Macro Theme:
Key dates ahead:
- 5/5: ISM, JOLTS
- 5/8: NFP
SG Summary:
Update 5/1: Positioning remains in place to support markets, and invoke stable positioning despite raising oil prices. Given this, we continue to ride a core long stock position while the SPX is > Risk Pivot, which is now 7,180. All signals point strong to the market not caring about the geopolitical situation, but we want to maintain tail hedges until oil is back <100.
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.
Key SG levels for the SPX are:
- Resistance:7,250, 7,280, 7,300
- Pivot: 7,180 (bearish <, bullish >) updated 5/1/26
- Support: 7,200, 7,180, 7,090, 7,000
Founder’s Note:
Futures are flat. VIX is mildly higher, both as is Monday and there was a rumor of an Iran attack on a US ship. That was denied by the US.
TLDR: positioning is in place to support mean reverting trading ranges. If semis continue to be bid, and if vol continues to compress, then that invokes positive drift in the context of this mean reversion. Baring actual US firing of munitions, the positioning suggests quiet ranges wherein dips are bought, and rallies sold.
Buoying the equity market against rumor is the SPX gamma, which is positive across the board. It will take something fairly material to break the SPX markedly lower.
The positive gamma in the SPX is consistent with what we’ve had for the last several days. The same is true in single stocks: positive gamma, just as we’ve seen over the past several days.
Focusing on the volatility picture, the general idea here is that traders don’t care about the Iran war situation, particularly as long as the AI vector remains strong. What we are now seeing is SPX RV come in, trending currently at 11.6%. As this declines, it opens up the door for a continued compression in the VIX/SPX IV complex, which supports stocks via vanna.
Vol contraction is a single stock theme, now too. The primary driver of this is the passing of earnings, and also a slowing in the rate-of-change of upside. There are still some major earnings reports ahead including SMCI & AMD tomorrow, ARM tomorrow, CRWV on 5/7.
©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/
|
|
/ESM26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7258.52 |
$7230 |
$720 |
$27710 |
$674 |
$2812 |
$279 |
|
SG Gamma Index™: |
|
3.789 |
0.035 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.64% |
0.64% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.49% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7223.52 |
$7195 |
$720 |
$25550 |
$669 |
$2780 |
$272 |
|
Absolute Gamma Strike: |
$7028.52 |
$7000 |
$700 |
$27000 |
$675 |
$2800 |
$270 |
|
Call Wall: |
$7328.52 |
$7300 |
$725 |
$26700 |
$680 |
$2850 |
$280 |
|
Put Wall: |
$6828.52 |
$6800 |
$700 |
$24500 |
$645 |
$2680 |
$265 |
|
Zero Gamma Level: |
$7108.52 |
$7080 |
$719 |
$25829 |
$667 |
$2785 |
$283 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7000, 7200, 7150, 6000] |
|
SPY Levels: [700, 710, 720, 725] |
|
NDX Levels: [27000, 26700, 27500, 28000] |
|
QQQ Levels: [675, 680, 670, 660] |
|
SPX Combos: [(7577,88.71), (7548,83.31), (7527,85.27), (7498,98.03), (7476,86.30), (7447,95.34), (7433,73.94), (7425,88.90), (7396,99.28), (7382,70.81), (7375,93.62), (7367,78.26), (7360,85.55), (7353,98.68), (7339,91.78), (7331,83.54), (7324,97.84), (7317,93.02), (7310,90.91), (7302,99.82), (7295,80.68), (7288,94.85), (7281,91.34), (7274,98.83), (7266,76.24), (7259,72.41), (7252,98.44), (7237,84.93), (7223,85.14), (7201,96.88), (7187,69.14), (7172,72.09), (7151,77.93), (7122,81.60), (7100,86.25), (7020,82.34), (6898,83.08)] |
|
SPY Combos: [717.67, 727.73, 722.7, 737.07] |
|
NDX Combos: [27960, 27738, 27987, 28154] |
|
QQQ Combos: [674.91, 680.25, 670.24, 668.91] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.484 |
1.035 |
2.195 |
1.27 |
1.145 |
0.739 |
|
Gamma Notional (MM): |
$937.565M |
$38.99M |
$17.919M |
$355.956M |
$11.031M |
‑$304.353M |
|
25 Delta Risk Reversal: |
-0.047 |
0.00 |
-0.053 |
0.00 |
-0.047 |
0.00 |
|
Call Volume: |
810.782K |
1.604M |
11.152K |
895.87K |
18.275K |
225.481K |
|
Put Volume: |
1.006M |
3.002M |
12.041K |
1.331M |
60.877K |
626.757K |
|
Call Open Interest: |
9.002M |
5.559M |
80.262K |
4.04M |
221.101K |
2.786M |
|
Put Open Interest: |
12.676M |
12.41M |
85.259K |
6.262M |
407.124K |
7.70M |
0 comentarios