4100-4115(SPY410).

In that same note (from 1/25) we posted the market map from below, which remains in play today. To the downside we don’t pick up a large support level in the 3900’s, however we did break that level on Wednesday only to see large 0DTE volume come in to support markets near 3950 (note here).

The other overarching theme here is lack of downside demand, and a slide lower in implied volatility. On this chart is the SPX (green), 30 day RV (orange) and 1 month IV (white). As you can see in the lower right we have IV sliding down near 1 year highs just as we head into 2/1 FOMC. The is signaling that the market is pricing volatility going forward, which likely requires friendly guidance from the Fed.

SPX IV vs RV

We discussed the ramifications of this in detail¬†here, but essentially the risk here is that the market debate (and positioning) seems to be around Powell‚Äôs ‚Äúshade of dovishness‚ÄĚ and upside risk. Traders do no seemed hedge for any type of hawkish tilt.

While we do not have a view on the FOMC, the market clearly seems to be ready to accept a change in policy regime. Many of indicators are at 2022 extremes (like¬†IV¬†lows above), or the gamma tilt, below. This is not to say that the market doesn‚Äôt get what it wants ‚Äď but we would prefer getting long post-Powell on a breakout rather than front-running the catalyst.

SpotGamma Tilt Indicator

Finally we wanted to share the 0DTE vs treasury auction(s) data from yesterday as it received a lot of attention. Shown below is the SPX (top) vs 0DTE contract volume (bottom) and you can that a case could be made for an increase in 0DTE volume after the 1pm auction (right red line), but its not quite as clear cut as yesterday. We will certainly continue to monitor this.

SPX Index vs 0DTE options volume

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 4060 4047 404 12053 293
SG Implied 1-Day Move:: 1.08%, (¬Īpts): 44.0 VIX 1 Day Impl. Move:1.18%
SG Implied 5-Day Move: 2.86% 3971 (Monday Ref Price) Range: 3858.0 | 4085.0
SpotGamma¬†Gamma Index‚ĄĘ: 1.29 0.66 0.02 0.05 0.04
Volatility Trigger‚ĄĘ: 4020 3970 400 11225 288
SpotGamma Absolute Gamma Strike: 4000 4000 400 11425 295
Gamma Notional(MM): 431.0 442.0 -153.0 7.0 105.0
Put Wall: 3900 3900 390 11000 270
Call Wall : 4100 4050 410 11425 295
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4021 3984 404.0 0 305
CP Gam Tilt: 1.42 1.28 0.96 1.79 1.07
Delta Neutral Px: 3966
Net Delta(MM): $1,425,132 $1,450,825 $166,159 $52,654 $83,280
25D Risk Reversal -0.05 -0.05 -0.04 -0.05 -0.05
Call Volume 602,249 509,671 2,741,715 12,795 929,252
Put Volume 846,003 868,193 3,332,655 7,066 1,189,328
Call Open Interest 5,442,991 5,470,181 6,110,060 57,952 4,115,714
Put Open Interest 10,129,755 9,952,705 12,646,413 55,438 7,088,148
Key Support & Resistance Strikes:
SPX: [4100, 4050, 4000, 3900]
SPY: [410, 405, 402, 400]
QQQ: [295, 292, 290, 280]
NDX:[13000, 12000, 11500, 11425]
SPX Combo (strike, %ile): [(4251.0, 86.9), (4227.0, 81.25), (4198.0, 95.6), (4174.0, 89.26), (4150.0, 96.53), (4125.0, 90.67), (4113.0, 91.11), (4109.0, 82.18), (4101.0, 99.25), (4089.0, 75.81), (4085.0, 89.93), (4081.0, 83.06), (4076.0, 96.45), (4068.0, 80.02), (4064.0, 96.47), (4060.0, 83.07), (4048.0, 97.14), (4032.0, 82.75), (4024.0, 87.43), (3963.0, 75.73), (3951.0, 79.53), (3914.0, 80.35), (3898.0, 91.48)]
SPY Combo: [408.75, 403.49, 413.6, 405.1, 406.32]
NDX Combo: [12126.0, 12331.0, 12078.0, 12006.0, 11511.0]
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