loader image

Informe SG Levels

Ago 22, 2022 | Option Levels | 0 Comentarios

Volatility has resurfaced this morning, with futures sharply lower to 4180. This technically places markets back into a negative gamma stance across the S&P and QQQ. 4200 is the key resistance line above, followed by 4250. Support shows at 4160 (SPY 415), then 4100.

We’re kicking off a new OPEX cycle today, with focus shifting on how positions build into what will be a very large quarterly September expiration. Usually these post-OPEX price contractions are short lived (1-2 sessions), however we have larger concerns here due to the magnitude of the markets recent rally (+10% over a few weeks).

The rally coincided with very bullish IV skew (ex: our Risk Reversal at -0.04, as outlined last week). Some demand now shifting back into puts can lead to jumpy IV, which adds downside stock pressure. For this reason, watching IV (or simply the VIX) from the open will be critical. If IV/VIX gets crushed off of the open it suggests that traders are still in buy the dip mode.

Along with monitoring IV/VIX, 4200 is the major S&P level to watch. If the VIX declines & the S&P retakes 4200 today, then we’d label this decline as simply an “OPEX correction” and not a “new bear”. In this scenario, we’d forecast volatility to continue contracting in the days ahead, and a retest of the 4300 Call Wall by months end.

Conversely, the combination of remaining <4,200 with building IV (i.e. VIX) implies the pressure is building for a larger downside swing. 4160 (SPY 415) – 4150 is a light support area, with 4110 (SPY 410) being more solid support.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 4228 4228 422 13242 322
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.14%, (±pts): 48.0 VIX 1 Day Impl. Move:1.29%
SpotGamma Imp. 5 Day Move: 2.77% 4228 (Monday Ref Px) Range: 4111.0 | 4345.0
SpotGamma Gamma Index™: 0.21 1.02 -0.13 0.03 -0.09
Volatility Trigger™: 4225 4190 422 12850 325
SpotGamma Absolute Gamma Strike: 4000 4300 420 13250 325
Gamma Notional(MM): -26.0 -101.1 -662.0 5.0 -544.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4205 4236 424.0 12345.0 338
Put Wall Support: 4000 4000 400 11000 320
Call Wall Strike: 4300 4350 430 13250 340
CP Gam Tilt: 1.06 0.95 0.79 1.45 0.67
Delta Neutral Px: 4130
Net Delta(MM): $1,723,637 $1,950,393 $188,840 $57,067 $100,645
25D Risk Reversal -0.06 -0.04 -0.06 -0.06 -0.07
Call Volume 450,080 611,818 1,377,626 15,700 666,219
Put Volume 860,180 866,358 2,392,687 9,343 913,554
Call Open Interest 5,890,469 6,627,516 6,724,681 60,395 3,780,730
Put Open Interest 10,184,461 11,616,964 11,714,049 70,669 6,932,995
Key Support & Resistance Strikes:
SPX: [4300, 4250, 4200, 4000]
SPY: [430, 425, 420, 415]
QQQ: [330, 325, 320, 300]
NDX:[14000, 13250, 13000, 12500]
SPX Combo (strike, %ile): [4300.0, 4351.0, 4326.0, 4309.0, 4275.0]
SPY Combo: [429.32, 434.38, 431.85, 430.16, 426.78]
NDX Combo: [13256.0, 13124.0, 12925.0]
Sub Login
Support
Follow @SpotGamma
Strike Charts
Historical Chart
Gamma Expiration Tool
2022-08-22_CBOE_gammagraph_AMSPX.png
2022-08-22_CBOE_gammagraph_AMSPY.png
2022-08-22_CBOE_gammagraph_AMQQQ.png
2022-08-22_CBOE_gammagraph_AMNDX.png
2022-08-22_CBOE_gammagraph_AMIWM.png
2022-08-22_CBOE_gammagraph_AMRUT.png
2022-08-22_CBOE_gammagraph_AMDIA.png