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Informe SG Levels

Jun 9, 2022 | Option Levels | 0 Comentarios

Futures are trading at 4130 after a quiet overnight session. For today we see support at 4100, with resistance at 4160 (SPY 415) then 4200 (Call Wall).

Calls continue to fill into the 4150-4250 which adds to overhead resistance, and a reduction in volatility.

There is currently a large spread between our Vol Trigger level (4100) and Zero Gamma (4209). Recall that the Vol Trigger is a proprietary “gamma flip” calculation which detects a material change in hedging behavior, and when the market is above that level markets should see less volatility.

This implies over 4100 there may be relatively smaller directional swings, and a tendency for markets to mean revert. Over 4200 we would look for positive gamma to exert even more control which leads to even smaller trading ranges (a.k.a. higher resistance).

We anticipate this lower volatility to be start being reflected in the distribution of returns. 5 day realized volatility remains extremely high off of last weeks large moves, and we look for that distribution to consolidate into next week which may draw further vol selling.

To this point we continue to believe traders will seek to sell short dated “Pre-FOMC” options(volatility), particularly on the call side. This may drive compressed trading ranges into that key week of 6/13.

The market dynamic would change on a break below 4100, which likely opens up a test of 4000. This would likely bring a general theme of higher volatility trading, and wider trading ranges.


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SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4133 4133 412 12642 308
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.06%, (±pts): 44.0 VIX 1 Day Impl. Move:1.66%
SpotGamma Imp. 5 Day Move: 2.87% 4158 (Monday Ref Px) Range: 4039.0 | 4278.0
SpotGamma Gamma Index™: -0.52 -0.23 -0.08 0.01 -0.04
Volatility Trigger™: 4100 4135 410 11775 307
SpotGamma Absolute Gamma Strike: 4000 4000 400 11800 300
Gamma Notional(MM): -350.0 -319.73 -466.0 2.0 -283.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4209 4209 0 0 0
Put Wall Support: 4000 4000 400 12000 300
Call Wall Strike: 4200 4200 420 11800 310
CP Gam Tilt: 0.87 0.84 0.81 1.17 0.8
Delta Neutral Px: 4256
Net Delta(MM): $1,770,505 $1,812,853 $171,994 $60,116 $115,937
25D Risk Reversal -0.07 -0.07 -0.07 -0.07 -0.08
Call Volume 464,254 548,233 1,863,871 9,345 763,336
Put Volume 825,986 1,036,300 2,365,755 7,022 841,568
Call Open Interest 5,882,990 6,006,863 6,678,796 64,845 4,586,887
Put Open Interest 10,388,365 10,489,006 10,637,939 60,899 6,849,719
Key Support & Resistance Strikes:
SPX: [4300, 4200, 4100, 4000]
SPY: [420, 415, 410, 400]
QQQ: [325, 320, 310, 300]
NDX:[13500, 12500, 12000, 11800]
SPX Combo (strike, %ile): [(4200.0, 81.26), (4175.0, 87.21), (4125.0, 81.57)]
SPY Combo: [417.08, 412.12, 419.56]
NDX Combo: [12302.0, 12719.0]
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