Macro Theme:
Key dates ahead:
- 3/26: Jobless Claims
- 3/31: March Q End OPEX
SG Summary:
Update 3/25: We want to start looking at getting long +1-month calls in the Mag 7 names (possibly vs short index calls), as headlines appear that a long term peace deal may be in the works.
3/24: Headlines are flying, which is causing traders to re-rate risk in real time. For now, the barometer for equity risk remains Crude oil, and we generally watch <$100 oil as our level for “things are relatively ok” and we can hold 6,475, vs Crude > $100 which will be the “oh sh!t” downside (excuse our French). If Crude goes <$90 then we think its “risk on” for stocks, and we look for SPX to go >6,800.
3/23: The Iran situation has escalated. Oil is higher, which presses rates higher, and equity vol higher, too. Traders are also hedging this more heavily, and we now see big negative gamma into 6,000, which would be our next major support area (from 6,475 last week). We also like to play short dated (~2DTE) call ratios or call flies, as positive developments in the Iran situation can lead to violent 2-3% rallies.
Key SG levels for the SPX are:
- Resistance: 6,700, 6,800
- Pivot: 6,800 (bearish <, bullish >) updated 3/25
- Support: 6,500, 6,475, 6,300
Founder’s Note:
Futures are up 1%, with an alleged 1-month peace deal being passed around. Oil is <90, and VIX is 25 (-1.5pts).
Oil <90 and equity vol coming in are two signs that traders are wanting to trust this de-escalation, but Iran is still denying talks. This should keep the SPX relatively range-bound as per yesterday’s notes, meaning sharp rallies can continue, with 6,725 resistance. We still like wide short-dated call flies to play market rallies here.
Those rallies could fade quickly (as they have recently), with nothing but negative gamma below. Since we do seem to have stepped back from Armageddon, the downside is likely limited to the JPM ~6,475 strike into 3/31 (see y’day note).
While the SPX may be range bound, we think single stocks are getting interesting. This is because man major stocks have 1) relatively low IV Ranks, and heavy put skews. We can summarize this simply as: No one wants calls, and there are a few names that could get interesting here like TSLA, NVDA, PLTR, AAPL. Given this, we are going to start looking at getting long some +1-month Mag 7 type calls, possibly vs short index calls.
You get a sense of this from the chart below, which shows single stock IV vs SPY IV. As you can see, since the start of the Iran situation its been SPY IV rising relative to single stock. We, in essence, want to start positioning for an unwinding of this relationship in the event that traders start moving to short SPY/Index vol and getting back into single stock calls.
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|
/ESM26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6606.65 |
$6556 |
$653 |
$24002 |
$583 |
$2505 |
$248 |
|
SG Gamma Index™: |
|
-2.886 |
-0.612 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.67% |
0.67% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.48% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
$6655.85 |
$663.08 |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
$6567.25 |
$654.26 |
|
|
|
|
|
SG Volatility Trigger™: |
$6700.65 |
$6650 |
$660 |
$24090 |
$590 |
$2490 |
$250 |
|
Absolute Gamma Strike: |
$7050.65 |
$7000 |
$660 |
$24100 |
$590 |
$2600 |
$240 |
|
Call Wall: |
$7150.65 |
$7100 |
$662 |
$24100 |
$594 |
$2600 |
$270 |
|
Put Wall: |
$6550.65 |
$6500 |
$640 |
$24000 |
$580 |
$2440 |
$240 |
|
Zero Gamma Level: |
$6717.65 |
$6667 |
$671 |
$24122 |
$596 |
$2518 |
$262 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7000, 6000, 6600, 6700] |
|
SPY Levels: [660, 640, 650, 665] |
|
NDX Levels: [24100, 24000, 25000, 24400] |
|
QQQ Levels: [590, 600, 580, 570] |
|
SPX Combos: [(6878,69.79), (6851,75.37), (6701,73.32), (6687,68.90), (6668,73.41), (6602,94.81), (6583,87.24), (6576,92.25), (6550,92.53), (6543,74.91), (6530,68.71), (6524,92.61), (6517,87.83), (6497,99.10), (6491,79.93), (6484,79.46), (6478,97.86), (6471,88.73), (6458,75.32), (6451,95.42), (6432,77.70), (6425,95.95), (6412,72.08), (6399,97.66), (6392,82.36), (6373,93.79), (6353,91.91), (6327,85.21), (6320,89.32), (6301,95.95), (6274,91.11), (6248,91.40)] |
|
SPY Combos: [647.51, 644.88, 637.02, 657.34] |
|
NDX Combos: [24002, 23834, 23426, 23642] |
|
QQQ Combos: [589.93, 569.94, 579.94, 583.46] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
0.673 |
0.492 |
0.813 |
0.552 |
0.823 |
0.483 |
|
Gamma Notional (MM): |
‑$939.541M |
‑$1.878B |
‑$6.164M |
‑$774.529M |
‑$17.509M |
‑$774.809M |
|
25 Delta Risk Reversal: |
-0.094 |
-0.074 |
-0.093 |
-0.079 |
-0.091 |
-0.075 |
|
Call Volume: |
820.786K |
1.646M |
14.859K |
1.101M |
21.204K |
280.726K |
|
Put Volume: |
956.118K |
2.497M |
12.659K |
1.081M |
26.999K |
1.136M |
|
Call Open Interest: |
7.844M |
5.572M |
70.889K |
3.404M |
221.214K |
2.747M |
|
Put Open Interest: |
11.836M |
10.32M |
85.835K |
5.113M |
378.482K |
6.733M |
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