Macro Theme:
Key dates ahead:
- 11/13 CPI
- 11/14: PPI
- 11/19: NVDA ER
SG Summary:
UPDATE 11/10: With the government shudown apparently ending we are adjusting our risk-on pivot from 6,900 to 6,800. We think the week of 11/10 is setting up to be a bullish one, with more eyes now on 11/19 NVDA ER.
11/7: We hate being alarmists after a 3% drop, but suddenly there is a sneaky bid to vol, and we see nothing but negative gamma for ±50-100 handles. The difference today is that we suddenly see some non-0DTE put buying, and that has largely been absent the last several days. For this reason we are now quite cautious, as this feels like a place wherein things could get “crashy”.
10/31: Yesterday’s meager 1% decline started to ease the “risk alert” positioning we flagged on 10/29, with call skews shifting to “rich” vs “screaming overbought”. Thats good news for bulls, as we think there is less spasm risk (a la 10/10). On the flip side, we are not seeing any obvious long opportunities, either. Bottom line: We hold the VIX call spread hedges we bought earlier this week, but with a close back >6.900 we’re back into a risk-on stance.
Key SG levels for the SPX are:
- Resistance: 6,800, 6,850
- Pivot: 6,800 (bearish <, bullish >)
- Support: 6,700, 6,600
Founder’s Note:
ES futures are +89bps, NQ +140bps after a shutdown agreement has been allegedly reached. Trump also tweeted about a $2k stimulus check.
TLDR: We adjust our risk pivot to 6,800, from 6,900. Should the SPX close >6,800 it will allow us to re-establish a core long in the S&P500.
The ES move implies that SPX is testing the 6,800 level, with 0DTE resistance at 6,825 and 6,850. Below 6,775 we see negative gamma, allowing a reversal from current levels to be fast.
The big risk here is that there is just no material positive gamma at any strikes (see dashed line, which is negative at all SPX strikes). Today’s action may change that given some of the political shifts which could invite put sellers to layer in some support below. We ultimately want to see some non-0DTE positive gamma build around current price levels as that should help to add price stability.
On the volatility front, most traders will note that VIX is lower – however that appears to be the result of the skew slide. When we look at downside fixed strike vols we actually see SPX IV marginally higher even thought he shutdown appears to be ending. The call wing has come in a touch. We’d think that, if anything, downside strikes would get sold here and calls bid, as traders chase upside. If that comes to fruition it will be a sign of market stability. Should puts stay bid then it suggests the downside risks are alive and well.
While NVDA ER is the major event on 11/19 PM (so vol is jacked up for 11/20), we have CPI on 11/13 and another kink on 11/14 with Retail Sales. Ultimately we expect this weeks data points to be of much smaller consequence than NVDA earnings, which feeds into Nov OPEX. This lack of relative risk may allow traders to supply more short dated pre-NVDA vol, which helps stabilize things for the week. The takeaway from this is that this week may setup to be a bullish one, particularly if 6,800 is recaptured.
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/ESZ25 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6751.46 |
$6728 |
$670 |
$25059 |
$609 |
$2432 |
$241 |
|
SG Gamma Index™: |
|
-0.422 |
-0.319 |
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|
|
|
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SG Implied 1-Day Move: |
|
0.63% |
0.63% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.38% |
|
|
|
|
|
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SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
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SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6753.46 |
$6730 |
$670 |
$24990 |
$610 |
$2450 |
$241 |
|
Absolute Gamma Strike: |
$6023.46 |
$6000 |
$670 |
$24500 |
$600 |
$2450 |
$240 |
|
Call Wall: |
$7023.46 |
$7000 |
$680 |
$24600 |
$650 |
$2600 |
$250 |
|
Put Wall: |
$6523.46 |
$6500 |
$660 |
$23000 |
$600 |
$2440 |
$235 |
|
Zero Gamma Level: |
$6712.46 |
$6689 |
$674 |
$24808 |
$617 |
$2520 |
$250 |
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Key Support & Resistance Strikes |
|---|
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SPX Levels: [6000, 6700, 6800, 7000] |
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SPY Levels: [670, 640, 660, 650] |
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NDX Levels: [24500, 24600, 25000, 24800] |
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QQQ Levels: [600, 610, 590, 615] |
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SPX Combos: [(7052,88.76), (7018,77.06), (6998,99.16), (6978,84.18), (6971,74.90), (6958,70.94), (6951,93.89), (6924,79.41), (6917,78.99), (6897,98.31), (6877,92.30), (6870,69.61), (6857,70.50), (6850,96.03), (6830,72.30), (6823,90.22), (6816,86.46), (6803,97.94), (6762,83.08), (6749,73.26), (6729,72.62), (6709,67.64), (6702,93.00), (6688,75.73), (6682,77.12), (6675,73.60), (6668,88.98), (6662,85.95), (6648,92.88), (6641,85.15), (6628,88.93), (6621,86.42), (6608,85.35), (6601,94.35), (6587,80.74), (6581,74.43), (6574,68.63), (6567,80.03), (6547,88.03), (6527,87.75), (6520,83.48), (6507,72.66), (6500,94.98), (6473,69.64), (6466,86.32), (6453,83.89), (6426,73.38), (6419,79.27), (6399,91.88)] |
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SPY Combos: [698.39, 688.34, 668.23, 693.03] |
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NDX Combos: [24659, 24258, 24609, 24032] |
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QQQ Combos: [600.09, 609.87, 590.3, 598.86] |
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