2016/06/02 SPY Options Wrap Up

Outlook

The first Friday is non farm payroll day when every trader reacts to the margin of error. As I said, NFP number itself is not important, but the reaction of the market is, and we expect SPY would converge to max pain level, 209-210, then SPY would follow seasonal pattern from next week. SPY tends to get volatile on second week due to the rollover of S&P500 futures.

SPY today

SPY 5m

SPY gapped down at 5SMA, then squeeeeezed higher with light volume.

$NYAD

$NYHL

SPY:RSP

$NYAD and $NYHL suggest new ATH is nigh.

$SPX CVI

$SPX STVO

$SPX VTO

CVI suggests very short term overbought condition. Bears may try to turn down the market but strong VTO would support BTFD.

SPY OI 0603

SPY OI 0610

SPY OI 0617

SPY DWV 0603

SPY DWV 0610

SPY DWV 0617

SPY surpassed the wall of 210Call and if the market goes higher after tomorrow's NFP number, it's possible that those call sellers would buy back SPY for delta hedging, however, there were relatively big call buying today and we know it's not a good idea to buy calls at breakout. Therefore, we think SPY would get sold at high and will end at max pain level, 209-210.