Macro Theme:
Key dates ahead:
- 5/1: ISM
SG Summary:
Update 5/1: Positioning remains in place to support markets, and invoke stable positioning despite raising oil prices. Given this, we continue to ride a core long stock position while the SPX is > Risk Pivot, which is now 7,180. All signals point strong to the market not caring about the geopolitical situation, but we want to maintain tail hedges until oil is back <100.
4/28: We move to sell AMD 1-2 month to expiration AMD call structures as a view that 1) the IV is at extremes and we think the rate-of-change of upside slows. Additionally this would add to a downside equity market play as oil breaks >100. Additionally, we have raised our Risk Pivot to 7,090, which means we would shift to a directionally short position if the SPX breaks < that level as a break of 7,090 implies a quick test of 7,000.
Key SG levels for the SPX are:
- Resistance:7,280
- Pivot: 7,180 (bearish <, bullish >) updated 5/1/26
- Support: 7,200, 7,180, 7,090, 7,000
Founder’s Note:
Futures are up 30bps. WTI is down 2.5%. VIX is at 16.75 which are levels last seen in late Jan.
ISM at 10AM ET.
Very little has changed here, as AAPL (+3%) earnings were decent. While we continue to keep an eye on oil >100, everything else is stable & bullish:
VIX going lower is a sign that vanna is at work to enable positive equity drift.
SPX gamma is positive across all nearby strikes. There is a large gamma cluster up around 7,280 which is prime resistance for today. Support below is 7,200 & 7,180.
Its the same story in single stock positioning – dealers hold positive gamma which suppresses volatility. Single stock dips should be bought – rips sold.
On the single stock side, the bid to calls remains which is showing as high call skews relative to put skews. However, with earnings passing, the general vols are coming down. This is the market settling in to this very bullish stance, which is now being aided by lower oil prices.
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|
/ESM26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7240.05 |
$7209 |
$718 |
$27452 |
$667 |
$2799 |
$277 |
|
SG Gamma Index™: |
|
4.727 |
0.051 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.63% |
0.63% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.51% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7101.05 |
$7070 |
$713 |
$26690 |
$664 |
$2700 |
$273 |
|
Absolute Gamma Strike: |
$7031.05 |
$7000 |
$700 |
$26700 |
$660 |
$2800 |
$270 |
|
Call Wall: |
$7231.05 |
$7200 |
$720 |
$26700 |
$675 |
$2785 |
$280 |
|
Put Wall: |
$6831.05 |
$6800 |
$700 |
$24500 |
$600 |
$2680 |
$266 |
|
Zero Gamma Level: |
$7091.05 |
$7060 |
$717 |
$26570 |
$661 |
$2751 |
$279 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7000, 7200, 7150, 6000] |
|
SPY Levels: [700, 710, 720, 715] |
|
NDX Levels: [26700, 27000, 27500, 27300] |
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QQQ Levels: [660, 675, 670, 650] |
|
SPX Combos: [(7548,81.81), (7526,82.98), (7497,97.55), (7476,84.27), (7447,91.60), (7425,86.16), (7396,98.92), (7375,91.58), (7368,73.44), (7360,71.85), (7353,98.07), (7339,90.94), (7332,80.70), (7324,96.07), (7317,87.18), (7310,91.13), (7303,99.69), (7296,70.24), (7288,97.90), (7281,98.13), (7274,98.29), (7267,94.31), (7259,85.82), (7252,99.62), (7245,93.27), (7238,96.03), (7231,90.40), (7223,98.78), (7216,71.40), (7209,77.59), (7202,99.75), (7180,65.96), (7151,91.09), (7137,68.02), (7101,91.26), (7022,82.91), (6921,66.65), (6899,83.93)] |
|
SPY Combos: [717.98, 727.95, 737.91, 720.12] |
|
NDX Combos: [27754, 27974, 27562, 27507] |
|
QQQ Combos: [674.81, 680.1, 670.18, 664.89] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.616 |
1.053 |
2.406 |
1.349 |
1.24 |
0.768 |
|
Gamma Notional (MM): |
$1.215B |
$159.573M |
$20.71M |
$471.239M |
$21.202M |
‑$233.801M |
|
25 Delta Risk Reversal: |
-0.05 |
-0.033 |
-0.055 |
-0.038 |
-0.05 |
-0.038 |
|
Call Volume: |
1.033M |
1.649M |
15.743K |
1.104M |
22.976K |
300.662K |
|
Put Volume: |
1.131M |
2.504M |
14.024K |
1.375M |
30.504K |
765.903K |
|
Call Open Interest: |
9.062M |
5.566M |
81.099K |
4.251M |
230.145K |
2.808M |
|
Put Open Interest: |
12.771M |
12.368M |
93.32K |
6.372M |
414.15K |
7.703M |
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