Macro Theme:
Key dates ahead:
- 6/10: CPI + ORCL ER
- 6/12: SPACEX IPO
- 6/17: FOMC/VIX Exp
- 6/18: OPEX
- 6/19: Juneteenth (mkt closed)
SG Summary:
6/10: Fixed strike vols are dropping which is a sign of lower equity stress. Given this we will hold long positions as long as the SPX remains >7,390. We are on watch for a short term bullish setup into Friday’s SPACEX IPO particularly if CL remains <=90. The potential for positions shifting to a more bearish footing opens up more strongly next week into expiration & FOMC, particularly if short term bullishness invokes another strong call bid this week. Given this we do sit with some cheap & wide 6/30 expiration put flies structured around the 7k SPX strike.
6/8: Off of Friday’s massive market route, there are an absurd number of events over the next 10 days, with a challenging mix of fragile positioning, elevated (but not rich) vols, and huge headline risk (Iran, Trump AI investments, etc). Ultimately we sit flat of positioning, and would look to add short positions <7,390, with a short term target of 7,300 and a larger downside target of 7,000.
Key SG levels for the SPX are:
- Resistance: 7,500, 7,520
- Pivot: 7,390 (bearish <, bullish >) updated 6/8/26
- Support: 7,400, 7,300
Founder’s Note:
Futures are 40bps higher, with oil off 2%.
TLDR: We feel a bit more confident today in the validity of the 7,390 Risk Pivot (long above, short below) as vols are down and Friday’s spasm did, in the short term, clear up some of the overbought conditions.
CPI tomorrow is the first in a series of big events, with ORCL ER post-close. Given that, we today see the SPX cloaked in positive gamma, which should support price action. We note early big support strikes at 7,420 and 7,400 & we remain “risk-off” <7,390. Resistance is at 7,500.
More importantly, at this moment is looks like Friday was simply a “spasm” and not yet a sign of more weakness to come. Yesterday’s quiet session was obviously a first sign of stability and a hot CPI print could cloud things, but if oil is lower maybe that can be waved off…TBD.
More concretely the vol space is the telling story with respect to Friday-selling follow-through. Below we have compared current SPX vols vs Thursday’s close, and you can see for any strikes >June exp they vols are lower. This allows us to say “Friday was about resetting overbought/crowded calls, and not about downside hedging”. We anecdotally also believe that the entire Street is dedicated to providing a strong market into Friday’s SPACEX IPO. Given this positioning we think traders will be trying to buy the dip in the AI related names, particularly if CPI is a non-event.
©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/
|
| /ESM26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7416.48 | $7405 | $739 | $29414 | $716 | $2855 | $284 |
| SG Gamma Index™: |
| -0.757 | -0.471 |
|
|
|
|
| SG Implied 1-Day Move: |
| 0.71% | 0.71% |
|
|
|
|
| SG Implied 5-Day Move: |
| 1.49% |
|
|
|
|
|
| SG Implied 1-Day Move High: |
| After open | After open |
|
|
|
|
| SG Implied 1-Day Move Low: |
| After open | After open |
|
|
|
|
| SG Volatility Trigger™: | $7481.48 | $7470 | $745 | $29190 | $718 | $2850 | $290 |
| Absolute Gamma Strike: | $7011.48 | $7000 | $750 | $29200 | $700 | $2800 | $290 |
| Call Wall: | $7611.48 | $7600 | $755 | $29200 | $750 | $2800 | $300 |
| Put Wall: | $7311.48 | $7300 | $735 | $28000 | $700 | $2780 | $275 |
| Zero Gamma Level: | $7429.48 | $7418 | $743 | $28901 | $720 | $2913 | $296 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 7400, 7500, 8000] |
| SPY Levels: [750, 735, 740, 745] |
| NDX Levels: [29200, 29000, 30000, 28000] |
| QQQ Levels: [700, 720, 710, 715] |
| SPX Combos: [(7746,86.59), (7724,73.74), (7702,96.27), (7672,86.44), (7650,91.80), (7628,82.45), (7613,73.91), (7598,96.98), (7576,87.89), (7561,82.61), (7546,89.32), (7524,88.42), (7502,96.48), (7458,66.21), (7435,65.97), (7421,70.67), (7413,92.84), (7406,72.22), (7398,97.03), (7391,86.05), (7384,94.25), (7376,89.59), (7369,90.30), (7361,89.93), (7354,92.07), (7346,98.31), (7339,84.99), (7332,86.79), (7324,72.45), (7317,74.60), (7309,86.31), (7302,98.18), (7287,71.48), (7280,73.21), (7272,90.53), (7265,71.08), (7258,69.79), (7250,81.05), (7243,69.72), (7228,83.18), (7221,68.88), (7213,86.43), (7198,96.03), (7184,69.97), (7176,75.61), (7161,70.79), (7147,86.57), (7124,67.88), (7110,68.60), (7102,93.08), (7050,66.85)] |
| SPY Combos: [733.71, 729.29, 738.87, 718.97] |
| NDX Combos: [29208, 28767, 29355, 29150] |
| QQQ Combos: [700.27, 710.85, 705.21, 679.82] |
|
| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 0.941 | 0.659 | 1.29 | 0.757 | 0.598 | 0.490 |
| Gamma Notional (MM): | ‑$220.424M | ‑$1.118B | $6.892M | ‑$403.274M | ‑$57.68M | ‑$974.878M |
| 25 Delta Risk Reversal: | -0.054 | 0.00 | -0.064 | 0.00 | -0.047 | 0.00 |
| Call Volume: | 671.078K | 1.50M | 11.634K | 1.078M | 15.553K | 261.244K |
| Put Volume: | 966.003K | 2.005M | 13.048K | 1.496M | 24.84K | 655.592K |
| Call Open Interest: | 10.476M | 6.395M | 92.48K | 4.938M | 244.575K | 3.178M |
| Put Open Interest: | 14.406M | 12.829M | 98.59K | 7.553M | 478.555K | 8.637M |
0 comentarios