loader image

Ya ha comenzado el Black Friday en Option Elements, haz clic aquí para ver nuestras ofertas

Informe SG Levels

Jun 24, 2022 | Option Levels | 0 Comentarios

  • Rallies into June OPEX should be categorized as “short covering” and subject to failure.
  • We look for a “positive drift” into 6/30 expiration, $4000 is our major upside level into 6/30
  • The $3600 JPM 6/30 short put strike (3620) is our major downside support into June 30th.
  • 6/30 exp removes large put positions and may expose the market to further downside into July

Daily Note:

Futures have popped higher to 3830. Volatility estimates remain near 1%, with 3800 seen as support. Beneath there support is 3750. Resistance shows at 3855 (SPY385) then 3900.

While volume & OI continues to build at 3800 in SPX, its 380 in SPY thats gained some decent size. If you check the data table below you will see that 4000 is the largest gamma level for SPX (aka “Absolute Gamma Strike”) while its 380 in SPY. This is looking like its setting up a pretty clean range of 3800-4000 into next Thursday (June quarterly OPEX).

We noted last week that the loss of June OPEX would bring a reduction in negative gamma due to puts expiring. This equates to a reduction in volatility (as dealers have smaller hedges), which generally produces upward drift in markets. You can see the lower vol thats been produced below. The bottom histogram shows us the distribution of S&P prices for the last 5 days (red) vs last 30 days (light blue).

At a more macro level the main driver of volatility is interest rates and 10 year yields appear to be tracking back some now. Relatedly, you can see the MOVE Index(blue line) is coming in and this is likely providing short term relief for equities (VIX, orange line).

If equity vol is going to start coming in here (VIX <30 this AM) that should be a key driver of higher equity prices into 6/30 expiration. This IV decompression is also being reflected in the VIX term structure shown below, where there is a minor contango.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3795 3802 378 11697 284
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.19%, (±pts): 45.0 VIX 1 Day Impl. Move:1.82%
SpotGamma Imp. 5 Day Move: 2.8% 3673 (Monday Ref Px) Range: 3571.0 | 3776.0
SpotGamma Gamma Index™: -1.03 -1.35 -0.20 0.01 -0.04
Volatility Trigger™: 4175 4075 375 11050 281
SpotGamma Absolute Gamma Strike: 4000 4000 380 11150 300
Gamma Notional(MM): -668.0 -564.18 -1165.0 1.0 -332.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4014 4112 0 0 0
Put Wall Support: 3700 3700 370 10500 270
Call Wall Strike: 3830 4500 378 11150 285
CP Gam Tilt: 0.66 0.64 0.59 1.1 0.77
Delta Neutral Px: 4089
Net Delta(MM): $1,473,069 $1,518,558 $163,548 $52,619 $97,986
25D Risk Reversal -0.07 -0.05 -0.05 -0.08 -0.08
Call Volume 431,199 469,415 2,177,231 5,366 920,171
Put Volume 707,815 774,365 2,870,567 7,332 960,530
Call Open Interest 5,340,431 5,359,158 6,932,739 58,206 4,431,575
Put Open Interest 9,351,319 9,112,090 10,251,416 54,686 6,270,987
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3800, 3750]
SPY: [385, 380, 375, 370]
QQQ: [300, 290, 285, 280]
NDX:[12500, 12000, 11250, 11150]
SPX Combo (strike, %ile): [3735.0, 3686.0, 3838.0, 3785.0, 3750.0]
SPY Combo: [372.06, 367.14, 382.27, 376.98, 373.57]
NDX Combo: [11499.0, 11709.0]
Sub Login
Support
Follow @SpotGamma
Strike Charts
Historical Chart
Gamma Expiration Tool
2022-06-24_CBOE_gammagraph_AMSPX.png
2022-06-24_CBOE_gammagraph_AMSPY.png
2022-06-24_CBOE_gammagraph_AMQQQ.png
2022-06-24_CBOE_gammagraph_AMNDX.png
2022-06-24_CBOE_gammagraph_AMIWM.png
2022-06-24_CBOE_gammagraph_AMRUT.png