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Informe SG Levels

Jun 10, 2022 | Option Levels | 0 Comentarios

Futures have made no move overnight, holding the 4015 area. We obviously look for relatively high volatility today, triggered by the 8:30AM ET CPI report. Resistance is at 4050 then 4100. Support shows at 4000 then 3960.

We cautioned that yesterday was the time to add some tail protection due to anticipated volatility. Our thought was that an increase in market movement would be triggered this AM, however the action picked up yesterday afternoon with that sharp market drop to 4000.

The move to 4000 brings more energy to the markets which should hold into next week. A benign CPI report could easily spark a rally back up into the 4100 level, while a hot reading could trigger a shift up in IV (i.e. VIX) and lead to a market test lower. Adding to this, we currently we see roughly 20% of S&P gamma rolling off with today’s expiration. This is rather large positioning for a non-monthly OPEX, and suggests heightened volatility for today into Monday.

4000 is a very large strike and we think it would take a major CPI deviation for the market to break this level and pin down to 3900. A probe lower is certainly possible, but we’d look for some mean reversion back to 4000 due to its gamma size.

A bad CPI report is not necessarily a reason to sell equities pre-FOMC, but we do think it would catalyze traders to purchase put protection, which inflates implied volatility. This means that vanna flows bring pressure to markets and keep them jumpy through Wednesday. Note that 30 strike in VIX as a high call open interest level, which may provide some VIX “resistance”.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4017 4029 401 12269 299
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.07%, (±pts): 43.0 VIX 1 Day Impl. Move:1.65%
SpotGamma Imp. 5 Day Move: 2.48% 4108 (Monday Ref Px) Range: 4006.0 | 4210.0
SpotGamma Gamma Index™: -1.65 -0.69 -0.36 0.00 -0.11
Volatility Trigger™: 4115 4110 410 11775 306
SpotGamma Absolute Gamma Strike: 4000 4000 400 12500 300
Gamma Notional(MM): -838.0 -917.34 -1610.0 2.0 -657.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4248 4197 0 0 0
Put Wall Support: 4000 4000 400 12000 300
Call Wall Strike: 4200 4200 418 11800 310
CP Gam Tilt: 0.65 0.62 0.54 1.11 0.62
Delta Neutral Px: 4231
Net Delta(MM): $1,889,198 $1,782,629 $193,060 $59,326 $119,788
25D Risk Reversal -0.07 -0.07 -0.06 -0.06 -0.07
Call Volume 410,050 380,229 2,830,335 10,874 1,100,515
Put Volume 789,926 652,961 3,535,753 13,414 1,433,456
Call Open Interest 6,297,085 6,179,092 7,451,096 73,601 4,917,589
Put Open Interest 11,163,176 11,053,252 11,889,685 64,827 7,402,342
Key Support & Resistance Strikes:
SPX: [4100, 4050, 4000, 3900]
SPY: [410, 405, 400, 395]
QQQ: [310, 305, 300, 290]
NDX:[13000, 12500, 12000, 11800]
SPX Combo (strike, %ile): [3905.0, 3953.0, 4098.0, 3978.0, 3909.0]
SPY Combo: [390.22, 395.04, 409.49, 397.45, 390.62]
NDX Combo: [12294.0, 12086.0]
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