Macro Theme:
Key dates ahead:
- 5/14: US/China
- 5/15: OPEX
- 5/19: VIX Exp
- 5/20: NVDA ER
SG Summary:
Update 5/12: We like owning June VIX calls as a hedge with Oil going >100. We also like put flies/ratios etc in the highest flying tech names (AMD, SNDK, MU, etc). These ideas are in the context of larger equity market support/volatility suppression from 5/15 OPEX to 5/20 VIX Exp/NVDA exp. Following that we look for a larger market move to come into play.
5/6: Markets seem to pricing in an Iran deal as oil is down 9%, but nothing concrete has been announced. Regardless, between the AI-earnings beats, and oil<100, its clear that a general vol decline and continued stock support should remain in tact through to OPEX 5/15. The removal of Iranian tail risk will only aid to stock support (vanna).
Key SG levels for the SPX are:
- Resistance: 7,400, 7,420, 7,450
- Pivot: 7,290 (bearish <, bullish >) updated 5/11/26
- Support: 7,390, 7,350, 7,300, 7,280, 7,250
Founder’s Note:
Futures are up 50bps. CL remains >100, with VIX holding near 18.
TLDR: We don’t expect much out of price action today, with relatively high positive gamma in place, and traders lightly-eyeing the US-China summit. This places into Friday OPEX, and then the hotly-anticipated NVDA ER next week.
The main feature of SPX gamma today is a series of large positive gamma strikes from 7,450 to 7,500. If SPX breaks back <7,400, we’d look for a move to 7,350. Having said that, we anticipate a lower volatility session today as markets look forward to the US/China summit, tomorrow.
The SPX itself does not seem to care about the China summit, as evidenced by the lack of IV & forward IV shown in the term structure. Compare the lack of forward IV for tomorrow vs the large forward IV assigned to next weeks NVDA earnings.
As China seems to be underpriced, we can’t help but wonder if the US/China meeting has implications for the Iran War, as well as general trade, which could bring some larger than anticipated impact.
While the SPX IV is fairly benign, we can see TSLA has very steep backwardation, with very high short dated IV. This suggests, obviously, idiosyncratic stock risks for several companies into the summit. Some other examples include BA, AI/Semi names, and major China ADRs like BABA.
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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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|
/ESM26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7424.55 |
$7400 |
$738 |
$29064 |
$707 |
$2842 |
$282 |
|
SG Gamma Index™: |
|
4.603 |
0.111 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.65% |
0.65% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.55% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7319.55 |
$7295 |
$734 |
$28490 |
$703 |
$2780 |
$279 |
|
Absolute Gamma Strike: |
$7024.55 |
$7000 |
$740 |
$29000 |
$700 |
$2800 |
$275 |
|
Call Wall: |
$7524.55 |
$7500 |
$740 |
$29200 |
$710 |
$2785 |
$285 |
|
Put Wall: |
$6524.55 |
$6500 |
$730 |
$27500 |
$600 |
$2750 |
$275 |
|
Zero Gamma Level: |
$7272.55 |
$7248 |
$731 |
$28343 |
$700 |
$2836 |
$284 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7000, 7400, 7500, 7450] |
|
SPY Levels: [740, 735, 730, 710] |
|
NDX Levels: [29000, 27000, 28000, 29200] |
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QQQ Levels: [700, 710, 705, 690] |
|
SPX Combos: [(7749,84.92), (7727,68.43), (7697,95.30), (7675,81.95), (7653,91.45), (7623,87.01), (7601,98.35), (7579,91.89), (7571,78.32), (7556,67.90), (7549,93.83), (7542,71.23), (7527,93.38), (7519,88.32), (7512,89.42), (7497,99.85), (7490,72.64), (7482,90.32), (7475,94.80), (7468,96.04), (7460,91.00), (7453,99.77), (7445,88.15), (7438,95.90), (7431,94.41), (7423,99.29), (7416,92.57), (7408,93.08), (7401,99.82), (7394,74.12), (7386,66.62), (7371,92.26), (7349,74.79), (7327,73.77), (7320,73.08), (7297,90.68), (7268,70.10), (7172,86.54), (7120,71.19), (7098,72.28)] |
|
SPY Combos: [748.07, 742.9, 737.72, 740.68] |
|
NDX Combos: [29995, 29181, 29588, 29210] |
|
QQQ Combos: [719.77, 714.78, 729.76, 724.76] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.548 |
1.108 |
1.603 |
1.067 |
0.967 |
0.787 |
|
Gamma Notional (MM): |
$1.262B |
$512.736M |
$13.572M |
$212.877M |
‑$2.48M |
‑$238.273M |
|
25 Delta Risk Reversal: |
-0.047 |
-0.029 |
-0.047 |
-0.029 |
-0.045 |
-0.031 |
|
Call Volume: |
692.413K |
1.491M |
14.606K |
1.23M |
16.696K |
291.035K |
|
Put Volume: |
1.017M |
2.165M |
15.269K |
1.543M |
32.938K |
921.857K |
|
Call Open Interest: |
9.828M |
6.055M |
89.724K |
4.663M |
238.612K |
3.163M |
|
Put Open Interest: |
13.91M |
14.053M |
89.868K |
7.452M |
452.987K |
8.452M |
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