Macro Theme:
Key dates ahead:
- 6/2: JOLTS
- 6/3: ISM
- 6/5: NFP
- 6/10: CPI
- 6/12: SPACEX IPO
- 6/17: FOMC
- 6/18: OPEX
- 6/19: Juneteenth (mkt closed)
SG Summary:
Update 6/1/26: COR1M crossed our risk-barrier of8 by closing at 6.3 on Friday. Given this we are going to be adding some downside protection here, via >=July SPY put spreads and/or VIX calls. Ultimately the sign of a larger decline occurs when the SPX crosses <7,490 (Risk Pivot).
5/27: The positive gamma continues to support stocks. Oil back to 90 is allowing equity vol to come down, which adds bullish fuel. That said, we are reading very extreme call readings in the memory names, and in the QQQ as well. Given this, we want to maintain a core long position, but we will start to add some light downside plays for 2-3 months out, with the 6/12 SPACEX IPO circled as a major turning point. Additionally, we raise our Risk Pivot to 7,490, which is just below a large 30k lot call spread at 7,500.
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: 7,640
- Pivot: 7,490 (bearish <, bullish >) updated 5/27/26
- Support: 7,600, 7,550, 7,500
Founder’s Note:
Futures are up10bps. CL is +2% to $90, after no Iran deal has materialized.
TLDR: Gamma is set to support stocks as it has for weeks, but the major call froth has us on red alert for a volatility spasm. In this environment, we just need a trigger to see a sharp correction in stocks. Tread lightly.
Positive gamma projects to support the SPX, as seen with the blue TRACE map. Support today shows at 7,600 and 7,550. Resistance about is at 7,640. Our Risk Off level remains 7,490.
This is dealer gamma for the top 100 stocks in the S&P, with thick positive gamma below currentSPX levels. This suggests more support.
As most of you are now aware, our beloved COR1M (CBOE 1 month correlation) closed at 6.3 on Friday which is the lowest since July 2024. This is telling us that traders are chasing single stock calls, while selling SPX calls, in a very extreme manner.
Below we framed the current state of vols as median IV rank (left) and Skew Rank (right). For top stocks median Skew Rank is +90, with IV Rank +30. Both are extreme in that normally when we have a call-chase the IV Rank would be lower. But instead here we have 1) demand for calls and 2) massive upside realized vol which is keeping IV elevated. It’s a crash up.
Back in July 2024 it was NVDA that was dominating the market, trading many billions in daily options premium – so much so that NVDA premiums were larger that SPY & QQQ notional. That early July ’24 froth led to a 10% correction into August, with the decline culminating in VIX +60 on August 5th.
No single stock has seen this type of options demand until today, and MU. We mark MU trading $8bn on Friday, nearly larger than SPY & QQQ combined, and second only to SPX.
This matters because it is this AI narrative, embodied by MU, which is keeping the market charged to the upside. Any dent to that narrative is likely what triggers a vol spasm. A second to this, of course, is the Iran situation which seems no closer to resolution.
©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/
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|
/ESM26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7593.25 |
$7580 |
$756 |
$30333 |
$738 |
$2919 |
$290 |
|
SG Gamma Index™: |
|
4.801 |
0.111 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.61% |
0.61% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.55% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
$7617.03 |
$760.04 |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
$7524.67 |
$750.82 |
|
|
|
|
|
SG Volatility Trigger™: |
$7568.25 |
$7555 |
$754 |
$29190 |
$733 |
$2850 |
$289 |
|
Absolute Gamma Strike: |
$7013.25 |
$7000 |
$750 |
$29200 |
$700 |
$2800 |
$280 |
|
Call Wall: |
$7613.25 |
$7600 |
$760 |
$29200 |
$750 |
$3000 |
$300 |
|
Put Wall: |
$7313.25 |
$7300 |
$740 |
$29540 |
$700 |
$2820 |
$282 |
|
Zero Gamma Level: |
$7436.25 |
$7423 |
$754 |
$29580 |
$731 |
$2912 |
$292 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7000, 7600, 7500, 8000] |
|
SPY Levels: [750, 760, 755, 740] |
|
NDX Levels: [29200, 30000, 30500, 31000] |
|
QQQ Levels: [700, 740, 730, 735] |
|
SPX Combos: [(7951,79.13), (7898,94.79), (7853,92.58), (7823,86.66), (7800,98.40), (7777,85.31), (7770,77.86), (7747,95.86), (7739,67.74), (7732,72.22), (7724,90.86), (7717,87.45), (7709,78.72), (7701,99.46), (7694,81.53), (7686,72.14), (7679,98.42), (7671,91.41), (7663,95.25), (7656,83.10), (7648,99.81), (7641,96.44), (7633,97.00), (7626,97.77), (7618,98.88), (7610,86.56), (7603,99.82), (7595,75.89), (7588,97.97), (7580,81.02), (7572,93.15), (7550,80.06), (7519,72.01), (7497,90.62), (7489,70.39), (7482,80.84), (7466,79.58), (7451,73.20), (7444,69.89), (7428,74.33), (7413,76.25), (7353,75.12), (7300,80.46)] |
|
SPY Combos: [758.41, 762.94, 756.15, 756.9] |
|
NDX Combos: [30394, 29211, 30819, 30485] |
|
QQQ Combos: [739.98, 742.19, 710.56, 754.69] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.57 |
1.121 |
1.871 |
1.173 |
1.000 |
0.735 |
|
Gamma Notional (MM): |
$1.162B |
$292.26M |
$14.246M |
$231.388M |
$1.51M |
‑$253.168M |
|
25 Delta Risk Reversal: |
-0.034 |
0.00 |
-0.037 |
-0.026 |
-0.029 |
-0.029 |
|
Call Volume: |
1.555M |
1.467M |
15.41K |
951.879K |
19.112K |
201.835K |
|
Put Volume: |
1.111M |
1.669M |
16.98K |
1.206M |
47.147K |
502.287K |
|
Call Open Interest: |
9.976M |
5.796M |
87.409K |
4.472M |
235.456K |
2.921M |
|
Put Open Interest: |
13.395M |
11.889M |
91.503K |
6.917M |
441.123K |
7.706M |
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