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Informe SG Levels

Sep 15, 2022 | Informe Option Levels, Option Levels | 0 Comentarios

Futures are flat overnight, holding 3950. Key Levels remain the same: 4000 resistance, 3960-3950 pivot, and support at 3927 then 3900.

There is an 8:30AM ET jobs number which traders are likely keying off of this morning. We do not anticipate this being a major market driver, but traders area a bit skittish after the CPI report. This is reflected in the SPX IV term structure, below. You can see there is some backwardation of sorts which is tied to todays jobs figure and then next weeks FOMC.

While IV remains elevated, there were clear signals of put selling and call buying into the close. We continue to think (barring a big jobs print deviation) put decay and short dated IV selling will be the predominant force into Fridays OPEX, and look for a move back up into the 4000 area.

On net we see ~25-30% of total delta & gamma expiring across SPY/SPX/QQQ with Fridays OPEX. This is large size, but not record-breaking. Further, we’ve seen short dated positions fill in through the 390/3900 – 400/4000 strikes (boxed in red, full size images here). This implies traders are finding the SPX “fair value” in this price area.

We may seem like a broken record on this point – but there continues to be little demand for downside put protection. This is primarily signaled by the Risk Reversal indicator stuck at -0.06 & Put Wall unchanged at 3900. This constitutes to suggest that further downside is currently limited.

While we assign an edge for a move back into 4000, overall liquidity is likely to remain thin which leads to jumpy, fast price action. A true large directional move is unlikely to setup until 9/21 FOMC.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3946 3939 394 12134 296
SG Implied 1-Day Move:: 0.9%, (±pts): 36.0 VIX 1 Day Impl. Move:1.65%
SG Implied 5-Day Move: 2.92% 4067 (Monday Ref Price) Range: 3949.0 | 4186.0
SpotGamma Gamma Index™: -1.24 -1.54 -0.37 -0.01 -0.18
Volatility Trigger™: 4000 4000 400 12375 302
SpotGamma Absolute Gamma Strike: 4000 4000 400 12000 300
Gamma Notional(MM): -768.0 -793.0 -1886.0 -0.0 -1150.0
Put Wall: 3900 3900 390 12000 290
Call Wall : 4005 4005 430 12500 315
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4121 4050 412.0 12119.0 327
CP Gam Tilt: 0.76 0.7 0.54 0.99 0.5
Delta Neutral Px: 4063
Net Delta(MM): $1,956,949 $1,689,706 $208,115 $49,860 $108,942
25D Risk Reversal -0.06 -0.06 -0.06 -0.06 -0.07
Call Volume 523,628 613,228 1,808,840 6,413 613,997
Put Volume 950,126 1,154,082 2,614,606 5,596 1,115,468
Call Open Interest 6,834,585 6,739,343 7,783,823 76,793 4,908,051
Put Open Interest 11,868,315 11,002,718 13,520,223 81,990 7,606,912
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3800]
SPY: [400, 395, 390, 385]
QQQ: [300, 295, 290, 285]
NDX:[13000, 12500, 12150, 12000]
SPX Combo (strike, %ile): [(4006.0, 89.45), (4002.0, 93.35), (3950.0, 96.64), (3927.0, 81.16), (3899.0, 99.42), (3875.0, 80.48), (3852.0, 95.23)]
SPY Combo: [389.86, 394.99, 385.13, 400.12, 400.52]
NDX Combo: [11892.0, 12292.0, 12098.0, 12219.0, 12001.0]
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