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Informe SG Levels

Jun 9, 2022 | SG Levels | 0 Comentarios

Futures are sitting on the key 4100 level. We look for volatility similar to that of yesterday, with support at 4100 then 4063. Resistance is at 4150-4160(SPY415).

For the past several sessions we were highlighting this theme of options traders playing negative deltas as the S&P went >4150. We’re now seeing those gamma bars fill in and this is skewing our view of price distribution. Essentially these 4150-4200 (415-420 SPY) call positions are starting to limit the chance of a 4200 test (aka upside volatility), while 4000 is still pretty viable to the downside.

Below 4100 level we see an increase of negative gamma, which implies an uptick in volatility. 4000 remains critical support into OPEX, and we do not see that level being tested today. However, as we opined on Friday the lift from traders being able to sell volatility will diminish into week end, which implies reduced support. That being said, Fridays 4100 straddle is currently trading near $90 with an IV ~30% which feels a bit rich to us given our view of price distribution.

On this topic, if we do see IV tick higher from equities selling, we currently expect short term vol sellers to step back in which should provide some mean reversion back into 4100. This is why we mentioned that these short term (i.e. pre-Fed) IV dynamics were supportive of markets in the short term (i.e. today/tomorrow) as vol selling feeds into equity buying.

Its this reflexive, ultra short dated selling response that diminishes into Friday, particularly given that many traders are watching for FridaysMay CPI report.

 

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4120 4119 411 12599 307
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.06%, (±pts): 43.0 VIX 1 Day Impl. Move:1.57%
SpotGamma Imp. 5 Day Move: 2.48% 4108 (Monday Ref Px) Range: 4006.0 | 4210.0
SpotGamma Gamma Index™: -0.59 -0.73 -0.16 0.00 -0.06
Volatility Trigger™: 4110 4110 412 11775 307
SpotGamma Absolute Gamma Strike: 4000 4000 400 11800 300
Gamma Notional(MM): -381.0 -365.11 -769.0 1.0 -403.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4196 4195 0 0 0
Put Wall Support: 4000 4000 400 12000 300
Call Wall Strike: 4200 4200 425 11800 315
CP Gam Tilt: 0.86 0.82 0.73 1.09 0.74
Delta Neutral Px: 4243
Net Delta(MM): $1,787,363 $1,797,648 $174,650 $61,630 $115,324
25D Risk Reversal -0.07 -0.07 -0.07 -0.08 -0.08
Call Volume 310,079 370,182 1,311,400 6,253 628,505
Put Volume 648,578 745,822 2,096,281 8,793 941,197
Call Open Interest 6,026,121 5,989,352 6,786,169 66,636 4,639,538
Put Open Interest 10,779,230 10,653,458 11,207,693 64,423 7,117,274
Key Support & Resistance Strikes:
SPX: [4200, 4150, 4100, 4000]
SPY: [420, 415, 410, 400]
QQQ: [320, 310, 305, 300]
NDX:[13000, 12500, 12000, 11800]
SPX Combo (strike, %ile): [4014.0, 4063.0, 4212.0]
SPY Combo: [401.06, 406.01, 420.83]
NDX Combo: [12297.0, 12511.0]
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