Macro Theme:
Key dates ahead:
- 9/16: VIX Exp/FOMC
- 9/18: OPEX
SG Summary:
Update 9/10: Iran is moving oil higher, which is impact rates, and has the chance to break stocks. We are adding some IWM 1-2 week put structures to hedge downside risks here. Our models show that forward from today <7,600 is pure negative gamma, and if therefore volatility may move markedly higher if that level is broken. If 7,600 is broken, we think a target of 7,350 is reasonable.
Key SG levels for the SPX are:
- Resistance: 7,625, 7,700
- Pivot: 7,590 (bearish <, bullish >) updated 9/10/26
- Support: 7,600, 7,350
Founder’s Note:ES futures are off 60 bps, NQ -150bps as oil makes fresh highs: CL +2% to $102.
Leading AI companies are discussing a “pause” which also hits top tech.
The market has given back most of the gains from Friday’s rally, with the SPX back to 7,600 – with ES testing the Risk Pivot overnight.
The SPX gamma setup remains perilous <7,600, with negative gamma increasing into the 7,300’s. The risks of this setup, as we outlined last week, are that negative gamma can draw downside dealer hedging, which could pair with a sharp increase in volatility. Negative gamma + negative vega is where price action can get “quick and convex”. Given this we are looking to add to short plays if the SPX breaks 7,590.
Here we compare SPX fixed strike vols from Thursday day, pre CPI, to now. Friday vols did contract some as the market rallied. This weeks expiration IV’s have now re-flated, with FOMC/VIX exp Wed and OPEX Friday. Longer dated vols are flat to Thursday’s close – which was the weekly high in vols. Traders now price 86% odds of a rate hike on Wed.
The higher vols are sparking a bid into puts as we discussed last week. But there is also a loss in upside confidence. Below is the 3 month SPX call skew, which has come off sharply the last week as the Iran situation worsened and a cloud hangs over AI. If we indeed lose the AI narrative, and oil keeps moving higher, this could get ugly.
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|
/ESZ26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7727.55 |
$7656 |
$764 |
$29368 |
$714 |
$2903 |
$288 |
|
SG Gamma Index™: |
|
0.707 |
-0.484 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.52% |
0.52% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.26% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7736.55 |
$7665 |
$765 |
$29270 |
$716 |
$3000 |
$291 |
|
Absolute Gamma Strike: |
$8071.55 |
$8000 |
$760 |
$29500 |
$720 |
$2900 |
$290 |
|
Call Wall: |
$7871.55 |
$7800 |
$775 |
$29275 |
$720 |
$3005 |
$310 |
|
Put Wall: |
$7571.55 |
$7500 |
$760 |
$29000 |
$700 |
$2900 |
$285 |
|
Zero Gamma Level: |
$7683.55 |
$7612 |
$768 |
$28856 |
$718 |
$3030 |
$299 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [8000, 7700, 7000, 7600] |
|
SPY Levels: [760, 770, 750, 765] |
|
NDX Levels: [29500, 29275, 29000, 30000] |
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QQQ Levels: [720, 700, 710, 715] |
|
SPX Combos: [(8017,78.41), (8002,98.53), (7979,75.91), (7948,94.77), (7925,78.30), (7917,75.10), (7902,98.23), (7887,71.80), (7871,89.03), (7864,73.97), (7848,96.23), (7841,71.45), (7833,72.75), (7825,90.84), (7818,89.06), (7802,99.51), (7787,94.03), (7779,78.26), (7772,93.23), (7764,85.94), (7757,87.92), (7749,94.32), (7741,79.82), (7734,91.66), (7726,87.49), (7718,92.43), (7711,81.89), (7703,94.16), (7695,87.51), (7688,73.68), (7680,89.79), (7672,89.71), (7657,86.30), (7649,92.32), (7642,83.60), (7634,73.07), (7626,97.33), (7619,94.90), (7611,97.19), (7603,98.73), (7596,87.10), (7588,83.84), (7580,82.13), (7573,94.92), (7565,83.43), (7557,84.33), (7550,97.92), (7542,85.85), (7527,95.76), (7519,65.48), (7511,92.59), (7496,99.52), (7473,87.96), (7466,75.08), (7450,91.87), (7443,79.04), (7427,84.20), (7412,84.86), (7397,96.77), (7381,67.63), (7374,78.29), (7351,86.78), (7328,69.78), (7312,71.98), (7297,92.98)] |
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SPY Combos: [748.74, 754.04, 738.88, 778.29] |
|
NDX Combos: [29280, 28752, 28341, 29985] |
|
QQQ Combos: [700.19, 712.94, 690.26, 705.15] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.043 |
0.687 |
1.401 |
0.750 |
0.334 |
0.344 |
|
Gamma Notional (MM): |
$113.458M |
‑$1.181B |
$12.534M |
‑$585.125M |
‑$166.754M |
‑$1.736B |
|
25 Delta Risk Reversal: |
-0.044 |
-0.042 |
-0.051 |
-0.041 |
-0.049 |
-0.047 |
|
Call Volume: |
728.823K |
1.209M |
5.999K |
725.584K |
14.155K |
231.252K |
|
Put Volume: |
1.132M |
2.093M |
11.063K |
1.279M |
52.021K |
623.011K |
|
Call Open Interest: |
10.31M |
5.782M |
86.761K |
5.311M |
262.859K |
3.158M |
|
Put Open Interest: |
14.447M |
14.739M |
112.516K |
7.445M |
559.391K |
7.673M |
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