Macro Theme:
Key dates ahead:
- 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.
Key SG levels for the SPX are:
- Resistance: 7,580, 7,600
- Pivot: 7,480 (bearish <, bullish >) updated 7/13/26
- Support: 7,550, 7,520, 7,500, 7,480, 7,400
Founder’s Note:
Futures are up 20 bps.
PPI 8:30 AM EST.
ASML +3% after earnings.
Positive gamma, as has been the case for weeks, dominates the SPX. This continues to be supportive of index prices. Support is at 7,520 and 7,500. Resistance is at 7,580 and 7,600. 7,600-7,650 is the likely high range into Friday OPEX. <7,480 remains Risk Off.
The market is pricing in very low vols, as we’ve recently discussed. Here we see SPX term structure remaining <=10% for near term expirations. This is simply a market that is pricing in no risk. We can drone on about what the risks are of this, but as long as the SPX is above our Risk Pivot (7,480) then risks are minimal – at least until OPEX. OPEX shifts positioning, which may free up dynamics.
While SPX IV is low, single stock IV is high. That is nothing new to our readers. Embedded in that is a sharp tilt towards call pricing, as you can see in the plot below. Summarized: SPX IV is low, traders are pricing in big right wings for single stocks. This pushes COR1M to extreme lows: 4.6. We continue to want to hold risk protection given these volatility dynamics.
Much of the single-stock stabilizing gamma is removed at OPEX, which is why the dark blue reduces after OPEX (lighter blue).
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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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|
/ESU26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7588.1 |
$7543 |
$751 |
$29586 |
$719 |
$2964 |
$294 |
|
SG Gamma Index™: |
|
2.495 |
-0.078 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.69% |
0.69% |
|
|
|
|
|
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™: |
$7580.1 |
$7535 |
$751 |
$29590 |
$720 |
$2960 |
$295 |
|
Absolute Gamma Strike: |
$7545.1 |
$7500 |
$750 |
$30000 |
$720 |
$3000 |
$290 |
|
Call Wall: |
$7645.1 |
$7600 |
$757 |
$30325 |
$730 |
$2965 |
$300 |
|
Put Wall: |
$7345.1 |
$7300 |
$740 |
$28000 |
$700 |
$2940 |
$290 |
|
Zero Gamma Level: |
$7544.1 |
$7499 |
$750 |
$29289 |
$723 |
$3025 |
$298 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7500, 7600, 8000, 7000] |
|
SPY Levels: [750, 740, 755, 745] |
|
NDX Levels: [30000, 30325, 29700, 29500] |
|
QQQ Levels: [720, 730, 700, 725] |
|
SPX Combos: [(7898,94.68), (7876,73.14), (7853,85.78), (7823,85.00), (7800,97.78), (7777,88.93), (7747,96.32), (7732,79.32), (7725,87.91), (7717,73.28), (7702,98.61), (7687,78.94), (7679,79.54), (7672,95.02), (7657,91.39), (7649,98.39), (7642,91.09), (7634,81.80), (7627,98.91), (7619,96.33), (7611,94.50), (7604,92.72), (7596,99.83), (7589,92.90), (7581,97.65), (7574,98.96), (7566,86.04), (7559,85.50), (7551,91.13), (7536,78.58), (7529,92.28), (7513,86.73), (7506,89.79), (7491,70.45), (7483,91.81), (7476,90.82), (7468,83.45), (7461,73.10), (7453,89.88), (7446,66.53), (7438,79.06), (7430,70.24), (7423,94.20), (7408,83.16), (7400,89.58), (7393,72.90), (7378,89.51), (7347,91.88), (7325,77.24), (7302,96.85), (7287,75.54), (7272,79.90), (7249,75.24), (7227,81.50), (7197,93.56), (7174,75.54)] |
|
SPY Combos: [757.34, 767.83, 727.38, 777.57] |
|
NDX Combos: [30000, 28787, 30326, 28995] |
|
QQQ Combos: [700.33, 705.31, 695.35, 737.34] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.224 |
0.948 |
1.423 |
0.859 |
0.528 |
0.488 |
|
Gamma Notional (MM): |
$592.958M |
‑$89.798M |
$8.448M |
‑$242.593M |
‑$71.972M |
‑$895.518M |
|
25 Delta Risk Reversal: |
-0.048 |
-0.03 |
-0.066 |
0.00 |
-0.045 |
-0.029 |
|
Call Volume: |
555.153K |
1.464M |
7.268K |
905.434K |
13.125K |
235.631K |
|
Put Volume: |
923.583K |
1.785M |
11.908K |
1.072M |
17.67K |
704.645K |
|
Call Open Interest: |
9.842M |
6.366M |
81.072K |
4.595M |
215.504K |
2.621M |
|
Put Open Interest: |
13.321M |
12.704M |
81.717K |
6.417M |
454.385K |
7.255M |
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