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Informe SG Levels

Jun 9, 2022 | Option Levels | 0 Comentarios

Futures are higher to 3940 ahead of today’s expiration. Volatility estimates continue to hold at 1.2% (open/close) and we anticipate this changing for Monday due to the roll off of put positions. Resistance is at 4000-4015(SPY 400). Support shows at 3950 then 3900.

This expiration is not particularly large for SPX or QQQ with our models showing ~15% of delta & gamma expiring, but sizeable for SPY (37% of gamma, 20% of delta). A market push to 400 SPY/4000 SPX and 300 QQQ likely relieves any OPEX pressure – and as we opined yesterday that this move into this level(s) could happen today into Monday. If the market tags these respective targets then that likely withdraws any significant options based support.

In terms of yesterdays flows, its was clear via HIRO (real time delta traded) readings yesterday and the OI change charts that puts were closed as markets opened near 3900. Additionally there was large “straddle” volume (80k calls, 130k puts) & open interest (45k calls, 35k puts) added to the 3900 strike, which places large short term support at that strike. The addition of chunky call positions at 3900 is why our Put Wall metric shifted lower, to 3700 (the Put Wall shift lower is something we generally read as bearish).

You get a sense of the impact of this 3900 position through our strike gamma chart, shown below. Most of this position expires today, as does a large percentage of the at-the-money SPX/SPY/QQQ options position (seen in light grey). The expiration of these positions reads as less support for next week.

To this point we mentioned yesterday that <=3800 it seemed that gamma would produce buying from dealers, but that this expiration shifts that level down towards 3700. This general trend of traders uninterested in calls and systematically rolling puts “down & out” continues to suggest an acceptance of and positioning for lower stock prices.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 3902 3902 389 11872 289
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.23%, (±pts): 48.0 VIX 1 Day Impl. Move:1.85%
SpotGamma Imp. 5 Day Move: 2.94% 4021 (Monday Ref Px) Range: 3904.0 | 4140.0
SpotGamma Gamma Index™: -2.18 -2.26 -0.42 -0.03 -0.11
Volatility Trigger™: 4350 4350 432 13575 300
SpotGamma Absolute Gamma Strike: 3900 4000 390 12000 300
Gamma Notional(MM): -1288.0 -1353.58 -1978.0 -5.0 -695.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4220 4220 0 0 0
Put Wall Support: 3700 3900 380 12000 290
Call Wall Strike: 4700 4700 480 12025 312
CP Gam Tilt: 0.48 0.4 0.41 0.65 0.53
Delta Neutral Px: 4235
Net Delta(MM): $1,942,897 $1,847,521 $204,907 $61,675 $130,121
25D Risk Reversal -0.07 -0.08 -0.07 -0.09 -0.09
Call Volume 627,661 517,155 2,726,833 11,762 1,250,702
Put Volume 1,113,118 1,148,489 3,708,736 20,095 1,352,775
Call Open Interest 6,246,441 5,967,319 7,837,941 74,393 5,361,046
Put Open Interest 11,176,191 10,968,838 11,347,229 70,621 7,137,043
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3700]
SPY: [400, 390, 385, 380]
QQQ: [300, 295, 290, 285]
NDX:[12025, 12000, 11950, 11900]
SPX Combo (strike, %ile): [3801.0, 3902.0, 3851.0, 4000.0, 3875.0]
SPY Combo: [379.32, 389.45, 384.39, 399.19, 386.72]
NDX Combo: [11884.0, 11682.0]
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