Macro Theme:
Key dates ahead:
- 6/18 FOMC + VIX Expiration
- 6/19 Juneteenth – Market Closed
- 6/20 OPEX
- 6/30 Quarterly OPEX
June OPEX Playbook:
Update 6/13: Futures tested ~5,925 overnight 6/12-6/13, and rallied back to 6k. That move emphasized the slippery downside <6k to 5,900. We continue to see little support from 6k back to 5,900, particularly into an uncertain weekend (due to Israel/Iran).
6/12: Rumors of conflict with Iran has now zapped the rally which formed post-CPI. We think that keeps a bid into vol through the weekend, which means that our best case, and base case SPX move is to pin 6,000 into next weeks FOMC. Should 5,975 give way, then we look for a fast move to 5,900, which would be strong support into FOMC. ✅
June VIX/Equity expirations fall just as SPX realized vol is getting squeezed to the floor (5-day is 8%), and the SPX is nearing all time highs. As per usual, when we get a strongly trending market into expirations we look for markets to mean revert after expiration as the flow dynamics shift – and this case is generally no different – except this time we have the very large 5,905 JPM call that expires at the end of June (6/30). That could be a support buffer/target for SPX prices post-OPEX. Given that the scenario could be something like: CPI is benign, SPX rallies to 6,100 into next week, and then contracts to 5,900 by 6/30. If CPI on 6/11 is hot, that 5,900 level could come into play this week, which is why we will be looking to head into tomorrows print with a low risk/high reward “lotto” put spread/put fly in the 5,900 area – and we will couple that will 1-2 DTE 6,100 call spreads/flies.
Key SG levels for the SPX are:
- Resistance: 6,050, 6,100 (We see a long term top in the 5,900 – 6k area)
- Pivot: 6,000 (bearish <, bullish >)
- Support: 5,905 (6/30 Exp JPM Call)
Founder’s Note:
Futures are off 1%, which is a large improvement from the -3% overnight lows. The selling is obviously due to the Israel/Iran strikes last night. Consumer Sentiment is at 10AM ET.
TLDR: This rally back to 6k is quite suspect, and we are on watch for another visit of the 5,900 area, using 6k as heavy resistance.
The initial news broke the SPX/ES 6k level, ultimately leading to a test of ES 5,925 – and then there was a massive directional rally all the way back to ES ~5,995. One huge mean reversion.
We have 2 thoughts on this:
1) The mean reversion is not terribly surprising given the massive positive gamma at 5,905 – we see that as generating some long hedging flow into 5,905 and from there its kind of a reflexive “body in motion stays in motion” with the rally back to 6k. You can see just how 45° linear the move is in ES overnight, too, suggesting some algorithmic action (vs a quick huge jump on positive news).
2) As far as the news suggests, this isn’t over & so traders are not likely looking to be short vol into the weekend. This zaps sustained buying fuel for today.
The big indicator to watch here is vol, which should be more of a stable signal that whipping ES/SPX price action. Fixed strike vol for SPX is up +1-3 pts across the board, which is significant. The most interesting part of the surface shift is for tail risk, as you can see the options <5,600 are the most green on the matrix below. We set the grid to compare vol from right now vs last nights close – and that relatively brighter shade of green to the left is what implies those tails are bid. Tails bid makes sense – many are trying to cover tensions escalating even more. Lets hope things don’t get worse.
Don’t forget, FOMC is next week too, which should retain some event vol making short vol here maybe tough for the next week – even outside of global conflict.
These tensions are obviously bullish for oil (CL +7%) and GLD (+1%). In yesterday’s AM note we flagged the dispersion taking place in vols, and you can see those GLD & USO now moving up the Compass map, indicating higher IV. Those IV’s will be even higher this AM (Compass strikes to last nights close). One certainly gets the feeling that GLD and USO “knew something”….and per yesterday’s AM note we may start looking at selling +1month USO call spreads given the rich IV.
|
|
/ES |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6026.62 |
$6022 |
$603 |
$21860 |
$533 |
$2148 |
$212 |
|
SG Gamma Index™: |
|
1.641 |
0.064 |
|
|
|
|
|
SG Implied 1-Day Move: |
0.60% |
0.60% |
0.60% |
|
|
|
|
|
SG Implied 5-Day Move: |
1.95% |
1.95% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
After open |
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
After open |
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$5999.62 |
$5995 |
$599 |
$21240 |
$532 |
$2080 |
$210 |
|
Absolute Gamma Strike: |
$6004.62 |
$6000 |
$600 |
$22000 |
$530 |
$2100 |
$215 |
|
Call Wall: |
$6104.62 |
$6100 |
$610 |
$21325 |
$540 |
$2200 |
$215 |
|
Put Wall: |
$5904.62 |
$5900 |
$590 |
$19500 |
$520 |
$2000 |
$200 |
|
Zero Gamma Level: |
$5946.62 |
$5942 |
$598 |
$21318 |
$528 |
$2111 |
$212 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.186 |
1.069 |
1.517 |
1.177 |
1.072 |
0.831 |
|
Gamma Notional (MM): |
$391.906M |
$608.779M |
$11.984M |
$372.356M |
$16.773M |
‑$165.511M |
|
25 Delta Risk Reversal: |
-0.053 |
-0.048 |
-0.054 |
-0.041 |
-0.04 |
-0.036 |
|
Call Volume: |
458.499K |
1.122M |
7.501K |
547.342K |
15.356K |
229.739K |
|
Put Volume: |
838.102K |
1.694M |
9.17K |
767.302K |
24.327K |
505.206K |
|
Call Open Interest: |
8.694M |
6.472M |
73.694K |
3.959M |
318.019K |
4.278M |
|
Put Open Interest: |
13.902M |
12.616M |
90.886K |
5.64M |
478.048K |
9.031M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6100, 5900, 6050] |
|
SPY Levels: [600, 595, 605, 590] |
|
NDX Levels: [22000, 21325, 21900, 21500] |
|
QQQ Levels: [530, 520, 535, 540] |
|
SPX Combos: [(6275,95.71), (6227,94.74), (6203,75.93), (6185,81.25), (6179,98.65), (6149,90.93), (6137,85.24), (6125,97.96), (6119,79.31), (6107,77.13), (6101,89.07), (6095,80.51), (6088,78.29), (6082,90.15), (6076,99.82), (6064,93.52), (6058,89.96), (6052,96.96), (6046,89.12), (6040,72.01), (6034,94.22), (6028,97.87), (6004,73.67), (5998,75.03), (5986,72.73), (5974,85.81), (5950,90.52), (5938,71.70), (5926,82.84), (5884,84.97), (5878,90.32), (5854,69.91), (5836,73.47), (5830,73.95), (5775,89.90), (5727,81.31)] |
|
SPY Combos: [609.18, 618.8, 603.77, 606.77] |
|
NDX Combos: [22123, 21271, 21948, 22320] |
|
QQQ Combos: [539.86, 519.1, 523.36, 549.98] |