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Informe SG Levels

Jun 9, 2022 | Option Levels | 0 Comentarios

Futures were flat overnight, trading at 3940. Volatility estimates are again high, with the SG Implied Move at 1.2% (open/close SPX move), and VIX showing 1.85% implied SPX move. Resistance is at 4000 with support at 3800 then 3877.

Note that as we push toward the Memorial Day holiday this weekend we expect liquidity to deteriorate from its already fragile state. This could invoke larger 2-way volatility (i.e. moves higher & lower). Traders will also be watching for the 2pm ET Fed minutes.

Positions continue to build up at the 3900 strike, which we think serves to make that strike a stronger support level. Over the past few weeks it was purely puts at strikes <4000 and the market seemed to have extra speed on moves under that level. This buildup of call positions >3900 (albeit light), plus the appearance of dealers shifting to buyers <3700 (see gamma curve note here) leads us to discount the risk of capitulation.

Yes, we could have strong moves lower, and we’ve assigned an edge for markets probing lower into June OPEX. However, this idea of a “limit down with VIX >40 capitulation” is challenging through an options positioning lens (i.e. well hedged).

To the upside we think that there will not be an extended rally until we get clarity from the Fed and/or a buildup of call positions. Here we’ve plotted call volume for the stocks in the S&P 500 + a few of the other most active options names. As you can see in green there is no sign of life from call buyers.


Today we will be holding a live subscriber Q&A at 10:00AM ET, please join here. It will be recorded, and that recording will be posted on the Fed .

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 3943 3943 393 11772 287
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.26%, (±pts): 50.0 VIX 1 Day Impl. Move:1.85%
SpotGamma Imp. 5 Day Move: 2.92% 3901 (Monday Ref Px) Range: 3787.0 | 4015.0
SpotGamma Gamma Index™: -1.46 -1.29 -0.23 0.01 -0.10
Volatility Trigger™: 4100 4285 400 11775 300
SpotGamma Absolute Gamma Strike: 4000 4000 400 11800 300
Gamma Notional(MM): -745.0 -789.32 -1175.0 1.0 -620.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4170 4202 0 0 0
Put Wall Support: 3700 3700 380 12000 280
Call Wall Strike: 5000 4500 402 11800 310
CP Gam Tilt: 0.6 0.58 0.57 1.13 0.55
Delta Neutral Px: 4153
Net Delta(MM): $1,547,091 $1,584,681 $178,395 $39,442 $98,110
25D Risk Reversal -0.06 -0.06 -0.06 -0.06 -0.07
Call Volume 365,067 436,464 2,397,817 5,316 1,065,336
Put Volume 606,340 856,888 3,697,750 11,412 1,405,029
Call Open Interest 5,856,946 5,767,102 6,899,470 60,561 4,642,673
Put Open Interest 9,588,722 9,689,521 10,459,721 44,913 6,049,912
Key Support & Resistance Strikes:
SPX: [4100, 4000, 3900, 3700]
SPY: [400, 395, 390, 380]
QQQ: [300, 290, 285, 280]
NDX:[12500, 12025, 12000, 11800]
SPX Combo (strike, %ile): [3900.0, 4003.0, 3853.0, 3952.0, 3877.0]
SPY Combo: [389.66, 399.9, 384.93, 394.78, 387.29]
NDX Combo: [11478.0, 11807.0, 11678.0, 11890.0]
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