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Informe SG Levels

Jun 9, 2022 | Option Levels | 0 Comentarios

Macro Theme:

  • $4,300 (Vol Trigger) is our key resistance line into Friday 5/6/2022.
  • A break of $4,200 invokes our “lower bound” concept
  • We see substantial, longer-term support at $4,050 due to large open interest at $4,000.
  • A close over $4,300 signals an extended rally into 5/20 OPEX.

Daily Note:

Futures are off 50bps to 4115. Traders are watching the 8:30AM ET jobs report closely today. We anticipate another volatile day with a cluster of support lines in the 4100-4125 area. Under 4100 we see 4050 as major support. Resistance is at 4200.

Yesterdays move seemed to shake sentiment. However, as we noted last night the selloff brought the S&P only down ~12 handles vs Wednesdays open, and the VIX didn’t come near Mondays high of 36. Yes, there was a tremendous amount of velocity to the selling, but interestingly just as the S&P gained 3% in the last 1.5hrs on Wednesday it lost 3% in the first 1.5hrs yesterday.

We’ve been framing the 4,000 area as major support, and a lower bound. Shown below is the current gamma at 4,000, and this level would grow in size if the S&P were to drop another 2-3% (gamma is highest ATM). Further both our delta & gamma tilt readings are near the historical lower bound, suggesting “max puts”.

What breaks our “lower bound” thesis is if something breaks in markets: forced liquidations, credit events, etc. To this point we had some very large declines in bonds (particularly the long end ex: TLT -3%), and credit spreads are rising. However we’d argue the equity selling has been ugly, but orderly.

We’re something to “break” we’d look for equity vol to catch an outsized bid as traders, looking to hedge defaults, source S&P put protection.

To this point we’ve plotted QQQ ATM IV for options 30 days out (purple) to 120 days(yellow). As you can see the whole term structure (i.e. all days) is near YTD highs but IV’s are not exceeding highs. This, even though QQQ is at new lows.

Just as we are viewing this 4,000 area as huge support, there are not material reasons for traders to step in and buy dips/sell vol. From a positioning standpoint, its still not until 5/20 OPEX wherein we see some decent puts expiring, which could fuel an equity rally. We’re therefore operating from a baseline view similar to late Feb-early March wherein we had large, volatile swings but the S&P essentially went nowhere. Accordingly, rallies can be violent but should be viewed as primarily short covering and subject to quick reversals.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4146 4150 413 12850 313
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.23%, (±pts): 51.0 VIX 1 Day Impl. Move:2.0%
SpotGamma Imp. 5 Day Move: 2.81% 4128 (Monday Ref Px) Range: 4013.0 | 4245.0
SpotGamma Gamma Index™: -1.67 -0.51 -0.33 -0.02 -0.11
Volatility Trigger™: 4300 4285 430 13950 325
SpotGamma Absolute Gamma Strike: 4000 4300 420 14050 300
Gamma Notional(MM): -834.0 -914.39 -1454.0 -2.0 -638.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4384 4388 0 0 0
Put Wall Support: 4000 4000 400 13000 300
Call Wall Strike: 4700 4700 450 14050 350
CP Gam Tilt: 0.59 0.54 0.52 0.76 0.59
Delta Neutral Px: 4367
Net Delta(MM): $1,748,344 $1,578,333 $187,144 $40,441 $101,755
25D Risk Reversal -0.1 -0.09 -0.09 -0.08 -0.07
Call Volume 638,076 414,908 3,380,856 4,210 1,494,936
Put Volume 1,025,518 839,790 4,423,495 4,334 1,641,006
Call Open Interest 5,472,619 5,246,888 6,574,786 51,776 4,380,560
Put Open Interest 10,369,872 10,096,419 10,842,305 49,262 6,078,250
Key Support & Resistance Strikes:
SPX: [4300, 4200, 4125, 4000]
SPY: [430, 420, 410, 400]
QQQ: [320, 315, 310, 300]
NDX:[14050, 14000, 13500, 13000]
SPX Combo (strike, %ile): [4101.0, 4151.0, 4051.0, 4201.0, 4110.0]
SPY Combo: [409.26, 414.22, 404.29, 419.19, 410.09]
NDX Combo: [12722.0, 12516.0, 13133.0]
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