Informe Option Levels

Macro Theme:

Key dates ahead:

8/13: PPI
8/26: NVDA ER
8/27-8/29: Jackson Hole

SG Summary:

Update 8/11: SPY 1-month 25 delta puts have an IV near 14% which is the cheapest of 2026. Given upcoming CPI/PPI and Jackson Hole, we will elect to add a small lot of >=1-month puts/put spreads. Only if the SPX breaks <Risk Pivot 7,680 would we look to press shorts.

8/7/26: Vols remain a bit elevated, with COR1M <8 (signaling risk). If upcoming NFP/CPI/PPI data is inflation-suggesting, then we would want to be short the market if/when SPX <7,680. If the data is benign, we want to watch for a sharp move into 7,800. To play this right tail, we now want to own short dated call spreads and/or call flies.

8/3: COR1M (correlation) is back to our <8 “we want to hedge” levels. If the AI-trade indeed has renewed legs, and the 8/3 Iran deal is material, then this is likely a bull train that persists into OPEX (8/21), and so we want to maintain equity longs while above the Risk Pivot (7,480). Simultaneously, there are several things that could trigger a vol spasm here, and so we want to start dipping our toe into >=1-month SPX/QQQ put spread hedges. If SPX breaks <Risk Pivot then we will look to press shorts.

Key SG levels for the SPX are:

Resistance: 7,800
Pivot: 7,680 (bearish <, bullish >) updated 8/5/26
Support: 7,750, 7,700, 7,680, 7,600

Founder’s Note:

Futures are +20bps ahead of PPI at 8:30 AM EST.

Rates were relatively unchanged with the CPI, and we note that along with PPI today there is a heavily-watched 30Y auction at 1pm EST.

There continues to be negative SPX gamma above (black box), but the market has yet to take that bait and shifter higher into 7,800 despite the okay CPI. Positive gamma support is stronger today at 7,750 due to a 20k dealer long call position at that strike.

We were making the argument that a good CPI & PPI could drop vols, which could help push the market higher into the negative gamma above which could produce a solid stock rally. Below are SPX fixed strike vols for this AM vs Tuesdays close. You can see there is a decent vol contraction of 1/2-1 vol point (red/negative figures). Clearing of PPI likely drops vols a bit further, which may finally allow the leak up to 7,800.

One of the more interesting moves of late has been GLD, which went from put-skewed (left on chart) to call skewed (right on chart) over the last 10 sessions.

If we look at DEC skew from today (teal) vs 2 weeks ago (black) we can see that the ATM vols have picked up as the price action has picked up (GLD +8% last 10 days). Traders do appear to be hammering (selling) call skews >=500, which would match the major GLD highs from Jan ’26. That is pretty close to matching $5k an ounce in gold spot, too, and so we take this as an indication that gold could have smooth sailing for another ~10-20%. That is, of course, assuming that rate hikes are shelved.

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/

	/ESU26	SPX	SPY	NDX	QQQ	RUT	IWM
Reference Price:	$7769.2	$7748	$772	$29742	$723	$3045	$302
SG Gamma Index™:		4.08	0.390
SG Implied 1-Day Move:		0.79%	0.79%
SG Implied 5-Day Move:		1.72%
SG Implied 1-Day Move High:		$7834.05	$781.01
SG Implied 1-Day Move Low:		$7711.25	$768.77
SG Volatility Trigger™:	$7741.2	$7720	$772	$29520	$723	$2990	$301
Absolute Gamma Strike:	$8021.2	$8000	$775	$29500	$720	$3000	$300
Call Wall:	$7821.2	$7800	$780	$28550	$730	$3100	$305
Put Wall:	$7521.2	$7500	$770	$29100	$660	$2900	$295
Zero Gamma Level:	$7666.2	$7645	$765	$29223	$716	$3038	$302

Key Support & Resistance Strikes
SPX Levels: [8000, 7000, 7750, 7800]
SPY Levels: [775, 780, 770, 773]
NDX Levels: [29500, 29000, 30000, 29700]
QQQ Levels: [720, 700, 730, 725]
SPX Combos: [(8128,89.20), (8120,73.76), (8113,65.35), (8097,98.16), (8089,67.34), (8074,76.06), (8066,79.61), (8058,66.75), (8051,96.00), (8043,86.77), (8027,93.19), (8012,69.15), (7996,98.84), (7989,66.92), (7973,88.72), (7950,96.55), (7927,92.17), (7911,76.17), (7903,99.84), (7888,88.13), (7880,83.50), (7872,98.27), (7857,86.48), (7849,98.81), (7841,84.69), (7834,91.12), (7826,99.66), (7818,92.87), (7810,89.55), (7803,99.92), (7795,84.33), (7787,97.76), (7779,92.24), (7772,99.83), (7764,73.21), (7756,93.28), (7748,98.64), (7718,82.09), (7710,75.19), (7702,84.11), (7694,67.17), (7687,92.54), (7671,87.91), (7663,83.54), (7640,79.87), (7594,79.84), (7578,72.30), (7547,81.39), (7524,88.74), (7516,73.98), (7501,94.68), (7446,75.74), (7423,65.79), (7400,91.71)]
SPY Combos: [777.41, 787.43, 775.1, 772.79]
NDX Combos: [30010, 30218, 30427, 29802]
QQQ Combos: [729.83, 734.86, 694.63, 708.28]

	SPX	SPY	NDX	QQQ	RUT	IWM
Gamma Tilt:	1.341	1.308	1.366	1.223	1.05	0.895
Gamma Notional (MM):	$1.052B	$1.146B	$10.478M	$485.377M	$2.864M	‑$136.059M
25 Delta Risk Reversal:	-0.029	-0.012	-0.035	-0.019	-0.029	-0.015
Call Volume:	684.688K	1.46M	6.793K	868.96K	13.29K	249.838K
Put Volume:	916.476K	2.015M	10.519K	984.866K	34.702K	556.178K
Call Open Interest:	10.349M	6.75M	85.575K	5.453M	245.543K	2.958M
Put Open Interest:	14.086M	14.966M	99.506K	6.489M	475.475K	7.492M

Informe Option Levels

Macro Theme:

Founder’s Note:

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