Where Is All The Volatility?
In a session marked by little directional interest and strong option activity, the SPU is trading off 400 at 1494.
Once again, we are contained to a 1% range as option and arb related activity is accounting for the majority of volume.
The contract found good support between 1487 and 1489 after making a session low at 1486.50. Sell stops were found at 1489.50 and locals were aggressive in their pursuit to find stops as lack of volatility is all anyone is talking about.
Not one dealer has stood out in terms of buying or selling as most are filling orders on both the buy and sell side. I still think we will rally this afternoon, purely from a strong historical correlation between Triple Witching Thursday and weekly highs made that afternoon. Therefore, I’m looking for the market to trade above 1507 and find resistance between 1510-1512. If we get jumpy, and the orders need to be filled, we could spin up to 1522 by the bell. On the downside, if we trade below 1483.50 it raises a question mark in my mind. If we settle on a 30 minute basis below 1479 my longside bets are off.