Macro Theme:
Key dates ahead:
- 7/22: Powell
- 7/30: FOMC
- 8/1: Tariff Deadline
July OPEX Playbook:
Update 7/10: Call skews are getting quite elevated and so we are looking to ~1-month sell call skew in select names – most notably SPY. Check Compass for other names. We will also be looking to add ~2-month puts to play a market correction into the data-heavy window coming up 7/15-8/1.
7/8: Watch the second half of July as a possible turning point/change in bullish trend: 7/15 CPI, 7/18 OPEX, 7/30 FOMC & 8/1 tariff deadline. If SPX breaks 6,200 at any time from now through that window we will flip to risk-off.
7/7: We think the SPX holds the 6,250-6,300 area this week, and short dated IV’s like contract sharply (ref 15% ATM IV). Next week could be a big turning point with CPI/OPEX & earnings kicking off.
Key SG levels for the SPX are:
- Resistance: 6,325 (SPY 630), 6,340
- Pivot: 6,250 (bearish <, bullish >)
- Support: 6,295, 6,250, 6,200, 6,100
Founder’s Note:
Futures are up 25bps as we move forward from Friday’s OPEX. There are no major data points on the docket for today, with Powell speaking tomorrow.
TLDR: For today bulls have the reigns while SPX >6,300. <6,295 we look for a test of 6,250.
We’ve been of the stance that Friday’s OPEX may allow for a correction in the equity market due to high call skews & low implied volatilities into 2 key events: FOMC (7/30) & tariff day (8/1).
This morning we find light positive gamma strikes from 6,250 up to 6,400, which implies mild equity support. The two largest levels are at 6,320 (SPY ~630) & 6,295. If the latter is broken, we look for a test of 6,250. To the upside, we think that positive gamma positions will fill in as call sellers meet higher prices. This would be supportive of stocks, and should keep realized volatility muted.
This view of short term correction comes into an upside chase for everything (except USD and long bonds).
Equities ATH (with meme-stocks are ripping), crypto ATH’s, and now we see uranium moving, with the URA ETF up ~12% over the last week in classic “stock up, vol up” fashion. Should this move to the upper right quadrant we will be thinking about selling some calls into an overbought signal.
Separately, the calls in IBIT & semis (ex: SMH) still seem cheap despite amazing performance over the last several weeks. This cheap call IV represents great upside exposure – possibly even for stock replacement trades in the event that the equity market does pause for a correction.
Lastly, on the idea of meme stocks:
You will typically hear us hand-waiving about excessive bullishness in a stock when it appears in the top 10 of total options volume. For example OPEN or RGTI in recent weeks – both of which printed ~1 million daily options volumes in recent days.
We did a very quick study on what happens to “abnormal” (i.e. stocks that are NOT: SPY/QQQ/NVDA/TSLA) stocks after they appear in the top 10 of daily options volume. What you see is that the previous returns are often wildly higher (green boxes), and forward returns tend to be flat. There is certainly a lot of variability in there, but what is suggests is “call selling” as a base line strategy. We will drop the list of names we reviewed into discord.
|
|
/ESU25 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6334.43 |
$6296 |
$627 |
$23065 |
$561 |
$2240 |
$222 |
|
SG Gamma Index™: |
|
1.649 |
-0.152 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.64% |
0.64% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.95% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6308.43 |
$6270 |
$627 |
$22890 |
$559 |
$2245 |
$222 |
|
Absolute Gamma Strike: |
$6038.43 |
$6000 |
$630 |
$23050 |
$560 |
$2200 |
$220 |
|
Call Wall: |
$6538.43 |
$6500 |
$630 |
$23050 |
$565 |
$2250 |
$230 |
|
Put Wall: |
$6138.43 |
$6100 |
$620 |
$22700 |
$555 |
$2160 |
$210 |
|
Zero Gamma Level: |
$6251.43 |
$6213 |
$626 |
$22834 |
$560 |
$2251 |
$225 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.262 |
0.841 |
1.527 |
0.993 |
0.770 |
0.690 |
|
Gamma Notional (MM): |
$631.875M |
‑$113.887M |
$14.881M |
$133.649M |
‑$22.248M |
‑$395.519M |
|
25 Delta Risk Reversal: |
-0.042 |
0.00 |
-0.043 |
0.00 |
-0.038 |
-0.022 |
|
Call Volume: |
531.58K |
917.774K |
13.289K |
526.658K |
22.017K |
206.404K |
|
Put Volume: |
840.115K |
1.358M |
12.38K |
726.991K |
35.867K |
579.882K |
|
Call Open Interest: |
6.844M |
5.028M |
60.953K |
3.063M |
240.391K |
3.64M |
|
Put Open Interest: |
11.434M |
11.664M |
68.322K |
4.87M |
402.335K |
7.383M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6300, 6250, 6500] |
|
SPY Levels: [630, 620, 625, 600] |
|
NDX Levels: [23050, 23000, 23100, 22900] |
|
QQQ Levels: [560, 565, 550, 555] |
|
SPX Combos: [(6599,96.67), (6574,82.22), (6549,91.74), (6523,85.86), (6505,89.10), (6498,99.68), (6473,86.75), (6448,95.93), (6423,93.60), (6398,99.52), (6391,80.95), (6379,81.82), (6372,96.65), (6366,70.54), (6360,85.21), (6353,98.62), (6347,72.64), (6341,94.00), (6335,69.02), (6328,98.11), (6322,96.86), (6316,75.05), (6309,88.66), (6303,98.23), (6278,72.64), (6272,74.13), (6265,73.09), (6259,85.97), (6253,88.57), (6246,70.39), (6240,74.59), (6221,89.78), (6202,82.13), (6183,79.08), (6171,74.07), (6152,74.05), (6120,81.45), (6102,86.51), (6051,81.21), (6020,74.78), (6001,80.03)] |
|
SPY Combos: [648.14, 638.09, 633.06, 629.3] |
|
NDX Combos: [23065, 23227, 22696, 23435] |
|
QQQ Combos: [565.17, 562.36, 562.92, 563.49] |