Macro Theme:
Key dates ahead:
- 9/11: CPI
- 9/16: FOMC
- 9/18: OPEX
SG Summary:
Update 9/9: Equities are largely waiting for CPI and even more likely next weeks FOMC before pulling substantially away from 7,700. The thing that could break the tie beforehand would be Iran, which is unfortunately re-flaring. Should oil start to press 100, its likely SPX would pressure lower to 7,600 as a fairly controlled move lower. Where downside gets truly spicy is likely <7,550, as positiver gamma is completely removed below that level.
9/4: With SPX back above the previous Risk Pivot of 7650, we think NFP will be a non-event which should contract vol further into a 3-day weekend which may fuel more of a rally. Single stocks also remain bid, with call IVs expanding. Given this, we lean into upside with Sep SPX call spreads for 9/18 (post-FOMC). We now shift the Risk Pivot to 7,690 and would shift to flat of equities if that level is breached to the downside.
Key SG levels for the SPX are:
- Resistance: 7,700, 7,720, 7,750, 7,800
- Pivot: 7,690 (bearish <, bullish >) updated 9/4/26
- Support: 7,600, 7,550
Founder’s Note:
Futures are off more that 40 bps as the Iranian conflict amped up. With that, CL is +2.5% to +$95.
Apple event at 1PM EST. Foldable iPhone appears to be the intrigue.
SPX is indicated to open below the Risk Pivot, which has us in a neutral stance on SPX positioning. The “oh no” level is 7,550, where we think a break of that level signals a much sharper equity correciton.
SPX gamma is mildly positive from ~7,500 to ~7,800 which suggests that dips should still be bought, and rallies sold. That being said, the way to likely disturb market calm is to jam oil higher into an already-inflationary environment.
Countering the supportive gamma is vols, which are higher. Below is the day-over-day shift, which shows an increase across the board. This is likely due much to Iran, but we also flag this insanely-viral thread from an ex-Anthropic enginner claiming dire AI outcomes. The TLDR is “the machines are coming to get us.”
Thus far stocks have largely been ignoring higher oil. However, as you can see the last 10 days in black of SPY vs USO which is a change in the general relationship to “oil up, stocks down”. Recall months ago many oil experts were predicting dire consequences if the conflict persisted just a few weeks. We’re unsure of where these forecasts stand, and/or if they are accurate, but we do feel pretty comfortable projecting that higher oil is going to keep the rate pressure on.
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|
/ESU26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7677.68 |
$7673 |
$765 |
$29507 |
$718 |
$2960 |
$294 |
|
SG Gamma Index™: |
|
0.571 |
-0.348 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.52% |
0.52% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.32% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7704.68 |
$7700 |
$767 |
$29270 |
$719 |
$3000 |
$295 |
|
Absolute Gamma Strike: |
$8004.68 |
$8000 |
$770 |
$29500 |
$720 |
$3000 |
$290 |
|
Call Wall: |
$7804.68 |
$7800 |
$775 |
$29275 |
$730 |
$3005 |
$300 |
|
Put Wall: |
$7504.68 |
$7500 |
$760 |
$29000 |
$700 |
$2920 |
$290 |
|
Zero Gamma Level: |
$7632.68 |
$7628 |
$770 |
$28993 |
$717 |
$3043 |
$301 |
|
Key Support & Resistance Strikes |
|---|
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SPX Levels: [8000, 7700, 7000, 7600] |
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SPY Levels: [770, 760, 765, 750] |
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NDX Levels: [29500, 29275, 30000, 29000] |
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QQQ Levels: [720, 700, 715, 710] |
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SPX Combos: [(8050,96.67), (8042,88.67), (8027,79.89), (8011,80.31), (8003,98.54), (7973,74.53), (7950,96.71), (7927,84.66), (7911,78.90), (7904,98.93), (7888,77.66), (7873,92.43), (7865,68.79), (7858,74.83), (7850,97.12), (7842,77.20), (7827,97.26), (7819,79.37), (7812,86.95), (7804,77.82), (7796,99.54), (7789,92.92), (7781,83.09), (7773,93.32), (7766,90.25), (7758,89.53), (7750,96.09), (7743,84.92), (7735,77.40), (7727,96.75), (7720,79.80), (7712,81.97), (7697,94.30), (7674,92.57), (7666,88.91), (7658,94.25), (7650,96.94), (7643,92.23), (7635,77.27), (7627,98.40), (7620,83.37), (7612,97.32), (7604,70.22), (7597,98.93), (7589,77.90), (7581,86.80), (7574,93.25), (7566,86.28), (7558,73.45), (7551,97.39), (7543,80.81), (7528,94.50), (7520,68.45), (7512,86.35), (7497,99.54), (7489,66.28), (7474,77.54), (7466,78.78), (7451,88.68), (7443,68.84), (7428,79.14), (7413,78.22), (7397,94.81), (7374,72.33), (7351,85.73), (7298,90.27)] |
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SPY Combos: [778.71, 788.73, 748.67, 781.02] |
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NDX Combos: [29272, 28741, 29980, 28327] |
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QQQ Combos: [729.85, 712.59, 699.65, 690.3] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.036 |
0.770 |
1.438 |
0.839 |
0.509 |
0.512 |
|
Gamma Notional (MM): |
‑$4.704M |
‑$912.766M |
$13.584M |
‑$271.663M |
‑$122.618M |
‑$1.106B |
|
25 Delta Risk Reversal: |
-0.039 |
-0.034 |
-0.048 |
0.00 |
-0.041 |
-0.04 |
|
Call Volume: |
692.226K |
1.138M |
7.809K |
741.529K |
14.994K |
192.511K |
|
Put Volume: |
1.044M |
1.576M |
9.833K |
1.099M |
38.358K |
387.512K |
|
Call Open Interest: |
10.063M |
5.732M |
88.282K |
5.262M |
262.408K |
3.063M |
|
Put Open Interest: |
14.207M |
14.272M |
110.238K |
7.235M |
544.086K |
7.486M |
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