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Informe SG Levels

Jul 18, 2022 | Option Levels | 0 Comentarios

Futures have pushed back to recent highs of 3900. We look for the market to continue pressing 1% daily moves, however volatility should start to trend lower if the market holds 3900. Resistance shows at 3931 and 3947. Support shows at 3900 then 3850.

Our models suggest a bullish edge for markets when the the SPX > Vol Trigger (3840). 4000 remains very large resistance into the FOMC. A major draw down (+1%) is unlikely unless the market breaks 3800.

We’re watching two things here: Wednesday AM VIX expiration & next weeks FOMC.

First, in regards to VIX Expiration we saw the market had major jumps higher the Monday/Tuesday before April/May VIX exp. This seems to be a similar setup here as VIX exp clears out all of these puts in the 20-25 VIX range. With the VIX currently just under 25, we think that VIX exp should drag the general vol complex lower as positions reset. This IV drag is likely an equity tail wind, and we touch on this as the last several VIX expirations have seen very strong “head scratching” equity pops.

You can see the returns around VIX exp here:

And chart here:

In regards to FOMC, we continue to think IV will catch a bid as we approach next week. Further, as we are above the Vol Trigger we see gamma as flat to mildly positive, which suggests that gamma induced volatility is mitigated. Therefore there needs to be another non-options catalyst to drive markets higher (outside of this brief VIX exp window), particularly into the large 4000 resistance line. We think a post-VIX Exp catalyst is unlikely to materialize until after next Wednesdays FOMC.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3861 3848 385 11983 291
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.13%, (±pts): 44.0 VIX 1 Day Impl. Move:1.52%
SpotGamma Imp. 5 Day Move: 3.05% 3861 (Monday Ref Px) Range: 3744.0 | 3979.0
SpotGamma Gamma Index™: -0.48 -0.92 -0.14 0.02 -0.03
Volatility Trigger™: 3840 3800 384 11750 290
SpotGamma Absolute Gamma Strike: 4000 3800 380 11925 300
Gamma Notional(MM): -332.0 -307.87 -700.0 2.0 -234.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3931 3918 0 0 0
Put Wall Support: 3700 3800 370 11000 280
Call Wall Strike: 4005 3850 392 11925 292
CP Gam Tilt: 0.83 0.83 0.72 1.28 0.81
Delta Neutral Px: 4006
Net Delta(MM): $1,381,017 $1,546,493 $148,099 $48,735 $87,575
25D Risk Reversal -0.06 -0.06 -0.06 -0.07 -0.06
Call Volume 406,147 613,984 1,558,771 15,301 591,894
Put Volume 728,583 949,104 2,562,219 9,557 639,700
Call Open Interest 5,170,237 6,046,924 6,310,376 55,176 3,726,371
Put Open Interest 8,966,761 10,024,193 9,985,617 52,434 5,638,869
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3850, 3800]
SPY: [385, 380, 375, 370]
QQQ: [300, 290, 285, 280]
NDX:[13000, 12500, 12000, 11925]
SPX Combo (strike, %ile): [3800.0, 3750.0, 3947.0, 3773.0]
SPY Combo: [378.97, 373.96, 393.6, 376.27]
NDX Combo: [11924.0, 11696.0, 11984.0]
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