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Informe SG Levels

Ago 4, 2022 | SG Levels | 0 Comentarios

  • Traders are adding to the market’s bullish, positive gamma position. Absent some exogenous shock or event after which gamma position may shift drastically (e.g., OPEX), we continue to forecast a decreased potential for downside volatility.

S&P 500 Levels:

  • $4,200 Resistance (Top Of Range)
  • $4,150 Key Pivot (Middle Of Range)
  • $4,075 Support (Bottom Of Range)

What To Watch:

  • The trend of positive gamma building (at and above SPX $4,000 and QQQ $311), which is likely to help pressure implied volatility, should remain into August OPEX, the monthly options expiration.
  • Break below $4,075 invokes negative gamma, higher implied volatility, and potential for an accelerated sell-off.
  • Watch 1-month realized volatility. If RVcontinues to decline it implies IV can drag lower, which is a market tailwind.

Daily Note:

Futures are flat to 4164. Models continue to look for 1% daily moves. Resistance is marked at 4176 and 4200. Support shows in the 4160(SPY415) – 4150 range, then 4100.

The market continues to grind up, but well within the confines of SG models. From a base level when you lay out the large gamma strikes, you can see the mean reversion that is taking place in side of the large strikes. The Call Wall continues to build in size, and the Vol Triggercontinues to slide higher. We view both of these as healthy signals, with bulls continuing to hold the edge until a break of 4075 (Vol Trigger).

Whats interesting here is that while SPX hold a slightly positive gamma position, we see both SPY & QQQ as flat to negative. This implies that there is a bit more volatility potential embedded in markets, and that volatility works both ways (markets move up and down).

We suspect that this model difference lies in the fact that SPY/QQQ positions have more actively rolling vs long term positions.

A quick segue to provide evidence for this activity – see the bar plots below of gamma by expiration. In notional terms there is a great deal more gamma at shorter dated, non-monthly expirations for SPY/QQQ (top) vs SPX (bottom). This is one reason why we’re adamant about marking key SPY/QQQ levels & using combostrikes – the ETF size can often be much larger than SPX. Note, too, that Aug 19th OPEX is building some decent size and is a date to watch.

Back to our original thread – this difference in position duration presents an interesting dichotomy between vanna models wherein the decline in IV is a volatility boost for QQQ/SPY(bottom left) vs drag on SPX. If the S&P tags 4200, that “right-skew” in the model (bottom right) becomes heavier which should start to squash realized volatility. Further a push to 420 SPY & 325 QQQ likely shifts their vanna models to match the SPX.

The point here is that from a volatility perspective, we are still seeing a fair amount of realized volatility (i.e. >1% intraday swings). This suggests there isn’t as much stability in the market as we’d like to see. While our models continue to favor the bullish side, we have to continue applying these asterisks. A single close down 1-1½% places a massive dent in the bullish case, and shifts many of our models back into instability.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 4154 4165 414 13253 322
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.12%, (±pts): 46.0 VIX 1 Day Impl. Move:1.38%
SpotGamma Imp. 5 Day Move: 3.12% 4130 (Monday Ref Px) Range: 4002.0 | 4259.0
SpotGamma Gamma Index™: 0.84 0.24 -0.03 0.01 -0.00
Volatility Trigger™: 4075 4060 412 12510 314
SpotGamma Absolute Gamma Strike: 4000 4000 400 12500 320
Gamma Notional(MM): 211.0 293.29 -256.0 1.0 -63.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4104 4083 0 0 0
Put Wall Support: 3900 3900 400 12500 290
Call Wall Strike: 4200 4200 420 11925 325
CP Gam Tilt: 1.29 1.21 0.91 1.07 0.95
Delta Neutral Px: 4089
Net Delta(MM): $1,635,665 $1,616,119 $192,790 $63,849 $102,377
25D Risk Reversal -0.07 -0.08 -0.05 -0.07 -0.07
Call Volume 483,061 382,334 1,687,119 7,500 669,475
Put Volume 712,618 726,177 2,633,763 5,931 1,225,614
Call Open Interest 5,687,415 5,650,688 7,125,144 60,739 3,990,686
Put Open Interest 10,213,939 10,101,458 12,809,643 65,473 7,001,909
Key Support & Resistance Strikes:
SPX: [4200, 4150, 4100, 4000]
SPY: [420, 415, 410, 400]
QQQ: [320, 310, 305, 300]
NDX:[14000, 13000, 12500, 11925]
SPX Combo (strike, %ile): [4201.0, 4151.0, 4250.0, 4176.0, 4171.0]
SPY Combo: [419.01, 414.04, 423.98, 416.52, 416.11]
NDX Combo: [13346.0, 13545.0]
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