Macro Theme:
Key dates ahead:
- 2/11: CPI
- 2/12: PPI
- 2/18: VIX Exp
- 2/20: OPEX
SG Summary:
Update 2/10: Risk Pivot moved to 6,900 from 6,950, and we will look to buy SPX dips <6,950 with an eye on 7k for next weeks OPEX. <6,900 we would remove longs. The driver here is the removal of event vol from upcoming macro data. Second, we like mining the put skew in software stocks, with upcoming earnings a major catalyst for contraction. Put flies, 1×2’s and Combos may be interesting (consult the options calculator).
Update 2/5: As always, we remain neutral to short of equities as long as the SPX is below our Risk Pivot, which holds at 6,950. If we remain under 6,900 then we think a washout remains a viable outcome, and we’d eye 6,675 as major downside support. 7k remains major upside resistance due to positive gamma at that strike.
Key SG levels for the SPX are:
- Resistance: 6,960, 7,000
- Pivot: 6,900 (bearish <, bullish >) updated 2/10
- Support: 6,900, 6,850, 6,800, 6,750, 6,675
Founder’s Note:
Futures are flat ahead of a Jobs data a CPI.
The 0DTE SPX straddle is at $39.7/57bps (ref 6,950) suggesting traders anticipate mild action from todays data.
©2025 TenTen Capital LLC DBA SpotGamma
All TenTen Capital LLC DBA SpotGamma materials, information, and presentations are for educational purposes only and should not be considered specific investment advice nor recommendations. Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one’s financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. VIEW FULL RISK DISCLOSURE https://spotgamma.com/model-faq/disclaimer/
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| /ESH26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $6960.15 | $6941 | $692 | $25127 | $611 | $2679 | $266 |
| SG Gamma Index™: |
| 0.680 | -0.277 |
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| SG Implied 1-Day Move: |
| 0.59% | 0.59% |
|
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|
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| SG Implied 5-Day Move: |
| 1.47% |
|
|
|
|
|
| SG Implied 1-Day Move High: |
| After open | After open |
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|
|
| SG Implied 1-Day Move Low: |
| After open | After open |
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| SG Volatility Trigger™: | $6959.15 | $6940 | $694 | $25180 | $616 | $2660 | $264 |
| Absolute Gamma Strike: | $7019.15 | $7000 | $690 | $25550 | $620 | $2550 | $260 |
| Call Wall: | $7119.15 | $7100 | $700 | $25550 | $630 | $2730 | $270 |
| Put Wall: | $6819.15 | $6800 | $690 | $24000 | $600 | $2550 | $250 |
| Zero Gamma Level: | $6920.15 | $6901 | $690 | $25063 | $619 | $2673 | $270 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 6900, 6950, 6000] |
| SPY Levels: [690, 695, 700, 685] |
| NDX Levels: [25550, 25000, 25200, 26000] |
| QQQ Levels: [620, 600, 610, 615] |
| SPX Combos: [(7275,78.23), (7247,91.99), (7226,76.08), (7199,97.88), (7192,76.37), (7178,79.13), (7171,68.37), (7157,91.94), (7150,95.57), (7129,73.39), (7122,89.80), (7108,84.74), (7101,99.25), (7095,66.80), (7088,84.33), (7081,81.27), (7074,95.18), (7067,87.96), (7060,89.08), (7053,99.11), (7046,79.75), (7039,89.35), (7032,97.26), (7025,94.21), (7018,98.63), (7011,96.65), (7004,88.94), (6997,99.31), (6990,92.87), (6983,90.82), (6977,86.83), (6970,84.29), (6963,73.92), (6928,86.96), (6921,89.17), (6914,66.79), (6907,85.98), (6900,96.25), (6893,88.41), (6879,80.70), (6872,94.59), (6859,79.98), (6852,95.01), (6838,87.12), (6831,72.98), (6824,91.13), (6817,78.60), (6810,78.44), (6803,98.75), (6789,74.20), (6782,82.18), (6775,74.90), (6768,88.90), (6761,71.68), (6747,90.60), (6727,86.88), (6720,81.04), (6699,96.25), (6678,79.23), (6671,72.27), (6657,73.41), (6650,88.55), (6622,84.86), (6602,93.49)] |
| SPY Combos: [702.24, 707.09, 700.16, 697.38] |
| NDX Combos: [24650, 25555, 24248, 24851] |
| QQQ Combos: [621.08, 600.19, 589.75, 605.11] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.065 | 0.784 | 1.02 | 0.635 | 0.958 | 0.695 |
| Gamma Notional (MM): | $71.375M | ‑$866.525M | ‑$719.559K | ‑$838.949M | ‑$8.861M | ‑$441.533M |
| 25 Delta Risk Reversal: | -0.063 | 0.00 | -0.081 | 0.00 | -0.049 | -0.035 |
| Call Volume: | 581.608K | 1.128M | 7.281K | 712.081K | 12.713K | 230.411K |
| Put Volume: | 839.381K | 1.663M | 10.286K | 1.013M | 33.359K | 560.435K |
| Call Open Interest: | 7.663M | 4.971M | 60.442K | 3.627M | 236.596K | 2.966M |
| Put Open Interest: | 12.568M | 11.011M | 99.489K | 5.987M | 428.405K | 7.496M |
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