2016/06/27 SPY Options Wrap Up

Outlook

The market is digesting the impact of BRexit. In Japan, some critics are saying BRexit is much worse than 2007 financial crisis. I think BRexit is not that bad, but cheaper £ definitely gives US companies less sales from UK region.

At this moment, nobody knows how big BRexit's impact is, therefore we should ask to the market that can magically guess anything.

Right now, S&P500 is oversold in short term so we can expect some rebound here, however, under this uncertain situation, we can't expect enough buyers show up therefore "Sell the blip" would be the right tactics, and SPY 203 level would lure those sellers.

SPY today

SPY 5m

SPY gapped down again and it showed beautiful positive divergence and suggests short term bottoming. The problem is similar positive divergence was observed last Friday. 

SPY 1h

Above is SPY 1hour chart and it shows us how steep this decline was. Those indicators such as RSI or PPO suggest very short term bottoms is in. The upper side of Raff Channel is coincidentally same level as 0.382 fib and it's reasonable target for near term rebound. If SPY can't get buyers at this level, 203, sellers will show up.

$NYAD

$NYHL

SPY:RSP

$SPX CVI

$SPX STVO

$SPX VTO

CVI is -2σ and suggests near term rebound. 

SPY OI 06/30

SPY OI 07/01

SPY OI 07/08

SPY DWV 06/30

SPY DWV 07/01

SPY DWV 07/08

There are two expirations this week and 06/30 had lots of Put selling today while 07/01 had Put buying. There are still ITM puts for 06/30 and we can expect delta hedge selling if SPY can't recover 205 level by Wednesday.

Extra: S&P500 components

Long watch list...DPS

DPS

Short watch list...SPLS and ZION

SPLS

ZION