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Informe SG Leviels

Ago 8, 2022 | Informe Option Levels, Option Levels | 0 Comentarios

Futures are up slightly to 4150. Resistance is at 4161 (SPY 415 Call Wall) and 4200 (Call Wall). Support shows at 4150 then 4100. While gamma is flat for SPX, it remains negative for SPY/QQQ which suggests market price swings will remain elevated (>1%).

Options positions, despite the volatility, are stagnant. This is best seen in the gamma curves below wherein we have the curve from 8/4 on the left and 8/8 on the right. In particular we draw your attention to the peak of the at 4200. Note how flat both charts are to the right 4200, which tells us that positions are not yet being added >4200. Call positions building >=ATM is what builds support into markets.

In reality, since the rip higher after FOMC, the market has not done much. Interestingly, this area just above 4000 more or less coincides with zero gamma, an arguably a lower bound in IV (ex: VIX >=20). In other words, the options fuel drained off right in this 4100 area which syncs with markets stalling.

To this point we’ve posted the SDEX (NationsSKEW Index) below. While you don’t want to use technical analysis on this metric it is interesting to see the lows and highs as a barometer of cheap & rich. Specifically this measures ATMoptions to put options 1 standard deviation down. One could see the declining of this metric as traders selling OTM puts, which fuels markets higher.

Normally when markets get stuck in a range you see gamma build, and that helps to further constrict vol. Here, the S&P is stuck in a range, however because gamma isn’t building we’re seeing multiple 1% swings per session. There isn’t much stability.

Further, the Call Wall’s remain at 415(SPY) and 4200(SPX), with the Vol Trigger/Zero Gamma level(s) sliding up to 4100. The big gamma resistance zones are not building at higher strikes. Finally, we note the MOVE Index is holding tight.

All of these metrics were moving in bullish-sync (calls building, equity IV down, MOVE Index aka bond IV down), but everything has paused. While the S&P is above the Vol Trigger(4090) we maintain a bullish stance, however support is wearing away, as per Vol Trigger shifting higher.

That presents the issue here – it’s a fine line between consolidation, and topping.

The good news for bulls may be in fresh stimulus. If this can help usher in a test of the 4200 Call Wall we’d certainly see that as constructive. Ideally markets test the Call Wall, and the Wall then rolls to a higher strike. This would confirm that markets can take another leg higher.

Conversely, bears still do not have a clear shot until/unless 4100 is broken. A downside move of this magnitude (i.e. break of 4100) would likely take 2 sessions to occur as our max move for today is 1.15% (~48 handles). If 4100 is lost, we then see a rather quick retest of major 4000 support.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 4144 4141 413 13207 321
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.15%, (±pts): 48.0 VIX 1 Day Impl. Move:1.32%
SpotGamma Imp. 5 Day Move: 3.05% 4144 (Monday Ref Px) Range: 4018.0 | 4271.0
SpotGamma Gamma Index™: 0.64 0.79 -0.06 0.01 -0.04
Volatility Trigger™: 4090 4075 411 12520 320
SpotGamma Absolute Gamma Strike: 4000 4000 400 12500 320
Gamma Notional(MM): 120.0 131.39 -391.0 1.0 -298.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4121 4118 0 0 0
Put Wall Support: 3900 3900 400 12500 320
Call Wall Strike: 4200 4200 415 11925 330
CP Gam Tilt: 1.21 1.08 0.87 1.08 0.8
Delta Neutral Px: 4079
Net Delta(MM): $1,633,962 $1,748,973 $186,294 $66,288 $104,414
25D Risk Reversal -0.07 -0.06 -0.06 -0.06 -0.06
Call Volume 338,339 338,618 1,341,143 3,785 514,630
Put Volume 790,070 588,821 2,519,567 5,001 1,008,877
Call Open Interest 5,724,882 6,027,616 6,962,323 63,206 4,013,033
Put Open Interest 10,281,496 10,359,868 12,494,518 66,987 7,083,072
Key Support & Resistance Strikes:
SPX: [4200, 4150, 4100, 4000]
SPY: [420, 415, 410, 400]
QQQ: [325, 320, 310, 300]
NDX:[14000, 13500, 13000, 12500]
SPX Combo (strike, %ile): [4199.0, 4149.0, 4248.0, 4174.0, 4161.0]
SPY Combo: [418.85, 413.88, 423.81, 416.36, 415.12]
NDX Combo: [13142.0, 13551.0, 13340.0]
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