Macro Theme:
Key dates ahead:
- 4/30: PCE, AAPL, SNDK ER
- 5/1: ISM
SG Summary:
Update 4/28: We move to sell AMD 1-2 month to expiration AMD call structures as a view that 1) the IV is at extremes and we think the rate-of-change of upside slows. Additionally this would add to a downside equity market play as oil breaks >100. Additionally, we have raised our Risk Pivot to 7,090, which means we would shift to a directionally short position if the SPX breaks < that level as a break of 7,090 implies a quick test of 7,000.
4/15: Based on “stock up, vol up” dynamics, and massive imbalances to call volumes vs puts, we are calling for a ~2% equity correction into early next week (ref: SPX 7,035). We will express this via S&P500 put spreads. This is not a statement on the longer term equity dynamics, but a short term overbought condition.
Key SG levels for the SPX are:
- Resistance:7,200
- Pivot: 7,090 (bearish <, bullish >) updated 4/27/26
- Support: 7,150, 7,090, 7,000
Founder’s Note:
Futures are bid into the cap of the heaviest week of Q2 — ES +0.4%, NDX futures +0.5% — after SPX closed Wednesday at 7,135.95 (-0.04%) and VIX is at lows of 17.83.
Three of the four Mag7 prints are already in the tape:
- GOOGL +6%
- AMZN +3%
- MSFT -2%
- META -9%
Also noting CAT +6%.
AAPL + SNDK after the close, today.
Brent printed $126.41 intraday (a four-year wartime high) before fading to ~$114, WTI is hovering ~$105 after Trump told aides to prepare for an extended blockade of Iranian ports. We note the front month CL contract rolls off today.
To summarize the dynamic: relentless semi/tech bid which earnings reinforce, vol unreactive to geopolitical/oil moves, and MMs have positive gamma across both Index & single stocks. Thats not a great environment to be short of, despite the Known Unknowns of the Iran situation.
Breaking it down: MMs are long SPX gamma. Its not a ton of gamma at $1-2bn, but its positive, and that supports stocks. Resistance for today is 7,200. Support 7,150. With oil trending slightly down its hard to flag any reason for stocks to come off, today.
Next, we show a new view: the sum of gamma across all top 100 stocks in the S&P500. Dealers are long gamma there, too. This infers that all dips in single stocks are bought, and that occurs under the context of the big underlying bid in single stocks, with AI/Semis leading he way.
What about the vol space? VIX term structure, shown here, is totally unchanged over the last 5 days. Today we see VIX now nearing post-war lows.
When will energy/oil matter? We don’t know, and its possible that the situation is simply resolved peacefully. We hope thats the case, but until it matters then the chase is on to get long tech, and sell vol. Until it is resolved, the lurking left tail remains.
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| /ESM26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7165.05 | $7135 | $711 | $27186 | $661 | $2739 | $272 |
| SG Gamma Index™: |
| 2.203 | -0.169 |
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| SG Implied 1-Day Move: |
| 0.64% | 0.64% |
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| SG Implied 5-Day Move: |
| 1.51% |
|
|
|
|
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| SG Implied 1-Day Move High: |
| $7216.64 | $719.27 |
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|
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| SG Implied 1-Day Move Low: |
| $7124.86 | $710.13 |
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| SG Volatility Trigger™: | $7125.05 | $7095 | $710 | $26690 | $654 | $2700 | $272 |
| Absolute Gamma Strike: | $7030.05 | $7000 | $700 | $26700 | $650 | $2700 | $270 |
| Call Wall: | $7230.05 | $7200 | $720 | $26700 | $675 | $2725 | $280 |
| Put Wall: | $6830.05 | $6800 | $700 | $23500 | $635 | $2680 | $266 |
| Zero Gamma Level: | $7071.05 | $7041 | $710 | $26313 | $655 | $2732 | $280 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 7150, 6000, 7100] |
| SPY Levels: [700, 710, 705, 715] |
| NDX Levels: [26700, 27000, 27500, 26500] |
| QQQ Levels: [650, 660, 640, 645] |
| SPX Combos: [(7478,67.87), (7450,87.54), (7429,70.71), (7400,97.80), (7371,89.45), (7350,93.25), (7321,93.44), (7307,77.91), (7300,98.74), (7293,68.35), (7279,74.51), (7272,95.04), (7257,82.43), (7250,97.16), (7243,95.10), (7229,77.11), (7222,97.59), (7207,87.85), (7200,99.55), (7193,84.09), (7179,78.93), (7172,95.32), (7157,77.32), (7150,95.73), (7129,74.44), (7100,92.92), (7043,69.03), (7022,91.75), (7008,91.91), (7000,79.09), (6993,72.70), (6979,68.11), (6972,82.41), (6922,81.37), (6900,90.79), (6872,77.85), (6851,71.15), (6822,84.90), (6801,94.74)] |
| SPY Combos: [718.09, 728.05, 723.07, 738.01] |
| NDX Combos: [27731, 27948, 27540, 27323] |
| QQQ Combos: [675.32, 649.68, 660.2, 679.93] |
|
| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.253 | 0.847 | 1.892 | 1.105 | 0.960 | 0.508 |
| Gamma Notional (MM): | $693.715M | ‑$182.396M | $16.456M | $298.127M | ‑$87.875K | ‑$775.684M |
| 25 Delta Risk Reversal: | -0.057 | -0.039 | -0.062 | -0.045 | -0.054 | -0.038 |
| Call Volume: | 575.245K | 1.016M | 9.216K | 996.545K | 15.154K | 235.244K |
| Put Volume: | 829.961K | 1.882M | 19.347K | 1.211M | 23.07K | 976.804K |
| Call Open Interest: | 8.966M | 5.802M | 82.012K | 4.39M | 230.776K | 2.79M |
| Put Open Interest: | 12.927M | 12.779M | 104.022K | 6.556M | 417.126K | 7.622M |
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