Macro Theme:
Key dates ahead:
- 8/28: Jackson Hole
- 9/7: Labor Day holiday
- 9/18: OPEX
SG Summary:
Update 8/27: We are looking to enter a “barbell” strategy into JHOLE, tomorrow: Long a small lot of cheap “just in case” OTM SPX put flies for Monday in case of a Warsh market-upset vs a starter lot of Sep SPX 8,000 area call structures. Should Warsh pass as a non-event we would add to those 8k structures with the view that vol will crush, and tech will continue higher into Sep OPEX.
8/24: Sitting on our hands. Traders are wearing a mildy bullish stance across all assets from gold to stocks and even bonds. The forward volatility pricing, though, is quite low for SPX allowing us to setup trail trades on both sides, which we will look to establish into Wednesdays PCE/NVDA print.
Key SG levels for the SPX are:
- Resistance: 7,720, 7,750, 7,800
- Pivot: 7,650 (bearish <, bullish >) updated 8/20/26
- Support: 7,700, 7,650, 7,600
Founder’s Note:
ES futures +35bps, NQ +100bps after NVDA & CRM ER.
NVDA $223 + 6.6% post-er, which is above the 1-day move of 5.5%.
CRM $228 +11% which is above its 6% implied move.
Jobless Claims at 8:30 EST.
Gamma is strongly positive for today – with that support sliding off tomorrow due to Jackson Hole. For next week, we currently see negative gamma <=7,625. Given JHOLE tomorrow we are next expecting a big trend day for today, rather a fairly sticky range. With that the 0DTE SPX straddle for today is $31.6/40bps ref 7,710 – that is off of recent lows but hardly pricing a volatility bonanza.
While NVDA ER has but a bid into tech, eyes are indeed still on Warsh for tomorrow. We see the SPX pricing in an extra 35bps of movement due to his speech at 10AM EST. You see this in how elevated the SPX term structure is for tomorrow vs next week. Should Warsh come off a neutral to dovish then we’d expect vol to get crushed, and for the SPX to eye 8k into Sep OPEX.
At this point its appears “trusted” that Warsh will not be much of a problem – the market just has to verify that is the case. Our plan here will be to add a small lot of lotto put flies for Monday exp just in case of a Warsh upset. This will be balanced off vs trades that play a move to 8k by Sep OPEX – likely calls or call spreads.
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|
/ESU26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7688.63 |
$7675 |
$766 |
$29224 |
$711 |
$3005 |
$298 |
|
SG Gamma Index™: |
|
1.437 |
-0.223 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.62% |
0.62% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.70% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
$7751.11 |
$773.22 |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
$7655.59 |
$763.7 |
|
|
|
|
|
SG Volatility Trigger™: |
$7688.63 |
$7675 |
$766 |
$29070 |
$712 |
$3000 |
$300 |
|
Absolute Gamma Strike: |
$8013.63 |
$8000 |
$760 |
$29500 |
$700 |
$3000 |
$300 |
|
Call Wall: |
$7913.63 |
$7900 |
$780 |
$29275 |
$730 |
$3005 |
$305 |
|
Put Wall: |
$7513.63 |
$7500 |
$760 |
$28650 |
$700 |
$2970 |
$295 |
|
Zero Gamma Level: |
$7644.63 |
$7631 |
$764 |
$28931 |
$709 |
$3044 |
$305 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [8000, 7000, 7700, 7600] |
|
SPY Levels: [760, 770, 765, 750] |
|
NDX Levels: [29500, 29275, 29000, 30000] |
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QQQ Levels: [700, 720, 710, 715] |
|
SPX Combos: [(8052,93.93), (8036,87.69), (8029,81.81), (8013,82.54), (7998,97.63), (7975,75.33), (7952,93.17), (7921,84.11), (7914,80.85), (7898,99.14), (7891,76.60), (7875,88.93), (7868,76.07), (7852,96.90), (7837,74.61), (7829,65.34), (7822,94.27), (7814,84.56), (7806,86.53), (7799,99.30), (7791,69.56), (7783,91.69), (7775,89.46), (7768,90.73), (7760,67.96), (7752,98.38), (7745,81.11), (7737,93.06), (7729,88.90), (7722,92.30), (7706,85.19), (7699,77.35), (7683,66.39), (7668,86.56), (7653,93.08), (7645,77.17), (7637,92.93), (7630,84.53), (7622,81.81), (7614,95.43), (7607,71.92), (7599,94.85), (7591,83.07), (7584,86.54), (7576,87.18), (7568,87.22), (7553,96.17), (7538,73.14), (7530,77.06), (7522,90.90), (7515,85.81), (7499,98.36), (7491,64.90), (7484,65.32), (7476,78.77), (7468,66.01), (7453,89.26), (7422,70.28), (7415,68.92), (7399,94.24), (7376,70.88), (7353,84.53), (7300,89.26)] |
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SPY Combos: [788.12, 778.16, 748.29, 798.08] |
|
NDX Combos: [28757, 29283, 29488, 27939] |
|
QQQ Combos: [699.98, 712.06, 729.83, 680.08] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.107 |
0.818 |
1.316 |
0.921 |
0.551 |
0.549 |
|
Gamma Notional (MM): |
$264.49M |
‑$509.912M |
$8.996M |
‑$105.969M |
‑$82.667M |
‑$787.809M |
|
25 Delta Risk Reversal: |
-0.038 |
-0.033 |
-0.045 |
-0.031 |
-0.04 |
-0.038 |
|
Call Volume: |
399.592K |
978.209K |
12.132K |
814.156K |
10.663K |
151.963K |
|
Put Volume: |
570.826K |
1.207M |
11.372K |
974.097K |
25.053K |
302.062K |
|
Call Open Interest: |
9.522M |
5.682M |
87.353K |
5.457M |
245.745K |
2.836M |
|
Put Open Interest: |
13.604M |
13.85M |
97.88K |
6.628M |
507.119K |
6.953M |
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