Macro Theme:
Key dates ahead:
- 10/28: FOMC, GOOGL/MSFT ER
- 10/29: AMZN, INTC ER
- 11/3: Elections
SG Summary:
Update 10/26: Given we are under the 7,690 Risk Pivot, we remain skeptical of equity bounces. A break of 7,600 implies a test of 7,300s. Resistance is at 7,700, and if that level is recovered we would shift back to a risk-on stance. Wednesday’s FOMC will be a critical update due to both FOMC, and key MSFT + GOOGL earnings.
10/20: Correlations are starting to rise in the back end, with the SPX threatening to lose the Risk Pivot into higher oil prices (CL $101 1-month highs). Single stock options have also flipped from call skews to put skews. Given this, we are going to add to some Dec put spreads in SPY. Note the “wash out” level in SPX remains 7,450. We elect for Dec as the relative time decay of these puts should be lower due to FOMC(s) and elections. We will want to be rolling into shorter dated call flies if the SPX regains 7,700, with eyes on a test of 7,800.
10/6: Despite higher yields, stocks are sliding higher. If those yields come down, then we may see strong moves higher in stocks. Given this, we think its critical to maintain upside exposure, and for that we prefer NVDA Nov of Dec calls as the IV rank for NVDA is <5.
Key SG levels for the SPX are:
- Resistance: 7,700, 7,720, 7,750, 7,800
- Pivot: 7,690 (bearish <, bullish >) updated 9/22/26
- Support: 7,600, 7,400
Founder’s Note:
Futures are 30bps higher, pushing the SPX back over the 7,690 Risk Pivot.
Calls on net are being sold above SPX spot, creating positive gamma resistance >=7,710. Below we see negative gamma, which indicates a lack of support.
Index vols look unchanged on this move, suggesting the VIX decline to 17.7 from the 19s is due to skew slide. SPX skew remains tilted towards puts, as its been for the last 1-2 weeks. This suggests that while the market is buoyant, the bearish sentiment has not yet worn off. Rallies are suspect.
That being said, if a risk-on moment can develop, then associated vol crushing could be a material lift for stocks. It would likely take material positive news and/or events passing (like FOMC, Wed) to invoke vol selling.
Rounding this point out – how does increased vol play into dealer hedging? The map below plots this out. Interestingly after the election it appears that if the SPX drops and IV increases downside dealer hedging flow eases (green = light buying). While, to the upside a drop in IV would generate selling into rallies. Keep in mind this is strictly a lens on how delta changes with respect to spot and vol. Vanna will dampen the gamma profile (gamma is negative below). Vega, which would be hedging of vol specifically, is negative to the downside for SPX dealers.
©2025 TenTen Capital LLC DBA SpotGamma
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/
|
| /ESZ26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7712.85 | $7676 | $765 | $29273 | $712 | $2786 | $276 |
| SG Gamma Index™: |
| -0.989 | -0.575 |
|
|
|
|
| SG Implied 1-Day Move: |
| 0.60% | 0.60% |
|
|
|
|
| SG Implied 5-Day Move: |
| 1.48% |
|
|
|
|
|
| SG Implied 1-Day Move High: |
| After open | After open |
|
|
|
|
| SG Implied 1-Day Move Low: |
| After open | After open |
|
|
|
|
| SG Volatility Trigger™: | $7736.85 | $7700 | $767 | $29300 | $715 | $2800 | $277 |
| Absolute Gamma Strike: | $8036.85 | $8000 | $760 | $29675 | $720 | $2850 | $280 |
| Call Wall: | $8136.85 | $8100 | $800 | $29675 | $760 | $2850 | $284 |
| Put Wall: | $7636.85 | $7600 | $750 | $28000 | $700 | $2680 | $270 |
| Zero Gamma Level: | $7725.85 | $7689 | $769 | $29199 | $727 | $2821 | $287 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [8000, 7000, 7700, 7800] |
| SPY Levels: [760, 765, 780, 750] |
| NDX Levels: [29675, 29000, 30000, 28000] |
| QQQ Levels: [720, 700, 710, 725] |
| SPX Combos: [(8053,97.66), (8038,90.01), (8030,64.37), (8022,90.32), (8007,72.17), (7999,97.71), (7976,85.78), (7953,90.71), (7922,89.50), (7907,73.82), (7899,97.52), (7876,87.59), (7869,74.24), (7861,64.82), (7853,96.25), (7838,75.90), (7830,78.63), (7823,96.72), (7815,77.32), (7807,89.74), (7800,95.33), (7792,82.37), (7777,87.54), (7738,80.45), (7715,66.13), (7707,67.37), (7700,91.01), (7692,86.37), (7677,93.81), (7669,71.27), (7661,92.76), (7654,99.34), (7646,86.73), (7638,94.90), (7631,84.54), (7623,97.93), (7615,80.01), (7608,85.65), (7600,99.40), (7592,91.55), (7585,77.02), (7577,92.97), (7569,92.06), (7562,78.49), (7546,96.03), (7539,75.27), (7531,67.31), (7523,97.53), (7508,81.88), (7500,99.25), (7493,74.26), (7477,90.17), (7469,84.37), (7446,94.59), (7423,89.47), (7400,96.94), (7377,80.88), (7370,73.94), (7347,91.75), (7324,81.14), (7301,95.77)] |
| SPY Combos: [747.69, 755.29, 757.57, 762.13] |
| NDX Combos: [28776, 28366, 27956, 29683] |
| QQQ Combos: [700.16, 690.3, 679.74, 669.87] |
|
| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 0.931 | 0.626 | 1.027 | 0.643 | 0.720 | 0.495 |
| Gamma Notional (MM): | ‑$286.688M | ‑$1.362B | ‑$549.285K | ‑$856.318M | ‑$43.191M | ‑$1.032B |
| 25 Delta Risk Reversal: | -0.052 | 0.00 | -0.063 | 0.00 | -0.041 | -0.026 |
| Call Volume: | 541.835K | 1.109M | 8.451K | 889.713K | 18.362K | 264.822K |
| Put Volume: | 839.165K | 1.70M | 11.808K | 1.45M | 37.913K | 408.84K |
| Call Open Interest: | 9.667M | 5.861M | 82.047K | 5.484M | 310.624K | 3.232M |
| Put Open Interest: | 13.967M | 12.403M | 105.059K | 7.656M | 520.877K | 7.563M |
0 comentarios