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Informe SG Levels

Jul 26, 2022 | Option Levels | 0 Comentarios

  • Larger ranges following the July 15 (equity) and July 20 (VIX) options expirations.
  • Equity markets may jump into the Wednesday, July 20, 2022, VIX expiration.
  • Implied volatility is likely to rise as we approach the July 27, 2022, FOMC event.

Rally Criteria

  • QQQ/SPY/SPX > 300/400/4000
  • Call positions building overhead (i.e., Call Walls > Absolute Gamma Strikes)
  • MOVE Index (i.e., “Bond VIX”) breaking lower.

Daily Note:

Futures are off slightly to 3950, which is large support (Vol Trigger). Additional support shows at 3900. To the upside we see resistance at 3977 and 4000.

The talk of the town is WMT’s miss on earnings(-10% premarket). This is dragging down other large names in sympathy like AMZN & TGT, but likely has little impact on index flows. We think that any sharp directional index move will be met with mean reversion back into the 3950-4000 area.

One of our core themes has been for volatility to reduce if the S&P broke >3900. As you can see below the market has held quite a tight range while >3900, trapped just under the large 4000 level. This decline in realized volatility is reflected in our 5 day RV reading down near 8 (see here) which is near YTD lows.

In other words, this brief respite is as calm a period as we’ve seen all year, and thats likely to give way tomorrow afternoon with FOMC.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3966 3962 395 12328 300
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.13%, (±pts): 49.0 VIX 1 Day Impl. Move:1.47%
SpotGamma Imp. 5 Day Move: 2.86% 3962 (Monday Ref Px) Range: 3849.0 | 4076.0
SpotGamma Gamma Index™: -0.09 -0.04 -0.13 0.02 -0.05
Volatility Trigger™: 3950 3920 395 11750 301
SpotGamma Absolute Gamma Strike: 4000 4000 400 11925 300
Gamma Notional(MM): -157.0 -131.67 -691.0 4.0 -323.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3977 3973 0 0 0
Put Wall Support: 3800 3800 370 11000 280
Call Wall Strike: 4100 4000 405 11925 310
CP Gam Tilt: 0.97 0.92 0.75 1.37 0.77
Delta Neutral Px: 3993
Net Delta(MM): $1,478,580 $1,447,133 $162,809 $49,186 $94,110
25D Risk Reversal -0.06 -0.07 -0.05 -0.06 -0.05
Call Volume 312,145 349,003 1,008,658 2,835 492,712
Put Volume 639,316 761,897 1,901,133 3,810 678,499
Call Open Interest 5,607,857 5,415,122 6,682,834 58,240 3,986,925
Put Open Interest 9,508,451 9,509,905 10,969,384 52,950 6,324,852
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3800]
SPY: [400, 395, 390, 380]
QQQ: [310, 305, 300, 290]
NDX:[14000, 13000, 12500, 11925]
SPX Combo (strike, %ile): [4049.0, 3998.0, 3899.0, 4006.0, 3911.0]
SPY Combo: [403.88, 398.73, 388.85, 399.53, 390.03]
NDX Combo: []
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