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Informe SG Levels

Jul 14, 2022 | SG Levels | 0 Comentarios

 Rallies should be categorized as short covering and subject to failure.

S&P 500 Levels:

  • $4,000.00 is significant overhead resistance.
  • $3,900.00 is a pivot above which volatility should decrease.
  • $3,800.00 is major support below which there may be an accelerated sell-off.

What To Watch:

  • Volatility may increase following the July 15 (equity) and July 20 (VIX) options expirations.
  • The potential for volatility to remain heightened into the July 27th FOMC rate decision.

Daily Note:

Futures are weaker this morning, down to 3750. Volatility will likely remain high today with support at 3750 (SPY 375) then 3700. Resistance shows at 3800.

Yesterdays AM bounce was strong off of the morning low of 3750, and futures are currently retesting that level. 3750 is a moderate gamma level, and an area which has functioned as support several times the last month.

W’ed note that HIRO captured strong positive deltas off of that morning low, but as the market revisited 3800 those deltas turned negative as shown below (purple line). This real time flow, plus our view on general dealer positioning (negative gamma due to put holdings) suggests short covering of that rally.

Yesterdays trading seemed to have built up the positioning at 3800, which makes it more of a short term resistance/pinning area (into Fridays OPEX). You can see that whats most critical about this level is that <3800 call open interest fades sharply (red box). This means that its purely put gamma <3800 which is associated with higher levels of volatility. Again, this is playing into this time frame wherein we see catalysts for higher volatility (detailed here).

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3801 3802 378 11728 285
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.22%, (±pts): 46.0 VIX 1 Day Impl. Move:1.68%
SpotGamma Imp. 5 Day Move: 2.98% 3899 (Monday Ref Px) Range: 3783.0 | 4015.0
SpotGamma Gamma Index™: -1.09 -1.05 -0.31 -0.01 -0.07
Volatility Trigger™: 3825 3860 385 12000 290
SpotGamma Absolute Gamma Strike: 3800 3800 380 12500 280
Gamma Notional(MM): -692.0 -673.92 -1589.0 -1.0 -456.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3957 3989 0 0 0
Put Wall Support: 3700 3700 370 11000 280
Call Wall Strike: 4005 4005 390 11150 295
CP Gam Tilt: 0.69 0.63 0.51 0.91 0.72
Delta Neutral Px: 4033
Net Delta(MM): $1,554,713 $1,564,042 $163,083 $60,118 $99,735
25D Risk Reversal -0.08 -0.08 -0.06 -0.07 -0.07
Call Volume 486,870 371,321 1,699,541 6,476 744,862
Put Volume 871,946 643,453 2,902,061 5,985 1,002,464
Call Open Interest 5,799,676 5,783,554 7,082,086 68,280 4,578,641
Put Open Interest 10,048,084 9,921,939 11,177,310 64,739 6,516,805
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3850, 3800]
SPY: [385, 380, 375, 370]
QQQ: [300, 290, 285, 280]
NDX:[12500, 12000, 11800, 11150]
SPX Combo (strike, %ile): [3698.0, 3748.0, 3801.0, 3714.0, 3763.0]
SPY Combo: [368.6, 373.53, 378.83, 370.12, 375.04]
NDX Combo: [11494.0]
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