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Informe SG Levels

Jun 9, 2022 | Informe Option Levels, Option Levels | 0 Comentarios

Futures are trading at 3925 off of overnight highs of 3955. Due to expiration our SG implied move shifts higher to 1.3% (open/close) while the VIX prices in a 1.85% move for the S&P500. 4000 is resistance, with support at 3900. Below 3900 we see 3875 support then 3800.

We have been looking for an OPEX bounce Friday into Monday due to large puts expiring, and we target a test into 3950-4000 range. Note, too, that post-OPEX we often see markets test lower on Monday AM before an afternoon rally.

Additionally, there was that rip higher into the close on Friday, wherein we could see there was a scramble to cover SPY puts in particular. We think this may have pulled forward some of the post-OPEX energy for today as some short deltas were likely removed into Fridays close.

Below is a shot of the put open interest change for the SPX, and as you can see essentially all puts >3900 saw interest declines due toe expiration (SPY here). This does bring some fuel for an OPEX short cover rally, but it also removes hedges from the market.

As we mentioned on Friday, this shifts a key support level lower for the S&P500. On the left was Fridays gamma curve, wherein you can see that the curve is flat to higher at prices <3800. We believe this reflects a reduction or even a reversal in hedging flow (from selling hedges with lower SPX prices, to buying). That 3800 level is now at 3700 (right chart) due to OPEX.

Finally, we’d note that data on QQQ call open interest is making the rounds. There has indeed been a pickup in QQQ call open interest (dark blue) after May 1, but that increase is with QQQ put interest (red) remaining near highs (aka “max QQQ puts”). Further you can see that QQQ call volume (light blue) appears to be cooling off.

Looking at the data, we can see that most of the call interest change is in expirations before July, and generally concentrated in the 320-360 strike range (shown below). We’re not convinced this is an aggressive “all-out” grab for long QQQ calls, but skew has come down some from the start of May. This indicates to us there is some call buying demand, which could simply be traders hedging a right tail move.

There is an increase in SPY OI, too, but of less magnitude than in QQQ. We’ve stated for some time that for market to maintain an extended rally there needs to be a pickup in call volumes and open interest. While there were some signs of life eariler in May it may be that crypto crashes & poor “recessionary-like” earnings (i.e. TGT, WMT) last week damped some incremental call demand. It may be that some investor call buying provides short deltas to dealers books, which can help offset some shorting requirements for dealers.


SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 3901 3831 389 11835 288
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.3%, (±pts): 51.0 VIX 1 Day Impl. Move:1.86%
SpotGamma Imp. 5 Day Move: 2.92% 3901 (Monday Ref Px) Range: 3787.0 | 4015.0
SpotGamma Gamma Index™: -1.70 -2.1 -0.26 0.00 -0.09
Volatility Trigger™: 4350 4350 432 11775 305
SpotGamma Absolute Gamma Strike: 4000 3900 400 11800 300
Gamma Notional(MM): -908.0 -1494.62 -1300.0 0.0 -646.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4251 4207 0 0 0
Put Wall Support: 3700 3700 380 12000 280
Call Wall Strike: 4700 4700 394 11800 312
CP Gam Tilt: 0.52 0.34 0.5 1.02 0.53
Delta Neutral Px: 4234
Net Delta(MM): $1,760,081 $1,907,829 $176,376 $52,818 $114,120
25D Risk Reversal -0.08 -0.07 -0.06 -0.1 -0.1
Call Volume 552,076 627,661 2,307,704 17,107 1,033,596
Put Volume 1,147,496 1,113,118 3,575,079 19,626 1,174,094
Call Open Interest 5,614,309 6,246,441 6,708,546 59,619 4,402,583
Put Open Interest 10,052,093 11,176,191 9,847,747 56,298 6,431,008
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3800, 3700]
SPY: [400, 390, 385, 380]
QQQ: [310, 300, 290, 285]
NDX:[12500, 12025, 12000, 11800]
SPX Combo (strike, %ile): [3800.0, 3901.0, 3999.0, 3851.0, 3948.0]
SPY Combo: [379.5, 389.63, 399.37, 384.56, 394.31]
NDX Combo: [11800.0, 11682.0, 11895.0]
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