Macro Theme:
Key dates ahead:
- 9/10: PPI
- 9/11: CPI
- 9/17: VIX Exp, FOMC
- 9/19: OPEX
Update 9/3: We move back to a bullish stance if the SPX is >6,400, and look to enter calls in SPY/QQQ/IWM playing for >=2% upside into Sep 19th OPEX as a way to express upside. Should the SPX break back below 6,400, we would look to short stocks, with a target area of 6,300. Additionally, we like rolling wide OTM put flies in the SPX, as they can be structured for quite cheap.
Key SG levels for the SPX are:
- Resistance: 6,505, 6,525, 6,550, 6,600
- Pivot: 6,450 (bearish <, bullish >)
- Support: 6,450, 6,400, 6,300, 6,175
Founder’s Note:
Futures are +10bps with PPI on deck at 8:30 AM ET.
Levels for today are very much the same as yesterday: 6,505 is the key upside level, and we need to close above that to gain a level of stability that unlocks upside. We also note a gap from 6,505 up to 6,540 which could be quickly filled with benign macro data.. To the downside there is a layer of 0DTE support from 6,495-6,485. 6,450 remains our risk-off level, with some positive gamma layered below that strike.
|
|
/ESU25 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6503.16 |
$6495 |
$648 |
$23762 |
$578 |
$2394 |
$238 |
|
SG Gamma Index™: |
|
1.994 |
-0.094 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.57% |
0.57% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.76% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6478.16 |
$6470 |
$645 |
$23720 |
$579 |
$2370 |
$234 |
|
Absolute Gamma Strike: |
$6508.16 |
$6500 |
$650 |
$23725 |
$580 |
$2300 |
$235 |
|
Call Wall: |
$6608.16 |
$6600 |
$650 |
$23725 |
$585 |
$2500 |
$240 |
|
Put Wall: |
$6308.16 |
$6300 |
$635 |
$22500 |
$560 |
$2250 |
$220 |
|
Zero Gamma Level: |
$6417.16 |
$6409 |
$647 |
$23347 |
$577 |
$2371 |
$236 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.22 |
0.925 |
1.632 |
0.956 |
1.034 |
1.085 |
|
Gamma Notional (MM): |
$704.77M |
$184.957M |
$18.401M |
$35.059M |
$7.341M |
$246.725M |
|
25 Delta Risk Reversal: |
-0.05 |
-0.043 |
-0.058 |
-0.046 |
0.00 |
-0.026 |
|
Call Volume: |
539.557K |
1.073M |
8.838K |
543.464K |
11.654K |
274.99K |
|
Put Volume: |
824.703K |
1.394M |
11.161K |
893.89K |
30.193K |
270.307K |
|
Call Open Interest: |
7.78M |
5.628M |
70.141K |
3.573M |
305.828K |
3.827M |
|
Put Open Interest: |
13.596M |
13.244M |
85.301K |
6.157M |
503.106K |
8.536M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6500, 6000, 6450, 6400] |
|
SPY Levels: [650, 645, 640, 630] |
|
NDX Levels: [23725, 23800, 23900, 24000] |
|
QQQ Levels: [580, 560, 575, 570] |
|
SPX Combos: [(6800,96.23), (6748,94.73), (6703,98.32), (6677,82.40), (6658,79.21), (6651,98.01), (6638,77.73), (6632,74.98), (6625,90.96), (6619,70.98), (6612,81.85), (6606,85.27), (6599,99.83), (6593,92.07), (6586,75.11), (6580,87.83), (6573,98.32), (6567,78.92), (6560,92.76), (6554,80.47), (6547,99.59), (6541,95.29), (6534,90.92), (6528,99.58), (6521,91.51), (6515,91.31), (6508,99.80), (6502,99.23), (6476,72.86), (6469,74.49), (6463,76.43), (6450,92.13), (6443,90.54), (6437,77.22), (6430,73.30), (6424,82.18), (6417,87.68), (6411,81.41), (6404,74.95), (6398,93.93), (6378,90.24), (6359,88.46), (6352,88.67), (6307,83.58), (6300,90.97), (6274,71.68), (6255,73.56), (6248,90.48), (6209,74.46), (6203,90.29), (6177,71.05)] |
|
SPY Combos: [658.89, 649.83, 649.18, 654.36] |
|
NDX Combos: [23715, 24024, 23929, 23905] |
|
QQQ Combos: [577.79, 580.09, 559.93, 585.28] |