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Informe SG Levels

Jun 9, 2022 | Option Levels | 0 Comentarios

Daily Note:

Futures are at overnight highs of 4040 ahead of this mornings CPI report (8:30AM ET). Volatility estimates have not shifted, with SG having an implied move of 1.2% vs VIX implied move of 2.08%. Resistance is at 4100, support is at 4000.

The open interest at 400SPY/4000SPX has increased in size the last few sessions, further establishing it as the dominant strike. It remains that <400/4000 we have “purely puts”, and that increases “capitulation risk”.

The S&P has made several attempts now to break 4000, but the mean reversion has been strong around this very large strike. We continue to give some edge to a sharp relief rally here driven by short covering (both stock shorts as well as dealers covering short hedges). This could easily push the S&P into the 4200 area through Friday.

Conversely, we’ve thus far lacked an obvious trigger to break 4000. A large miss from today’s CPI could bolster expectations of higher rates, and be the signal which places the 4000 support level to the test.

We also wanted to highlight the large size at 300 QQQ, which marks not only a very large put position, but its the last material level of calls, too.

This level is particularly interesting given the price action at 300 yesterday, shown here.

In summary our overall view has not shifted much from the yesterdays report, we simply have the added catalyst of today’s CPI report. This weeks expirations remain rather small (~5% of S&P500 gamma expiring), and so that signals that current key levels should hold into next week.

5/20 remains the key date ahead wherein we would see a material change in options positioning, the directional impact of which needs to be assessed early next week.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4001 3999 399 12345 300
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.23%, (±pts): 49.0 VIX 1 Day Impl. Move:2.08%
SpotGamma Imp. 5 Day Move: 2.99% 4123 (Monday Ref Px) Range: 4000.0 | 4247.0
SpotGamma Gamma Index™: -2.00 -2.01 -0.35 -0.03 -0.11
Volatility Trigger™: 4350 4300 430 13650 325
SpotGamma Absolute Gamma Strike: 4000 4000 400 14050 300
Gamma Notional(MM): -1005.0 -971.0 -1633.0 -4.0 -648.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4393 4325 0 0 0
Put Wall Support: 4000 4000 400 12000 300
Call Wall Strike: 4700 4700 450 14050 330
CP Gam Tilt: 0.48 0.46 0.44 0.64 0.55
Delta Neutral Px: 4343
Net Delta(MM): $1,789,871 $1,661,425 $186,345 $44,022 $110,013
25D Risk Reversal -0.09 -0.08 -0.07 -0.12 -0.09
Call Volume 522,440 525,968 2,995,857 11,688 1,295,654
Put Volume 869,354 921,538 3,280,252 11,262 1,375,044
Call Open Interest 5,527,237 5,522,413 7,163,791 59,095 4,791,099
Put Open Interest 10,183,129 9,602,094 10,406,491 53,106 6,267,181
Key Support & Resistance Strikes:
SPX: [4300, 4200, 4100, 4000]
SPY: [410, 400, 390, 380]
QQQ: [320, 310, 305, 300]
NDX:[14050, 14000, 13000, 12000]
SPX Combo (strike, %ile): [4001.0, 3901.0, 3949.0, 4101.0, 4009.0]
SPY Combo: [399.09, 389.11, 393.9, 409.07, 399.89]
NDX Combo: [12309.0, 12111.0, 12519.0]
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