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Informe SG Levels

Ago 26, 2022 | Option Levels | 0 Comentarios

Futures are up slightly to 4190. Data is again little changed for today, with primary resistance at 4204, then 4250. Support shows at 4160 (SPY 415) – 4150, then 4110 (SPY 410).

While the last few sessions have been rather quiet, things should certainly get more interesting today.

Powell’s 10AM ET speech is the main event, which should trigger a large directional move in markets. 420 SPY is the most prominent level in our data as shown below, and the key pivot line for today. If markets can get up above that 420 line they should be fairly well supported into the close. Note that we see roughly 20% of total S&P gamma expiring today.

This fairly large expiration suggests that the price action around 4200 should remain fluid into next week, backing our view that an extended directional move sets up into month end. Over that more extended time frame we continue to see 4300 as major resistance, and 4000 as major support.

The key metric to watch today will be implied volatility. Shown below are VIX curves with last Wednesday in blue, when the VIX was testing 20. You can see that todays curve (black) is at a premium due to the Jackson Hole event-vol. Should Powell come off as dovish we’d anticipate a quick reversal in todays more elevated vol readings, back to those August lows.

A sharp drop in IV likely fuels a rather quick test of 4300 for early next week. It’s at 4300 wherein we see call positions increase, and linked to that should be a reduction in market volatility.

In yesterdays AM note we outlined the more aggressive bear case. We think that based on current market positioning, a hawkish read on Powell could spark a rather violent downside move. This move would be fueled by both a demand for put options, and increased IV. This ignites the delta/gamma/vanna feedback loop which pressures markets lower.
This is delta from new put trades, gamma hedging from existing put options, and vanna from increasing put values due to higher IV.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 4199 4189 419 13143 320
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.06%, (±pts): 45.0 VIX 1 Day Impl. Move:1.37%
SpotGamma Imp. 5 Day Move: 2.77% 4228 (Monday Ref Px) Range: 4111.0 | 4345.0
SpotGamma Gamma Index™: 0.56 -0.15 -0.06 0.04 -0.05
Volatility Trigger™: 4140 4140 415 12850 318
SpotGamma Absolute Gamma Strike: 4000 4000 420 13250 325
Gamma Notional(MM): 34.0 49.85 -528.0 5.0 -415.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4176 4166 422.0 12345.0 328
Put Wall Support: 4000 3900 400 11000 300
Call Wall Strike: 4300 4300 420 13250 325
CP Gam Tilt: 1.16 1.03 0.84 1.43 0.77
Delta Neutral Px: 4133
Net Delta(MM): $1,762,001 $1,696,842 $195,585 $56,097 $106,109
25D Risk Reversal -0.06 -0.06 -0.06 -0.06 -0.07
Call Volume 367,911 339,162 1,981,451 4,140 742,520
Put Volume 550,098 529,287 2,641,449 6,467 891,502
Call Open Interest 6,056,220 6,064,018 7,182,446 60,814 4,235,730
Put Open Interest 10,600,601 10,318,914 12,585,507 76,453 7,351,258
Key Support & Resistance Strikes:
SPX: [4300, 4200, 4150, 4000]
SPY: [430, 420, 415, 410]
QQQ: [330, 325, 320, 315]
NDX:[14000, 13250, 13000, 12500]
SPX Combo (strike, %ile): [4301.0, 4200.0, 4250.0, 4275.0, 4204.0]
SPY Combo: [429.58, 419.51, 424.54, 427.06, 419.93]
NDX Combo: [13249.0, 13328.0, 13525.0, 12920.0]
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