loader image

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

Informe SG Levels

Jun 30, 2022 | Option Levels | 0 Comentarios

Status quo after a failure to test far into Tuesday’s trading range which was characterized by steady, liquidation-type, selling, as alluded to in the morning note.

Graphic: SpotGamma’s Hedging Impact of Real-Time Options (HIRO) indicator for SPX and SPY 6/29/2022 denotes buying of dips and selling of rips, promoting rangebound trade.

For the majority of Wednesday’s session, the SPX traded responsively above our $3,800.00 support provided to subscribers this morning.

Noteworthy is HIRO’s predictive power during recent trade.

Often, HIRO signals will precede reversals in either direction. Last night, we talked about the volatility selling (call and put side), and the liquidity providers’ likely response to that activity.

Graphic: SpotGamma’s Hedging Impact of Real-Time Options (HIRO) indicator for SPX and SPY 6/28/2022.

All else equal, this response tends toward taking from realized volatility (as liquidity provider sells into strength or buys into weakness to hedge increased directional exposure), precisely along the lines of what we saw, today.

Graphic: Ranges were tight against SpotGamma’s $3,800.00 SPX level.

In regards to positioning at a higher level, S&P 500 gamma flipped negative after a breach of our $3,910.00 volatility trigger, yesterday. It is below this level that liquidity providers’ exposure to put options solicits increased hedging activities which may add pressure to the underlying.

Accordingly, after the breach, the S&P 500 slid lower, quickly, before, ultimately, finding support at our $3,800.00 SPX ($380.00 SPY), which is a Put Wall, the strike at which there is a large concentration of customer exposure to puts.

Moreover, a feature of unsustainable rallies, in recent months, has been the selling of puts and little demand for calls. That still seems to have been the case this time around.

So, if selling were to continue, at $3,600.00 SPX we see liquidity provider hedging pressure leveling off. In other words, there, all else equal, we would expect to see a bounce.

Graphic: SpotGamma’s Gamma Model.
SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3812 3821 380 11659 283
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.25%, (±pts): 48.0 VIX 1 Day Impl. Move:1.77%
SpotGamma Imp. 5 Day Move: 2.84% 3912 (Monday Ref Px) Range: 3801.0 | 4023.0
SpotGamma Gamma Index™: -1.26 -1.27 -0.29 0.01 -0.09
Volatility Trigger™: 4000 4000 386 11070 291
SpotGamma Absolute Gamma Strike: 4000 4000 380 11150 300
Gamma Notional(MM): -751.0 -711.3 -1429.0 1.0 -596.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4002 4011 0 0 0
Put Wall Support: 3700 3700 380 10500 280
Call Wall Strike: 4300 4300 396 11150 292
CP Gam Tilt: 0.62 0.6 0.55 1.16 0.65
Delta Neutral Px: 4076
Net Delta(MM): $1,524,364 $1,527,942 $169,866 $52,395 $102,058
25D Risk Reversal -0.07 -0.07 -0.05 -0.07 -0.07
Call Volume 488,907 488,907 2,947,743 6,644 1,068,117
Put Volume 772,598 772,598 3,769,090 7,816 1,184,836
Call Open Interest 5,602,224 5,602,224 7,064,868 59,883 4,542,129
Put Open Interest 9,670,073 9,670,073 10,734,835 54,766 6,510,836
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): [3796.0, 3746.0, 3899.0, 3811.0, 3712.0]
SPY Combo: [378.08, 373.13, 388.35, 379.6, 369.71]
NDX Combo: [11519.0, 11717.0, 11426.0]
Sub Login
Support
Follow @SpotGamma
Strike Charts
Historical Chart
Gamma Expiration Tool
2022-06-29_CBOE_gammagraph_PMSPX.png
2022-06-29_CBOE_gammagraph_PMSPY.png
2022-06-29_CBOE_gammagraph_PMQQQ.png
2022-06-29_CBOE_gammagraph_PMNDX.png