2016/03/30 SPY Options Wrap Up

Outlook

Uptrend is still intact but momentum isn't so good. Bears would use NFP report on Friday as a good excuse to sell.

SPY today

SPY gaped up but couldn't keep the high. Momentum is waning.

CVI/STVO/VTO and trends/overbought/oversold

$SPX CVI

$SPX STVO

$SPX VTO

Both CVI and STVO up slightly with negative divergence. This suggests pullback is due in near future, maybe in days. VTO is still in high level so the coming pullback would be minor one.

SPI Options OI and Dollar Weighted Volume

OI charts suggests SPY 207 would be resistance level tomorrow and Friday. DWV chart is kind of crap as the market was thin again today.

2016/03/29 SPY Options Wrap Up

Outlook

We are still bullish. SPY will be grinding up by the end of this month with window dressing, however, NFP report could give the market some turbulence.

SPY today

SPY 5m

SPY gaped down then ground higher and Yellen said something at Congress then market lifted off. Volume wasn't impressive today.

CVI/STVO/VTO and trends/overbought/oversold

$SPX CVI

$SPX STVO

$SPX VTO

CVI suggests very short term momentum is up with some room. STVO suggests near term consolidation. VTO suggests mid-term momentum started abating.

SPY Option OI and Dollar Weighted Volume

SPY OI 03/31

SPY OI 0401

SPY DWV 03/31

SPY DWV 04/01

SPY Big Trades 03/31

SPY Big Trades 04/01

OI is skewed to call side on 03/31 and put side on 04/01. Notice 03/31 has far more OI than 04/01.

OI 03/31 has two call peaks at 204 and 207. Part of those peaks come from big bull call spread opened on 03/22 and the seller of this CS must be feeling pain in his ass now. Unless SPY pulls back under 204 by 03/31, the seller of this CS has to buy back 204.00C and this process will lift SPY further. This is why we are bullish by the end of this month.

The story is slightly different for 04/01. The OI is not so built up as 03/31. This means it's not so easy for the tail(option) wags the dog(SPY). SPY may end up at max pain, which is 203.50 at this moment. We think NFP report could give SPY some pullback.

By the way, the option market was thin again today. Don't get bothered by watching DWV charts today.

Happy trading.

2016/03/28 SPY Options Wrap Up

Outlook

We are still bullish. SPY may have to struggle to clear its 5SMA tomorrow.

SPY today

SPY 5m

Low volume, low volatility, and pretty much boring market today. I should have had a off day.

CVI/STVO/VTO and trends/overbought/oversold

$SPX CVI

$SPX STVO

$SPX VTO

CVI and STVO suggests near term volatility is shrinking, while VTO suggests uptrend intact.

SPY Option OI and Dollar Weighted Volume

SPY OI 03/31

SPY OI 04/01

SPY DWV (03/31, 04/01, 04/08)

SPY Big Trades(03/31, 04/01, 04/08)

Option market was dead quiet today. There was no edge on SPY option trades.

2016/03/24 SPY Options Wrap Up

Outlook

We are still bullish. SPY may try last week's high (205.23) this coming week, or even higher.

There are two expirations coming this week. One is quarterly(0331) and the other one is weekly(0401). DOL reports non farm payroll data on Friday so IV will be creeping up by Thursday.

SPY today

SPY 5m

SPY gapped down but eventually recovered. I should have had a off day.

CVI/STVO/VTO and trends/overbought/oversold

$SPX CVI 

$SPX STVO

$SPX VTO

CVI and STVO suggest near term weakness while VTO suggests mid-term strength.  Bears may try to take control but dips will be bought.

SPY Options OI and Dollar Weighted Volume

SPY OI 03/31

SPY OI 04/01

SPY DWV 03/31

SPY DWV 04/01

SPY Options Big Trades 03/31

On 22nd, there was a treader who bought $2.74M of 0331SPY 204/207 Call Spread. Today, there were another big Ratio Call Spread trades at 12:15:37, 12:17:59, and 12:23:31. This is a 202.00C x 15000/204.00C x 2400 spread with debit of $996,000 and we would say this is a bullish position. 

2016/03/23 SPY Options Wrap Up

Outlook

We are bullish at here. SPY may be at or near intermediate bottom.

SPY today

SPY 5m

SPY gapped down and kept down with positive divergence. After SPY undercut 5SMA, buyers showed up but they couldn't take control and SPY ended up new low. Notice 5SMA is still rising and last high is within 1% range.

CVI/STVO/VTO and trends/overbought/oversold

$SPX CVI

$SPX STVO

$SPX VTO

Negative CVI suggests $SPX still may have downside room. Both STVO and VTO declined today but remain in high level, that suggests this pullback would be very shallow.

SPY Options OI and Dollar Weighted Volume

SPY OI 03/24

SPY DWV 03/24

SPY DWV 03/31

SPY DWV 04/01

Tomorrow is expiration day because Friday is holiday and some traders bought plenty amount of Puts at low. Most of those Puts are ITM (207 or 207.50) so if SPY rebounds it's pretty much sure they are going to close those positions to limit the loss, and those selling will fuel rebound.

2016/03/22 SPY Options Wrap Up

Outlook

Our outlook is same as yesterday.

We expect bears trying to sell at the high while the market is clearly overbought, but the pullback will be very shallow. SPY might undercut 5SMA where buyers would show up.

SPY today

SPY 5m

SPY started gapped down and buyers showed up immediately after the open then took control for new high. As we expected, 205 worked as strong resistance so far.

CVI/STVO/VTO and trends/overbought/oversold

$SPX CVI

$SPX STVO

$SPX VTO

All of CVI, STVO, and VTO suggests strong uptrend, overbought condition, and near term consolidation.

SPY Option OI and Dollar Weighted Volume

SPY OI 03/24

SPY DWV 03/24

SPY DWV 03/31

SPY Big Trades 03/31

There still exists SPY 205/206 walls which work as resistance and it was really quiet session for 03/24 options. There was only one big trade we would like to focus on today. Somebody bought 20000x204/207 Call Spread for 03/31 expiration. It costed $2,740,000 and max profit would be $3,260,000 if SPY closes more than 207 on 03/31. The max loss is of course $2,740,000 if SPY closes less than 204 so we would say this is pretty much bullish trade.