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Informe SG Levels

Sep 1, 2022 | Option Levels | 0 Comentarios

Futures have pushed lower to 3930. Support is at 3900 (Put Wall) with resistance at 3951 then 4000. The Put Wall is the bottom of our trading range, and a break below that level signals the market is oversold – until/unless the Put Wallrolls lower.

The key flow from yesterday is puts, which were net closed >=400/4000 and rolled lower. This keeps negative gamma active, and comes from puts which are more likely short dated. Along these lines note that SPY & QQQ are the much more active index/ETF complexes vs SPX. They both exhibit larger negative gamma complexes vs SPX, suggesting larger, more impactful put positions in the short term.

The issue here for markets, as we’ve discussed, is that we’re now in this downside feedback loop. Increasing IV + negative gamma keeps the pressure on markets and volatility elevated. Without an options expiration and/or a major data point there is little to break that feedback loop. Friday’s jobs report is likely that short term catalyst.

In the chart above we’ve marked expiration and other key events in an attempt to highlight not only the importance of price, but also time. We think that with markets caught in this feedback loop, September OPEX will likely be the major, key turning point which breaks the loop. You can see evidence of this in/around June expiration.

A positive jobs report tomorrow could provide some short term relief, but unless large put positions are sold/closed, then any rally is likely to fade.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3955 3971 395 12272 299
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.16%, (±pts): 46.0 VIX 1 Day Impl. Move:1.63%
SpotGamma Imp. 5 Day Move: 2.85% 4058 (Monday Ref Px) Range: 3943.0 | 4174.0
SpotGamma Gamma Index™: -1.37 -1.24 -0.41 -0.00 -0.16
Volatility Trigger™: 4000 4100 405 12850 320
SpotGamma Absolute Gamma Strike: 4000 4000 400 12500 300
Gamma Notional(MM): -724.0 -776.72 -2008.0 -1.0 -1067.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4115 4132 412.0 12334.0 323
Put Wall Support: 3900 3900 390 11000 300
Call Wall Strike: 4005 4400 420 13250 325
CP Gam Tilt: 0.67 0.65 0.48 0.95 0.45
Delta Neutral Px: 4042
Net Delta(MM): $1,676,922 $1,774,890 $205,181 $44,365 $105,794
25D Risk Reversal -0.07 -0.07 -0.06 -0.06 -0.06
Call Volume 455,151 552,937 1,696,145 6,060 717,809
Put Volume 774,044 886,150 2,794,614 5,326 908,510
Call Open Interest 6,241,276 6,229,560 7,388,569 63,242 4,334,623
Put Open Interest 10,285,498 10,759,296 12,369,139 72,145 7,148,204
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3800]
SPY: [400, 395, 390, 380]
QQQ: [310, 300, 295, 290]
NDX:[13250, 13000, 12500, 12000]
SPX Combo (strike, %ile): [3900.0, 3999.0, 3951.0, 3848.0, 3904.0]
SPY Combo: [389.65, 399.53, 394.78, 384.51, 390.04]
NDX Combo: [12297.0, 12100.0, 12223.0, 12137.0]
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