Macro Theme:
Key dates ahead:
- 7/2: NFP
- 7/3: Market Closed (July 4th)
- 7/6: ISM
SG Summary:
Update 7/1: COR1M is back near 5, so we will start adding some small put positions today, and a bit heavier tomorrow. That being said, we think the SPX still has some upside left into the holiday week. Targets: 7,520 is the upside high for 7/1, followed by 7,550-7,600 if NFP tomorrow is quiet. Ultimately we think the bigger play is looking for a solid market correction in the next few weeks as traders are currently at extremes with bullish plays.
6/29: The week of 6/29 is starting off on a bullish lean, as SPX is set to open above the Risk Pivot (7,380) into a holiday-shortened week. This short week may allow traders to sell vol, particularly in the QQQ/NDX, which is supportive of stocks. 7,500 remains the big upside target. To the downside, a break of 7,380 implies a test of 7,300.
Key SG levels for the SPX are:
- Resistance: 7,500, 7,520, 7,550, 7,600
- Pivot: 7,380 (bearish <, bullish >) updated 6/25/26
- Support: 7,400, 7,380, 7,300
Founder’s Note:
Futures are up 20 bps with NFP at 8:30AM EST.
Gamma is strongly positive for market makers at all nearby strikes, indicating support. 7,500 is the big strike, with a mix of tenors implying its going to be a key level out in time. With positive NFP, we look for a move to 7,520, then possibly 7,550. Assuming NFP is a non event, we think vol gets sold into the holiday weekend.
Support below is at 7,400. According to plan, we will look to add some short dated, cheap OTM put flies in QQQ as well as some August SPY put spreads. This is simply a starter, and is due to the overbought call conditions (& low correlation) discussed yesterday.
We see dealers still holding positive gamma in top single stocks, too. This means the dips should be bought in all the major names that traded sharply lower yesterday, but are mean reverting this AM. These positive gamma conditions make stocks a tough short for today, we think, particularly ahead of the holiday.
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| /ESU26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7540.2 | $7483 | $745 | $29809 | $725 | $3012 | $299 |
| SG Gamma Index™: |
| 2.19 | -0.095 |
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| SG Implied 1-Day Move: |
| 0.65% | 0.65% |
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| SG Implied 5-Day Move: |
| 1.53% |
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|
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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™: | $7502.2 | $7445 | $746 | $29890 | $726 | $2960 | $299 |
| Absolute Gamma Strike: | $7057.2 | $7000 | $750 | $30000 | $730 | $3000 | $290 |
| Call Wall: | $7607.2 | $7550 | $750 | $30325 | $740 | $2965 | $300 |
| Put Wall: | $7357.2 | $7300 | $740 | $28000 | $700 | $2875 | $290 |
| Zero Gamma Level: | $7496.2 | $7439 | $744 | $29289 | $729 | $3028 | $303 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 8000, 7500, 7600] |
| SPY Levels: [750, 745, 740, 735] |
| NDX Levels: [30000, 30325, 30500, 29000] |
| QQQ Levels: [730, 720, 710, 700] |
| SPX Combos: [(7850,83.61), (7827,78.53), (7798,96.55), (7775,73.53), (7753,89.98), (7738,66.01), (7730,68.00), (7723,79.69), (7700,96.86), (7678,89.46), (7663,69.74), (7648,95.68), (7640,67.55), (7633,76.48), (7625,94.70), (7618,78.47), (7610,71.32), (7603,98.37), (7588,87.04), (7581,82.97), (7573,97.98), (7566,78.33), (7558,91.42), (7551,98.89), (7543,96.95), (7536,81.99), (7528,99.05), (7521,88.27), (7513,93.04), (7506,75.49), (7498,96.84), (7491,70.98), (7476,84.59), (7446,72.89), (7438,76.10), (7431,72.03), (7423,94.93), (7408,80.08), (7401,91.76), (7393,77.64), (7378,90.03), (7363,71.45), (7349,94.67), (7326,73.62), (7319,65.40), (7304,94.85), (7289,82.37), (7274,87.80), (7251,82.06), (7221,80.25), (7199,92.64), (7176,76.73), (7146,85.71), (7124,78.46)] |
| SPY Combos: [751.71, 748.72, 750.21, 756.18] |
| NDX Combos: [30316, 30107, 28766, 29392] |
| QQQ Combos: [737.23, 740.17, 753.42, 765.19] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.224 | 0.924 | 1.584 | 0.894 | 0.912 | 0.664 |
| Gamma Notional (MM): | $443.914M | ‑$211.722M | $7.935M | ‑$189.181M | ‑$14.981M | ‑$445.08M |
| 25 Delta Risk Reversal: | -0.043 | -0.024 | -0.064 | -0.047 | -0.041 | -0.027 |
| Call Volume: | 699.748K | 1.538M | 8.268K | 1.07M | 15.742K | 197.082K |
| Put Volume: | 819.888K | 1.814M | 10.201K | 994.531K | 41.518K | 663.633K |
| Call Open Interest: | 9.413M | 5.874M | 74.953K | 4.264M | 194.064K | 2.461M |
| Put Open Interest: | 12.58M | 11.821M | 77.036K | 5.987M | 399.093K | 6.821M |
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