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Informe SG Levels

Sep 2, 2022 | Option Levels | 0 Comentarios

Futures have been quiet overnight, holding 3665. All eyes are on the 8:30AM ET jobs report. We show resistance at 4000-4010 (SPY 410). Support shows at 3960 (SPY395) – 3950, then 3910 (SPY390) – 3900).

400SPY/4000SPX is still the dominant strike on the board, and overall our models are now bullish above this level, and bearish below. 390SPY/3900SPX remains the Put Wall, and the bottom of our trading range.

While the macro world is heavily focused on the jobs report, the options market is not anticipating all that much volatility. To this point today’s ATM straddle (ref: 3965) is currently trading at $44, which is just slightly above the SG 1 day implied move estimate of 40 pts (1.0%).

Its not the jobs figure that matters today – its the reaction to the jobs figure that matters. Futures are bound to get a lot of large swings following the 8:30 print, but longs are not safe unless markets can push back above 4010 SPY.

We think that above that 4010 level, hedging flows turn in favor of volatility suppression which is what holds up a rally. Given that markets face a 3 day weekend, a “market friendly” jobs figure should help bring out enough short dated volsellers to help drive higher equity prices (generally traders don’t want to hold short dated, high IV puts over long weekends).

A move that stalls under <=4000 is a major signal that the market is going to quickly fade back down into the <=3950 area.

Into next week, a slide lower here seems easier for this market, given the large put position and related gamma/vanna feedback loop (negative gamma + higher IV drives hedges which push market in its prevailing direction, expanding vol). As we see only ~5% of total gamma for the SPX/SPY/QQQ expiring today, its not a large expiration. There are likely a lot of traders which will be active in today’s expiration, but there aren’t enough puts closing today to remove material put positions and break the feedback loop when you zoom out in time. We continue to watch Sep 16th OPEX as a major date to break this loop.

Those of you more active traders may want to watch this video which shows how to use HIRO’s flow to help confirm major SG levels.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3967 3953 396 12274 299
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.0%, (±pts): 40.0 VIX 1 Day Impl. Move:1.6%
SpotGamma Imp. 5 Day Move: 2.85% 4058 (Monday Ref Px) Range: 3943.0 | 4174.0
SpotGamma Gamma Index™: -0.03 -1.37 -0.34 -0.00 -0.15
Volatility Trigger™: 4000 4000 400 12850 320
SpotGamma Absolute Gamma Strike: 4000 4000 400 12500 300
Gamma Notional(MM): -24.0 -730.49 -1758.0 -1.0 -1037.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4005 4113 414.0 12337.0 325
Put Wall Support: 3900 3900 390 11000 300
Call Wall Strike: 4005 4005 398 13250 303
CP Gam Tilt: 0.96 0.66 0.57 0.95 0.51
Delta Neutral Px: 4147
Net Delta(MM): $631,459 $1,676,324 $213,799 $52,731 $118,002
25D Risk Reversal -0.07 -0.07 -0.07 -0.06 -0.07
Call Volume 529,916 455,151 3,095,506 9,755 1,372,829
Put Volume 839,379 774,044 4,267,012 8,158 1,780,583
Call Open Interest 2,549,323 6,241,276 7,799,660 64,194 4,597,842
Put Open Interest 3,067,580 10,285,498 13,021,697 79,523 7,776,555
Key Support & Resistance Strikes:
SPX: [4300, 4200, 4100, 4000]
SPY: [400, 395, 390, 380]
QQQ: [310, 305, 300, 290]
NDX:[13250, 13000, 12500, 12000]
SPX Combo (strike, %ile): [3904.0, 3852.0, 4003.0]
SPY Combo: [390.08, 384.92, 399.99]
NDX Combo: [12299.0, 12091.0]
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