Macro Theme:
Key dates ahead:
- 3/6: NFP
SG Summary:
Update 3/3: Don’t be a hero. A move into the 6,600s are easy from here, and rallies are likely to be quite unstable given the global and lurking credit uncertainty. Neither of those problems are going away in the short term, and that likely keeps a bid in volatility. When we see some form of stability, we will likely drop the Risk Pivot from 6,900 to likely somewhere <=6,800. Not yet.
3/2: Given the Iran conflict, we see no reason to buy SPX dips near 6,800 as risks are too high with negative gamma below, and volatility simmering. Should SPX drop into the 6,600s & VIX goes >=30, then we may elect to get into call structures. If there is a bounce, 6,900 remains strong resistance.
Key SG levels for the SPX are:
- Resistance: 6,900
- Pivot: 6,900 (bearish <, bullish >) updated 2/26
- Support: 6,800, 6,700, 6,600 We currently (3/2/26) look for a move into the 6,600s as a “wash out” low
Founder’s Note:
Futures are off 50bps with NFP at 8:30 AM ET.
Crude is another 7% higher, to post-conflict highs: WTI marked at $85
We are not sure what number the market bulls want out of NFP, and the reaction to positive numbers may be limited. On this point, resistance remains 6,875-6,900.
The gamma picture is the same as always: Negative gamma from ~6,875 down through 6,600s. This signals that the soft underbelly of this market remains in place, despite its repeated bounces from 6,800-6,700.
At the risk of sounding like overbearing parents (“Drink your milk!”, “Put on a sweater!”) we again warn you: this market is about managing risk to growing capital. Vols are only “warmed up” (not rich enough given the war), and there is a real lack of stability in the positioning. We’d argue that oil making fresh highs is a signal of increasing conflict.
Our lack of bullishness is due to the ongoing geopolitical conflict, and the likelihood that traders will want to watch their risk into the weekend. We continue to hold the core view that equity volatility is unlikely to come down until there is some cooling of the Iran situation. Higher oil, in the short term, screams higher vol.
We saw airlines get smacked yesterday (-4%), which is arguably another signal of 1) higher energy prices and maybe some 2) business/travel disruption. With that, we see DAL (red arrow), for example, with heavy put skews and high IV.
On point 1, we note EEM (yellow), which is largely an East Asian basket (+50% China, Korea, Taiwan), but EEM vols are spiking sharply.
The point with noting this is that these sectors getting hit show traders concern for idiosyncratic risks. At some point maybe those more focused risks shift to equity exposure more generally.
©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/
|
| /ESH26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $6836.45 | $6830 | $681 | $25020 | $608 | $2585 | $256 |
| SG Gamma Index™: |
| -2.049 | -0.604 |
|
|
|
|
| SG Implied 1-Day Move: |
| 0.63% | 0.63% |
|
|
|
|
| SG Implied 5-Day Move: |
| 1.47% |
|
|
|
|
|
| SG Implied 1-Day Move High: |
| After open | After open |
|
|
|
|
| SG Implied 1-Day Move Low: |
| After open | After open |
|
|
|
|
| SG Volatility Trigger™: | $6876.45 | $6870 | $681 | $25000 | $606 | $2620 | $263 |
| Absolute Gamma Strike: | $7006.45 | $7000 | $680 | $25075 | $600 | $2550 | $255 |
| Call Wall: | $7106.45 | $7100 | $700 | $25075 | $630 | $2670 | $270 |
| Put Wall: | $6706.45 | $6700 | $680 | $24000 | $600 | $2545 | $255 |
| Zero Gamma Level: | $6848.45 | $6842 | $690 | $24769 | $612 | $2638 | $268 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 6900, 6000, 6800] |
| SPY Levels: [680, 690, 685, 670] |
| NDX Levels: [25075, 25000, 24000, 25500] |
| QQQ Levels: [600, 610, 620, 590] |
| SPX Combos: [(7152,95.56), (7124,66.82), (7097,96.29), (7077,81.57), (7070,68.93), (7063,76.33), (7049,92.89), (7029,84.43), (7022,91.98), (7015,74.69), (7008,82.95), (7001,94.13), (6988,76.50), (6981,69.72), (6974,71.81), (6967,82.97), (6960,68.37), (6947,91.64), (6926,69.85), (6920,79.97), (6913,82.91), (6899,81.97), (6851,67.45), (6824,78.01), (6817,94.67), (6810,67.22), (6803,98.88), (6797,80.25), (6790,78.78), (6783,78.49), (6776,84.32), (6769,94.00), (6762,89.09), (6749,95.76), (6742,83.96), (6735,68.68), (6728,92.57), (6721,72.76), (6715,88.07), (6708,87.46), (6701,98.90), (6687,84.95), (6680,74.95), (6674,81.90), (6667,89.41), (6660,75.81), (6653,94.37), (6633,84.18), (6626,85.49), (6619,91.57), (6598,97.80), (6592,68.52), (6578,88.00), (6564,69.62), (6551,90.54), (6523,80.76), (6516,86.21), (6503,97.15)] |
| SPY Combos: [678.28, 668, 708.42, 698.15] |
| NDX Combos: [24645, 25070, 24245, 24445] |
| QQQ Combos: [599.76, 589.98, 610.14, 594.87] |
|
| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 0.822 | 0.559 | 1.193 | 0.633 | 0.515 | 0.429 |
| Gamma Notional (MM): | ‑$376.859M | ‑$1.404B | $8.481M | ‑$551.618M | ‑$65.199M | ‑$1.031B |
| 25 Delta Risk Reversal: | -0.099 | -0.097 | -0.103 | -0.099 | 0.00 | -0.083 |
| Call Volume: | 829.748K | 2.288M | 12.368K | 1.109M | 20.477K | 470.96K |
| Put Volume: | 1.159M | 3.231M | 11.302K | 1.579M | 33.063K | 1.201M |
| Call Open Interest: | 8.395M | 5.551M | 72.604K | 3.724M | 255.487K | 3.014M |
| Put Open Interest: | 12.922M | 11.199M | 81.072K | 6.213M | 448.009K | 7.164M |
0 comentarios