Macro Theme:
Key dates ahead:
- 5/28: CORE PCE
- 6/12: SPACEX IPO
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.
Key SG levels for the SPX are:
- Resistance: 7,440, 7,500
- Pivot: 7,390 (bearish <, bullish >) updated 5/15/26
- Support: 7,400, 7,360, 7,300
Founder’s Note:
Futures are off 25bps, with CL now +2% to 100.
NVDA post-ER is flat.
Additionally, the SPACEX IPO is on the tape, which some major headlines around the growth of Anthropic. Quantum computing stocks are also surging this AM after grants from the US govt (ex QBTS +20% premarket). This should keep the compute/AI driver in-seat, but that continues to be weighed against the Iran situation. Rumors of a peace deal had CL <100 briefly, but those headlines are being unwound now which has CL >100.
If they can get vol to decline that should engage equity market upside. The world knows there is a shot clock here on the Iran war with respect to oil prices and rates – at some point those can overwhelm the AI narrative. From what we can glean that shot clock seems to be running out with early June, which is about when the SpaceX IPO launches. Pun intended.
The above all swirls against positive gamma across all nearby strikes which should be near-term supportive of stocks. For today we currently see support at 7,400 and resistance into 7,440.
Toss lots of single stock positive gamma onto the positive index gamma. This remains a recipe for market support, particularly in through Friday (much darker blue positive gamma around ATM levels). Clearly, too, there are vectors of attack for bulls, with the quantum stocks now freshest on that list. This rewards risk taking, at least for now. If oil and/or rates flare, the risk remains that traders
pivot
from “what stock is the next 2-bagger” to “time to dump my stocks”. Again, with all this hype around SpaceX and other IPOs we think that risk-off window is not quite here yet, but that is a statement relative to oil prices. The higher oil goes the less traders care about these IPOs.
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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: | $7451.75 | $7432 | $741 | $29297 | $713 | $2817 | $279 |
| SG Gamma Index™: |
| 3.49 | 0.001 |
|
|
|
|
| SG Implied 1-Day Move: |
| 0.61% | 0.61% |
|
|
|
|
| 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™: | $7414.75 | $7395 | $738 | $28790 | $708 | $2790 | $279 |
| Absolute Gamma Strike: | $7019.75 | $7000 | $740 | $29200 | $700 | $2800 | $270 |
| Call Wall: | $7519.75 | $7500 | $745 | $29200 | $730 | $2800 | $285 |
| Put Wall: | $7219.75 | $7200 | $730 | $27500 | $700 | $2750 | $270 |
| Zero Gamma Level: | $7298.75 | $7279 | $739 | $28570 | $711 | $2831 | $288 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 7400, 7500, 7300] |
| SPY Levels: [740, 745, 735, 730] |
| NDX Levels: [29200, 29000, 28000, 30000] |
| QQQ Levels: [700, 710, 705, 695] |
| SPX Combos: [(7797,94.84), (7775,69.22), (7753,89.06), (7723,80.58), (7701,96.63), (7678,87.47), (7649,95.28), (7626,82.71), (7619,76.00), (7611,66.23), (7596,99.19), (7582,80.09), (7574,95.09), (7567,83.60), (7559,80.07), (7552,98.01), (7544,70.43), (7537,92.03), (7530,78.28), (7522,98.83), (7515,66.94), (7507,93.27), (7500,99.66), (7492,91.68), (7485,66.36), (7478,95.88), (7470,93.31), (7463,93.92), (7448,99.14), (7440,85.82), (7433,93.22), (7426,86.67), (7418,89.79), (7411,72.47), (7403,94.12), (7388,69.00), (7359,74.74), (7351,70.11), (7344,66.07), (7336,66.61), (7329,66.58), (7321,78.29), (7299,79.84), (7292,74.92), (7277,76.88), (7269,75.98), (7262,66.89), (7232,71.50), (7217,70.70), (7203,89.23), (7173,83.99), (7151,72.56), (7128,70.90), (7121,66.97), (7098,89.35)] |
| SPY Combos: [748.47, 758.74, 743.33, 741.13] |
| NDX Combos: [29210, 30001, 29591, 29386] |
| QQQ Combos: [710.65, 730.29, 700.13, 690.31] |
|
| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.411 | 1.001 | 1.827 | 0.975 | 0.780 | 0.560 |
| Gamma Notional (MM): | $958.13M | $139.133M | $14.515M | $54.92M | ‑$18.905M | ‑$607.279M |
| 25 Delta Risk Reversal: | 0.00 | -0.036 | -0.046 | -0.027 | -0.042 | -0.043 |
| Call Volume: | 704.171K | 1.462M | 8.064K | 798.148K | 18.655K | 264.745K |
| Put Volume: | 890.988K | 1.565M | 11.848K | 1.125M | 38.698K | 699.518K |
| Call Open Interest: | 9.427M | 5.778M | 84.054K | 4.31M | 226.453K | 2.832M |
| Put Open Interest: | 13.158M | 12.831M | 80.66K | 7.028M | 435.329K | 7.693M |
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