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Informe SG Levels

Jun 9, 2022 | Option Levels | 0 Comentarios

Futures are at 3900, down nearly 1% from the cash close. Volatility estimates remain in line with the last several sessions. We look for resistance at 4000, with support at 3900 then 3865.

We’re now well below 4000, and into that “purely put” territory (see y’days note). All eyes now shift to the 3800 level, as this is where gamma actually starts to increase, which would in theory lead to reduced volatility estimates. This is because so much of the existing options position(s) are deep in the money (on the put side) pushing a delta of 1.

We continue to see puts rolled out, but they are in relatively small size. This syncs more or less with the lack of capitulation and no real spike in VIX. The VIX, near 35, has still not touched the ~38 intraday high from 2/24 despite the SPX -5% lower.

1 month realized vol in the SPX is currently at 32, which that is second to only the March ’20 crash. Through this lens a 34/35 VIX is fairly reasonable, and doesn’t carry much premium.

1 Month Realized SPX Vol. source: S&P

With this last move lower our Delta Tilt reading now matches that of previous major lows – suggesting again that we are at “peak puts”, and (barring a massive rally) there is little to change this signal before 5/20 wherein we’ll lose about 25% of total S&P500 gamma.

 

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 3935 3935 392 11967 291
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.19%, (±pts): 47.0 VIX 1 Day Impl. Move:2.07%
SpotGamma Imp. 5 Day Move: 2.99% 4123 (Monday Ref Px) Range: 4000.0 | 4247.0
SpotGamma Gamma Index™: -2.11 -2.11 -0.37 -0.02 -0.11
Volatility Trigger™: 4300 4300 415 13200 310
SpotGamma Absolute Gamma Strike: 4000 4000 400 12000 300
Gamma Notional(MM): -1061.0 -1061.3 -1756.0 -3.0 -677.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4288 4383 0 0 0
Put Wall Support: 3700 3700 380 12000 300
Call Wall Strike: 4700 4700 450 14000 330
CP Gam Tilt: 0.43 0.43 0.37 0.62 0.48
Delta Neutral Px: 4271
Net Delta(MM): $1,667,696 $1,667,696 $182,390 $38,131 $98,287
25D Risk Reversal -0.07 -0.07 -0.05 -0.08 -0.07
Call Volume 436,320 436,320 1,839,259 12,004 1,224,876
Put Volume 837,208 837,208 2,506,147 10,141 1,137,185
Call Open Interest 5,637,637 5,637,637 7,090,500 61,169 4,971,762
Put Open Interest 9,698,511 9,698,511 10,008,467 46,879 5,671,823
Key Support & Resistance Strikes:
SPX: [4200, 4000, 3900, 3700]
SPY: [400, 395, 390, 380]
QQQ: [310, 300, 290, 280]
NDX:[14000, 12500, 12400, 12000]
SPX Combo (strike, %ile): [3900.0, 3998.0, 3951.0, 3849.0, 3876.0]
SPY Combo: [389.22, 399.03, 394.32, 384.11, 386.86]
NDX Combo: [12303.0, 11896.0, 11692.0, 12099.0]
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