Macro Theme:
Key dates ahead:
- 5/28: CORE PCE
- 6/12: SPACEX IPO
SG Summary:
Update 5/12: We like owning June VIX calls as a hedge with Oil going >100. We also like put flies/ratios etc in the highest flying tech names (AMD, SNDK, MU, etc). These ideas are in the context of larger equity market support/volatility suppression from 5/15 OPEX to 5/20 VIX Exp/NVDA exp. Following that we look for a larger market move to come into play.
Key SG levels for the SPX are:
- Resistance: 7,440, 7,500
- Pivot: 7,390 (bearish <, bullish >) updated 5/15/26
- Support: 7,400, 7,360, 7,300
Founder’s Note:
Future are up 15 bps, oil is up 100 bps, and VIX is up fractionally.
Buy…everything?
Jokes aside, we find ourselves yet again covered in positive dealer gamma. This infers more market support for today. Generally heading into a 3-day weekend we’d look for some vol selling, which would add a bullish edge to stocks. However, due to the ongoing Iran saga we think traders will refrain from being volatility into Memorial day. Given this, we are defaulting to a quiet, “sideways” session.
Our core stance remains that OPEX burned off the overbought condition (see COR1M dip at OPEX), and we still see risk-taking appetite in sectors like quantum computing, and moves like in NBIS (+14% y’day). NVDA clearly failed to generate much sector excitement – although the stock is draped in positive gamma. It did, though, seems to confirm “A-OK” in the tech sector so that other stocks could continue their upside convexity (ex: SNDK +9% y’day). Traders clearly want more upside, but the remained somewhat tethered by Iran/rates concerns.
If Iran can resolve, then we likely see another surge in call buying, which pushes COR1M plunge “sub 8” (or risk-off signal). If Iran muddles through, we think that traders will still lean bullish, at least over the next 1-2 weeks as the shortened week next week could bring some vol for sale.
Our bar for risk-on in the SPX remains 7,390. A break below that level has us back into a neutral stock-stance.
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| /ESM26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7464.05 | $7445 | $742 | $29357 | $714 | $2843 | $282 |
| SG Gamma Index™: |
| 3.742 | 0.024 |
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| SG Implied 1-Day Move: |
| 0.65% | 0.65% |
|
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| SG Implied 5-Day Move: |
| 1.55% |
|
|
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|
|
| SG Implied 1-Day Move High: |
| After open | After open |
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|
|
| SG Implied 1-Day Move Low: |
| After open | After open |
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| SG Volatility Trigger™: | $7414.05 | $7395 | $738 | $28490 | $710 | $2790 | $280 |
| Absolute Gamma Strike: | $7019.05 | $7000 | $745 | $29200 | $700 | $2800 | $280 |
| Call Wall: | $7519.05 | $7500 | $745 | $29200 | $720 | $2800 | $285 |
| Put Wall: | $7119.05 | $7100 | $730 | $27500 | $700 | $2750 | $270 |
| Zero Gamma Level: | $7310.05 | $7291 | $741 | $28628 | $707 | $2836 | $286 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 7400, 7500, 7450] |
| SPY Levels: [745, 740, 735, 750] |
| NDX Levels: [29200, 29000, 30000, 28000] |
| QQQ Levels: [700, 710, 705, 715] |
| SPX Combos: [(7803,95.17), (7751,88.57), (7729,77.06), (7699,96.93), (7677,88.25), (7647,95.54), (7639,68.93), (7632,66.45), (7624,83.91), (7617,79.68), (7602,99.37), (7587,73.87), (7580,81.58), (7572,96.68), (7565,87.11), (7557,90.73), (7550,97.04), (7543,90.15), (7535,72.33), (7528,97.53), (7520,95.21), (7513,91.61), (7505,84.24), (7498,99.89), (7490,83.24), (7483,88.59), (7476,95.64), (7468,97.37), (7461,86.88), (7453,98.67), (7446,72.34), (7438,94.27), (7431,87.09), (7423,92.09), (7416,66.84), (7401,89.63), (7394,76.76), (7386,66.26), (7379,79.58), (7371,89.60), (7356,89.63), (7349,80.65), (7319,80.59), (7297,74.30), (7267,77.40), (7237,65.67), (7200,87.16), (7178,75.77), (7170,68.16), (7148,75.07), (7118,72.86), (7103,86.75)] |
| SPY Combos: [747.92, 757.56, 742.73, 750.14] |
| NDX Combos: [29210, 30003, 29592, 29798] |
| QQQ Combos: [710.93, 730.18, 720.2, 715.21] |
|
| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.427 | 1.022 | 1.783 | 1.026 | 0.943 | 0.639 |
| Gamma Notional (MM): | $1.067B | $337.792M | $14.419M | $123.532M | ‑$2.152M | ‑$469.363M |
| 25 Delta Risk Reversal: | 0.00 | -0.03 | -0.041 | -0.025 | -0.04 | -0.042 |
| Call Volume: | 737.822K | 1.613M | 18.327K | 963.479K | 19.299K | 357.681K |
| Put Volume: | 905.588K | 1.712M | 22.219K | 1.19M | 26.525K | 1.205M |
| Call Open Interest: | 9.532M | 5.831M | 87.664K | 4.344M | 232.621K | 2.899M |
| Put Open Interest: | 13.272M | 13.058M | 86.347K | 7.063M | 436.993K | 7.878M |
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