2016/06/03 SPY Options Wrap Up

Outlook

We would like to stick with seasonal pattern. SPY tends to get volatile while futures traders roll over their positions and most of the roll over happens this coming week and bottoms would be in Thursday or Friday, followed by grinding up towards monthly expiration. While we expect higher volatility, we won't see sharp sell off as uptrend is still intact. SPY may close the gaps (208 then 205.50) but buyers will show up before those levels.

SPY today

SPY 5m

SPY gapped down by the weak NFP data the squeezed up. Note 5SMA is flattering and it suggests buying exhaustion is near.

$NYAD

$NYHL

SPY:RSP

$NYAD is still advancing and it strongly suggests we will see new all time high on $SPX or other indexes, however, $NYHL is near +2σ where we have seen some consolidations, if not pullbacks.

$SPX CVI

$SPX STVO

$SPX VTO

CVI shows no momentum in very short term. STVO and VTO show conflicted signals and we think consolidation continues this coming week and dips would get bought.

SPY OI 06/10

SPY OI 06/17

SPY DWV 06/10

SPY DWV 06/17

SPY Option Big Trades 06/10

SPY Option Big Trades 06/17

From DWV charts we can see some PUTs buying at the high. While those trades were not massive, we should keep eyes on those counter trend bets.

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.

2016/06/01 SPY Options Wrap Up

Outlook

We still believe SPY continues to consolidate between 209 and 210 zone. We think some events are required to break this balance. Coincidentally, there will be Non Farm Payroll data on Friday morning.

SPY Today

SPY 5m

SPY started just underneath of 5SMA and squeezed higher. The volume was not bad.

$NYAD

$NYHL

SPY:RSP

$SPX CVI

$SPX STVO

$SPX VTO

VTO suggests the trend is up and strong but it looks like STVO is rolling over. 

SPY OI 06/03

SPY OI 06/10

SPY DWV 06/03

SPY DWV 06/10

SPY DWV 06/17

There was no big change in OI so it is reasonable to say SPY would continue to stay between 209 and 210 zone. SPY requires an event to break this balance. 

2016/05/31 SPY Options Wrap Up

Outlook

We think SPY continues to consolidate between 209 and 210 level.

SPY today

SPY 5m

SPY successfully digested profit taking and rebounded at 5SMA level. Volume wasn't so bad.

$NYAD

$NYHL

SPY:RSP

$SPX CVI

$SPX STVO

$SPX VTO

VTO suggests new ATH is coming, but STVO says not so fast.

SPY OI 06/03

SPY OI 06/10

SPY DWV 06/03

SPY DWV 06/10

As you can see in 06/03 OI chart, SPY is sitting between 209 wall of Put and 210 wall of Call. If SPY breaks down 209, those put holders would sell their puts, which means SPY will get bought. If SPY breaks up 210, those call holders would sell their calls, which means SPY will get sold. This balance would continue until either put or call of wall crumbles.

By the way, we didn't see big option trades that could change the structure of open interest today.