Macro Theme:
Key dates ahead:
- 6/3: ISM
- 6/5: NFP
- 6/10: CPI
- 6/12: SPACEX IPO
- 6/17: FOMC
- 6/18: OPEX
- 6/19: Juneteenth (mkt closed)
SG Summary:
Update 6/1/26: COR1M crossed our risk-barrier of8 by closing at 6.3 on Friday. Given this we are going to be adding some downside protection here, via >=July SPY put spreads and/or VIX calls. Ultimately the sign of a larger decline occurs when the SPX crosses <7,490 (Risk Pivot).
5/27: The positive gamma continues to support stocks. Oil back to 90 is allowing equity vol to come down, which adds bullish fuel. That said, we are reading very extreme call readings in the memory names, and in the QQQ as well. Given this, we want to maintain a core long position, but we will start to add some light downside plays for 2-3 months out, with the 6/12 SPACEX IPO circled as a major turning point. Additionally, we raise our Risk Pivot to 7,490, which is just below a large 30k lot call spread at 7,500.
Key SG levels for the SPX are:
- Resistance: 7,625, 7,640
- Pivot: 7,490 (bearish <, bullish >) updated 5/27/26
- Support: 7,600, 7,580, 7,500
Founder’s Note:
Futures are flat, with CL +2%.
Positive gamma still holds strongly in the SPX, in the same manner that has persisted for several weeks. Key levels for today are 7,580 and 7,625 – very similar to yesterday. Call skews remain extreme, and traders continue to show rolling vectors of upside attack: MRVL is up 11% premarket on no material news.
This positioning and sentiment comes against our concerns for volatility spasms as laid out in recent notes. On this point, we really need to see a break of 7,580, but more seriously 7,500 to confirm that the given market decline is more than just a casual dip. Until then, dip-buyers will likely continue to be rewarded.
Yesterday marked the 9th up-day in a row for the SPX, which ties the record going back to 2000. Certainly today seems a contender for setting the record, as positive gamma and AI-upside is countering escalations with Iran. Interestingly today’s streak comes with a total +3.5% upside over 9-days which is certainly smaller than the +6.5% and +10% gained over similar streaks. We’d surmise that this is positive gamma “doing its thing”.
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| /ESM26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7619.3 | $7609 | $759 | $30660 | $746 | $2931 | $291 |
| SG Gamma Index™: |
| 4.36 | 0.089 |
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| SG Implied 1-Day Move: |
| 0.63% | 0.63% |
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| SG Implied 5-Day Move: |
| 1.55% |
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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 |
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| SG Volatility Trigger™: | $7605.3 | $7595 | $758 | $29180 | $742 | $2860 | $289 |
| Absolute Gamma Strike: | $7010.3 | $7000 | $760 | $29200 | $740 | $2800 | $280 |
| Call Wall: | $7710.3 | $7700 | $765 | $29200 | $750 | $3000 | $300 |
| Put Wall: | $7600.3 | $7590 | $740 | $28000 | $700 | $2820 | $282 |
| Zero Gamma Level: | $7462.3 | $7452 | $752 | $29899 | $739 | $2903 | $293 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 7600, 8000, 7500] |
| SPY Levels: [760, 750, 755, 740] |
| NDX Levels: [29200, 30500, 30400, 30000] |
| QQQ Levels: [740, 745, 700, 750] |
| SPX Combos: [(7952,80.44), (7899,95.61), (7853,93.50), (7823,88.19), (7800,98.84), (7792,67.20), (7777,89.64), (7762,84.12), (7747,96.79), (7732,82.21), (7724,92.41), (7716,90.67), (7709,91.05), (7701,99.63), (7693,92.36), (7686,77.68), (7678,98.43), (7671,92.12), (7663,97.18), (7655,90.30), (7648,99.80), (7640,92.46), (7633,98.50), (7625,99.06), (7617,97.64), (7610,70.53), (7602,98.34), (7595,84.70), (7587,92.58), (7572,75.25), (7557,77.13), (7541,71.47), (7534,87.24), (7526,65.49), (7518,73.48), (7503,86.07), (7488,80.77), (7465,67.01), (7427,69.74), (7412,79.93), (7397,69.47), (7389,65.45), (7381,68.79), (7298,84.38)] |
| SPY Combos: [760.72, 763.75, 768.3, 758.44] |
| NDX Combos: [30814, 30998, 29189, 30507] |
| QQQ Combos: [739.72, 750.12, 710.75, 744.92] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.482 | 1.085 | 2.077 | 1.114 | 1.051 | 0.780 |
| Gamma Notional (MM): | $1.172B | $424.488M | $19.082M | $246.976M | $5.527M | ‑$204.056M |
| 25 Delta Risk Reversal: | -0.041 | -0.035 | -0.044 | -0.03 | 0.00 | -0.032 |
| Call Volume: | 695.044K | 1.089M | 9.314K | 813.879K | 13.038K | 189.024K |
| Put Volume: | 1.055M | 1.388M | 12.958K | 1.103M | 35.34K | 399.745K |
| Call Open Interest: | 10.124M | 5.873M | 90.339K | 4.615M | 242.063K | 2.996M |
| Put Open Interest: | 13.832M | 12.359M | 94.833K | 7.332M | 455.669K | 7.914M |
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