Macro Theme:
Key dates ahead:
- 7/22: VIX Exp, GOOGL + TSLA ER
- 7/23: INTC ER
SG Summary:
Update 7/22: VIX expiration is today. On the open of 7/22 the SPX remains right on the Risk Pivot, with mild positive gamma below. VIX Exp may “free up” volatility, and so we remain risk-off if SPX is <7,480. COR1M also remains in our “red alert” zone <8. The market really needs big earnings to compensation for growing macro risks (oil +85 and 10Y +4.6%). Given these risks, we are going to be adding to short dated, cheap, OTM index put flies (SPX/QQQ).
Key SG levels for the SPX are:
- Resistance: 7,500, 7,530, 7,575, 7,600
- Pivot: 7,480 (bearish <, bullish >) updated 7/13/26
- Support: 7,480, 7,400
Founder’s Note:
ES futures -35 bps, NQ – 90bps.
VIX expiration is this AM. Watch for unusual SPX movement into and around the 9:30AM EST cash open.
CL +2% to 86 – that is a 1-month high.
GOOGL & TSLA report tonight – and this is likely the major short term catalyst for bulls hoping that tech re-ignites upside.
SPX gamma remains positive, and we see big resistance layered above at 7,530, 7,550 and 7,575. This suggests mean reversion remains in play for the SPX. Gamma is certainly lower into 7,400, but it is still positive.
Possibly denting the mean-reversion idea is VIX expiration, which is this AM. Let’s not forget, COR1M is still <8 which signals that volatility spasms are still set up. The idea here is that the removal of near-the-money VIX options could free up equity vol. Higher equity vol could invoke vega that washes over some of that mild positive SPX gamma. Given these risks, we are going to be continue rolling into short dated, OTM put flies in SPX/NDX (SPY/QQQ).
A note on the macro. Oil is at 1-month highs, and up 2% today. We thought >100 oil would add stock pressure in April and it did not. That doesn’t mean we can take our eye off of it now.
Relatedly, the US 10Y is also at 2-month highs of 6.46%. That is the wrong direction for stock bulls. It may not matter if earnings blow it out again, TBD.
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|
/ESU26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7547 |
$7509 |
$748 |
$29155 |
$708 |
$2987 |
$296 |
|
SG Gamma Index™: |
|
1.381 |
-0.339 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.64% |
0.64% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.78% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7548 |
$7510 |
$750 |
$29130 |
$710 |
$2965 |
$295 |
|
Absolute Gamma Strike: |
$7038 |
$7000 |
$750 |
$28000 |
$700 |
$3000 |
$290 |
|
Call Wall: |
$7638 |
$7600 |
$755 |
$28550 |
$730 |
$2970 |
$300 |
|
Put Wall: |
$7338 |
$7300 |
$740 |
$28000 |
$700 |
$2940 |
$290 |
|
Zero Gamma Level: |
$7503 |
$7465 |
$746 |
$28863 |
$712 |
$3025 |
$303 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7000, 8000, 7500, 7600] |
|
SPY Levels: [750, 755, 740, 745] |
|
NDX Levels: [28000, 29000, 28550, 30000] |
|
QQQ Levels: [700, 720, 710, 690] |
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SPX Combos: [(7877,73.90), (7847,83.91), (7825,78.14), (7802,96.82), (7772,77.00), (7749,94.73), (7727,90.94), (7697,97.62), (7674,88.44), (7667,66.48), (7652,97.10), (7644,74.12), (7637,80.84), (7629,88.13), (7622,97.94), (7614,79.41), (7607,90.00), (7599,98.73), (7592,90.89), (7584,84.28), (7577,98.58), (7569,90.75), (7562,94.39), (7554,88.95), (7547,99.04), (7539,88.33), (7532,85.90), (7517,77.33), (7502,95.28), (7487,86.40), (7479,88.23), (7472,93.68), (7464,75.39), (7457,92.18), (7449,94.85), (7442,80.45), (7434,65.63), (7427,97.53), (7419,67.54), (7412,78.13), (7404,74.13), (7397,96.63), (7389,74.86), (7382,76.14), (7374,89.34), (7367,75.77), (7352,90.80), (7329,81.16), (7321,74.23), (7299,98.03), (7291,79.61), (7276,86.58), (7246,83.94), (7224,86.03), (7201,94.22), (7171,74.38), (7149,87.64)] |
|
SPY Combos: [728.05, 737.7, 757.74, 759.96] |
|
NDX Combos: [28776, 28368, 27960, 27989] |
|
QQQ Combos: [700.17, 689.73, 679.98, 681.37] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.132 |
0.771 |
1.12 |
0.751 |
0.572 |
0.571 |
|
Gamma Notional (MM): |
$375.581M |
‑$705.62M |
$2.425M |
‑$404.751M |
‑$49.254M |
‑$557.376M |
|
25 Delta Risk Reversal: |
-0.053 |
-0.035 |
-0.074 |
0.00 |
-0.054 |
0.00 |
|
Call Volume: |
546.401K |
1.391M |
7.06K |
793.615K |
18.062K |
236.272K |
|
Put Volume: |
846.698K |
1.986M |
11.00K |
1.203M |
28.172K |
632.996K |
|
Call Open Interest: |
9.098M |
6.068M |
77.658K |
4.461M |
217.489K |
2.541M |
|
Put Open Interest: |
12.289M |
11.294M |
82.576K |
6.282M |
431.466K |
6.502M |
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