Futures are slightly off to 4160. Despite yesterdays whipsaw action, key SG levels are largely unchanged. Resistance remains at the 4200-4215 (SPY420) Call Walls. 4150-4165(SPY415) is the pivot area, and 4100-4115(SPY410) is support.
Yesterdays price action was rather wild, as traders hit the bid after Powells “punt”. Stocks then violently flipped at 4165 (SPY 415) with heavy selling after a bad 1pm ET treasury action, only to go aggressively bid off of 4100 into end of day.
The point here is that despite all of this volatility, the S&P held remarkably well to the big S&P gamma strikes as shown below. We bring this up as it hopefully offers a bit of order to the chaos.
From our seat in options-land, the end result is that Powells speech was a “nothing done” and Tuesdays CPI now becomes the focus. As you can see below in blue, call IV compressed post-Powell, suggesting that the upside squeeze fuel is on pause – which signals that the 4200 level may be stiff resistance into Tuesday AM.
Conversely there appears to be a bid for post-CPI expiration IV as shown in red.
Because there isn’t an obvious risk catalyst between now and Tuesdays CPI, traders may emerge to sell pre-CPI IV. This may stabilize prices between 4100 & 4200 into early next week.
Our default stance in now neutral as long as the S&P holds 4100, as we look for mean reversion/grinding inside of 4100/4200. 4200 remains the top of our range while the Call Walls hold at that level, and we do not currently see them shifting higher pre-CPI.
The two triggers for bearish moves remain a break of 4100 (price trigger) and a shift toward that big time window of 2/13 CPI, 2/14 VIX exp and 2/17 OPEX (time trigger).
The removal of options positions combined with the CPI data point catalyst should serve to break us out of the 4100-4200 price range late next week. Because there are primarily call positions expiring on 2/17, we favor market weakness after CPI and into expiration.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4164 | 4155 | 415 | 12728 | 309 |
| SG Implied 1-Day Move:: | 1.0%, | (±pts): 42.0 | VIX 1 Day Impl. Move:1.17% | ||
| SG Implied 5-Day Move: | 2.85% | 4136 (Monday Ref Price) | Range: 4019.0 | 4254.0 | ||
| SpotGamma Gamma Index™: | 1.28 | 0.81 | 0.03 | 0.04 | 0.04 |
| Volatility Trigger™: | 4060 | 4060 | 409 | 12070 | 304 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 415 | 12500 | 310 |
| Gamma Notional(MM): | 518.0 | 569.0 | -60.0 | 6.0 | 128.0 |
| Put Wall: | 4000 | 3900 | 400 | 11000 | 285 |
| Call Wall : | 4200 | 4200 | 415 | 12500 | 310 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4093 | 4085 | 414.0 | 11702.0 | 322 |
| CP Gam Tilt: | 1.39 | 1.35 | 0.98 | 1.62 | 1.09 |
| Delta Neutral Px: | 4037 | ||||
| Net Delta(MM): | $1,611,951 | $1,657,828 | $176,262 | $52,547 | $95,795 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.04 | -0.06 | -0.05 |
| Call Volume | 534,166 | 439,435 | 2,295,675 | 8,400 | 756,027 |
| Put Volume | 818,329 | 741,450 | 3,576,446 | 5,405 | 1,244,711 |
| Call Open Interest | 5,656,384 | 5,881,186 | 6,129,242 | 55,289 | 4,387,199 |
| Put Open Interest | 10,822,585 | 10,619,684 | 14,281,769 | 65,607 | 8,203,258 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [315, 310, 305, 300] |
| NDX:[13000, 12500, 12000, 11500] |
| SPX Combo (strike, %ile): [(4351.0, 87.42), (4326.0, 76.26), (4301.0, 97.02), (4276.0, 89.52), (4252.0, 97.07), (4227.0, 94.93), (4214.0, 85.17), (4202.0, 99.32), (4193.0, 83.11), (4189.0, 81.38), (4185.0, 84.47), (4177.0, 97.4), (4168.0, 81.79), (4164.0, 89.4), (4152.0, 98.44), (4102.0, 85.33), (4064.0, 84.33), (4014.0, 78.93), (4002.0, 92.85)] |
| SPY Combo: [418.93, 413.94, 416.44, 423.91, 428.89] |
| NDX Combo: [12728.0, 12945.0, 13148.0, 12856.0, 12499.0] |
