Macro Theme:
Key dates ahead:
- 7/14: CPI
- 7/15: PPI, ASML ER
- 7/16: TSM ER
- 7/17: OPEX
- 7/22: VIX Exp, GOOGL + TSLA ER
SG Summary:
Update 7/13: We have all of the ingredients for a nasty spasm and market correction. But, we need a trigger. It could be Iran, macro data, or ER misses. The savior of this market will be with another round of massive upside in tech earnings. ASML reports 7/15, TSM 7/16, then mags start next week. OPEX should serve to free up positions which have thus far stabilized indexes in the face of extreme correlation lows. For equity market upside with benign Iran/macro data, we look at 7,600-7,625 as a top in to Friday.
Update 7/10: SPX IV is sinking to its lower bounds, with all ATM IV ~10% for next week. Given this, and <8 COR1M, we feel better about adding some longer dated put protection to start next week into major economic data (CPI, PPI) and OPEX.
7/7: COR1M is at 2 year lows, and so we are playing for a potential market spasm(s) with cheap short dated put flies (see 7/7 AM note). We think that spasm-downside will continue to be bought before next week. CPI/OPEX, etc next week offers the potential for major position shifts that change the dip-buying dynamic. Should COR1M remain <8 when positions shift, it could open the door for a larger drawdown. To the upside, we mark 7,600 as major resistance, likely into next week.
Key SG levels for the SPX are:
- Resistance: 7,560, 7,575, 7,600
- Pivot: 7,480 (bearish <, bullish >) updated 7/13/26
- Support: 7,520, 7,500, 7,450, 7,400
Founder’s Note:
ES futures are flat, with NQ +50bps. CL +1.7% to $85.
CPI at 8:30AM EST.
IBM -18% after earnings, while banks posted strong earnings.
The 0DTE straddle is a very modest $45.5 (ref 7515)/60 bps – hardly a concern into this CPI print and the fact that Trump is telling Congress “war is back on“. Rates are also back to YTD highs as Warsh came in hot yesterday + Iran.
Those body-blows are being absorbed by positive gamma, as all dips are being bought/mean reverted. You see this positive gamma in SPX (blue) which is 50th – 60th %’ile positive.
The top 100 stocks in the S&P100 also show positive gamma (blue) – as they have for some time. You can see that position changes sharply after this Friday’s OPEX.
That buy the dip remains supportive and in tact, which in our view prevents the strong persistent directional flow that has been absent over recent weeks. Again: dips bought, rips sold. OPEX should change these dynamics, and more increasingly it appears we are hoping that AI-related earnings offer the drive to buy the dip in top memory and semi names.
We all remember the very high correlation between VIX and CL going into the war. That correlation fell apart after stocks ripped off of incredible tech earnings. Now oil is pumping higher (+13% in a week) with the VIX mildly off lows. COR1M is still a 6 despite yesterdays move lower in stocks, which is a signal that, oil aside, index vol is either too cheap or single stock vol is too rich. Passing through top mag 7 earnings will reduce the “single stock vol index”, so to speak, and lead to a shift higher in COR1M. If earnings are good, well then equities likely rally in the face of mildly higher oil prices.
“What’s the trade?” We remain long of SPX/equities while SPX is >7,480 Risk Pivot.
We hold small, very cheap “lotto” short dated put flies, and some August SPX put spreads due to the low correlation risk. If SPX goes <7,480 we will likely lean into short positions.
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|
/ESU26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7560.55 |
$7515 |
$749 |
$29264 |
$711 |
$2953 |
$293 |
|
SG Gamma Index™: |
|
1.059 |
-0.32 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.71% |
0.71% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.62% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7580.55 |
$7535 |
$750 |
$29290 |
$716 |
$2960 |
$295 |
|
Absolute Gamma Strike: |
$7545.55 |
$7500 |
$750 |
$30000 |
$720 |
$3000 |
$290 |
|
Call Wall: |
$7645.55 |
$7600 |
$760 |
$30325 |
$730 |
$2965 |
$300 |
|
Put Wall: |
$7345.55 |
$7300 |
$740 |
$28000 |
$700 |
$2930 |
$290 |
|
Zero Gamma Level: |
$7516.55 |
$7471 |
$747 |
$28970 |
$721 |
$3036 |
$302 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7500, 7000, 8000, 7600] |
|
SPY Levels: [750, 740, 745, 755] |
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NDX Levels: [30000, 28000, 29000, 29500] |
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QQQ Levels: [720, 700, 710, 730] |
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SPX Combos: [(7876,70.71), (7854,83.78), (7823,83.98), (7801,97.22), (7778,87.12), (7748,95.17), (7733,73.42), (7726,85.50), (7718,66.94), (7703,97.99), (7688,73.53), (7673,94.33), (7658,85.45), (7651,96.93), (7643,88.91), (7636,71.63), (7628,96.93), (7621,93.69), (7613,90.45), (7606,85.92), (7598,99.17), (7590,81.52), (7583,94.69), (7575,96.22), (7568,92.74), (7560,72.38), (7553,95.83), (7545,70.58), (7523,73.93), (7515,66.51), (7508,93.42), (7500,84.76), (7493,88.73), (7485,83.38), (7478,96.38), (7470,66.37), (7463,93.16), (7455,89.34), (7448,92.33), (7440,75.39), (7433,87.93), (7425,94.91), (7418,84.04), (7410,73.88), (7403,96.04), (7388,84.29), (7380,65.89), (7373,93.11), (7358,70.46), (7350,90.64), (7342,83.40), (7327,85.91), (7305,69.19), (7297,97.60), (7290,78.90), (7275,81.23), (7252,83.11), (7222,84.15), (7200,94.83), (7177,71.97), (7147,84.34)] |
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SPY Combos: [757.16, 760.18, 762.45, 766.98] |
|
NDX Combos: [28796, 29001, 28591, 30318] |
|
QQQ Combos: [737.86, 729.88, 700.14, 732.06] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.094 |
0.789 |
1.125 |
0.705 |
0.444 |
0.394 |
|
Gamma Notional (MM): |
$316.071M |
‑$528.092M |
$3.15M |
‑$492.95M |
‑$85.422M |
‑$1.129B |
|
25 Delta Risk Reversal: |
-0.051 |
-0.032 |
-0.068 |
0.00 |
-0.051 |
-0.034 |
|
Call Volume: |
562.383K |
1.49M |
8.384K |
910.806K |
13.629K |
187.275K |
|
Put Volume: |
886.619K |
2.208M |
9.307K |
1.316M |
31.983K |
442.55K |
|
Call Open Interest: |
9.76M |
6.33M |
80.113K |
4.564M |
211.087K |
2.546M |
|
Put Open Interest: |
13.111M |
12.519M |
80.588K |
6.351M |
453.571K |
7.131M |
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