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Informe SG Levels

Jul 5, 2022 | SG Levels | 0 Comentarios

Futures are flat to Fridays close at 3809. We look for volatility to remain fairly elevated today, as the SG Implied move remains >1% and the VIX is up from Friday (and 2 week) lows to 28. Today we look for resistance at 3825 and 3855 (SPY 385). Support shows at 3800 then 3750.

Our research centers around cycles, and flows tied to those cycles. We’re entering a new cycle after the large June expirations, with the important options flows now tied to 7/15 OPEX. Equity OPEX lands just before a large VIX expiration (7/20), then FOMC (7/27). Earnings also start in earnest near mid July.

The prominent levels moving forward remain 4000 to the upside, 3800 and 3700 (SPY 370) to the downside.

We’ve been noting that July opens a window for further downside due to the removal of put hedges. You can see that reflected in the Gamma Tilt metric below (red) which bounced higher after the June OPEX(s). This signals ATMputs being closed and is often tied to large market rallies. There was a solid post-monthly OPEX rally, with the market +7% at its highs (currently +3.5%).

The issue here for the bull side is that the expiration put fuel is largely eroded. There are still large hedges on which should contain the vol-of-vol (i.e. no >35 VIX), but no hedges are likely to be materially closed until 7/15 OPEX. Additionally, from a more macro perspective, traders will be holding hedges in through the month-end FOMC.

Therefore while we remain in light negative gamma territory (dealers have to hedge in the prevailing market direction) there is nothing to force a delta covering (indiscriminate buying via put hedge closing). Skew is also less-flat now, indicating less put selling/call buying.

Despite our somewhat bearish lens the default flow, if the S&P holds 3800, is positive drift. If all is quiet on the macro front, then vanna and charm should support markets particularly as we approach 7/15 OPEX. Conversely, a break under 3800 tilts the board in bears favor and likely draws the SPX quickly down to the 3700 Put Wall area. The issue here is that we believe lower lows are now available due to the fact that put hedges were rolled to lower strikes.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3825 3825 381 11585 282
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.16%, (±pts): 44.0 VIX 1 Day Impl. Move:1.69%
SpotGamma Imp. 5 Day Move: 2.71% 3825 (Monday Ref Px) Range: 3721.0 | 3929.0
SpotGamma Gamma Index™: -0.85 -1.21 -0.21 0.01 -0.07
Volatility Trigger™: 3825 4000 380 11070 290
SpotGamma Absolute Gamma Strike: 4000 4000 380 11150 280
Gamma Notional(MM): -509.0 -509.48 -1079.0 2.0 -475.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3984 3981 0 0 0
Put Wall Support: 3700 3700 370 10500 280
Call Wall Strike: 4005 4005 386 11150 292
CP Gam Tilt: 0.72 0.61 0.58 1.16 0.66
Delta Neutral Px: 4059
Net Delta(MM): $1,486,339 $1,498,624 $154,078 $53,754 $93,970
25D Risk Reversal -0.07 -0.8 -0.06 -0.08 -0.07
Call Volume 395,370 551,283 1,773,375 4,146 595,299
Put Volume 745,604 828,941 2,494,627 3,860 661,453
Call Open Interest 5,450,689 5,440,998 6,335,156 60,993 4,118,252
Put Open Interest 9,374,343 9,433,872 10,095,234 57,334 5,913,987
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): [3798.0, 3749.0, 3714.0]
SPY Combo: [378.57, 373.62, 370.18]
NDX Combo: [11493.0, 11296.0]
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