Founder’s Note: Mon, July 27, 2026 at 7:00 AM ET
Macro Theme:
Key dates ahead:
- 7/29: FOMC, MSFT/META ER
- 7/30: GDP, PCE, AAPL/AMZN ER
SG Summary:
Update 7/27: Due to fresh Iran/US peace talks (CL -7%), we look to play a short dated rally in the QQQs into 705 on Tuesday 7/28. We will be using call flies to express this upside view. This is a short term trade, only, and is not valid >7/30 due to FOMC + Megacap earnings. We note that negative gamma in the SPX has built up <7,450, and so we would be risk-off if the SPX breaks back <7,450.
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, 7,525, 7,550, 7,600
- Pivot: 7,450 (bearish <, bullish >) updated 7/27/26
- Support: 7,400, 7,300
Founder’s Note:
Futures are +85bps, with CL – 7% as Iran an US “make space for diplomacy“.
7% is a massive 1-day decline, and that has in turn jacked up equity prices. This oil vs everything relationship was highlighted on Friday.
The SPX gamma map is quite interesting this AM, as we see positive MM gamma building above at >=7,500 with negative gamma <7,450. Given this, we watch for resistance today at 7,500 & 7,525, but its a slippery slope <7,450. We would anticipate some support should 7,400 be tested, but the negative gamma positioning is a distinct <7,450.
We do not see the SPX staging a much stronger rally today >7,500-7,525 due to the big events of the week: FOMC 7/29 + MSFT/META, followed by PCE/GDP + AAPL/AMZN on Thursday. Due to these events, you can see the SPX forward implied vol (FIV) is much higher than the SPX term structure. This reveals how traders are pricing in upcoming earnings/events – in this case its higher vols. On the topic of vols, they are quite flat relative to Friday, despite the Iran talks. This is likely due to these upcoming events.
While SPX may be a bit “capped” here in terms of upside, the NDX & QQQ both exhibit a negative gamma stance well up into 702 in QQQ (~1% from premarket prices near 694). This suggests to us that QQQ could exhibit more volatility to the upside into FOMC. Given this, we like the idea QQQ short dated call flies (today/tomorrow) into the 705 area. We want to limit how far we project at this moment due to FOMC/Mega cap ER on Wed.
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/ESU26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7446.88 |
$7411 |
$738 |
$28128 |
$684 |
$2929 |
$291 |
|
SG Gamma Index™: |
|
-1.421 |
-0.667 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.63% |
0.63% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.62% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
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SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7500.88 |
$7465 |
$745 |
$28425 |
$705 |
$2960 |
$295 |
|
Absolute Gamma Strike: |
$7035.88 |
$7000 |
$740 |
$28000 |
$700 |
$2880 |
$290 |
|
Call Wall: |
$7635.88 |
$7600 |
$760 |
$28550 |
$730 |
$2970 |
$300 |
|
Put Wall: |
$7335.88 |
$7300 |
$740 |
$28000 |
$680 |
$2880 |
$290 |
|
Zero Gamma Level: |
$7459.88 |
$7424 |
$748 |
$28269 |
$703 |
$3035 |
$304 |
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Key Support & Resistance Strikes |
|---|
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SPX Levels: [7000, 7500, 8000, 7600] |
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SPY Levels: [740, 750, 730, 720] |
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NDX Levels: [28000, 27000, 28550, 29000] |
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QQQ Levels: [700, 680, 690, 660] |
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SPX Combos: [(7775,66.64), (7753,88.02), (7723,80.56), (7701,93.40), (7671,82.36), (7649,92.66), (7642,69.57), (7627,84.51), (7620,78.09), (7612,71.29), (7597,94.89), (7582,66.61), (7575,86.75), (7568,71.86), (7553,93.74), (7538,67.67), (7523,73.94), (7449,81.32), (7427,93.28), (7412,76.38), (7397,97.84), (7390,76.91), (7382,84.20), (7375,93.35), (7368,87.03), (7360,74.54), (7353,97.00), (7345,66.27), (7338,82.24), (7330,74.50), (7323,95.70), (7316,66.02), (7308,84.60), (7301,99.33), (7293,91.89), (7286,71.79), (7279,93.03), (7271,92.75), (7264,68.38), (7256,79.75), (7249,92.08), (7242,74.39), (7227,87.35), (7219,89.66), (7212,65.69), (7197,96.91), (7182,67.63), (7175,87.80), (7153,93.58), (7123,91.24), (7101,91.07), (7093,82.33), (7078,69.07), (7049,78.49)] |
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SPY Combos: [727.1, 735.22, 730.05, 732.26] |
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NDX Combos: [27960, 27144, 27988, 28550] |
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QQQ Combos: [680.16, 689.84, 700.22, 660.09] |
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|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
0.873 |
0.542 |
0.755 |
0.511 |
0.418 |
0.347 |
|
Gamma Notional (MM): |
‑$286.087M |
‑$1.505B |
‑$5.864M |
‑$869.356M |
‑$86.312M |
‑$1.391B |
|
25 Delta Risk Reversal: |
-0.061 |
-0.046 |
-0.073 |
0.00 |
-0.06 |
-0.047 |
|
Call Volume: |
644.612K |
1.621M |
10.602K |
970.789K |
14.011K |
189.511K |
|
Put Volume: |
917.04K |
2.147M |
9.005K |
1.352M |
49.565K |
674.946K |
|
Call Open Interest: |
9.342M |
5.978M |
82.235K |
4.611M |
218.339K |
2.573M |
|
Put Open Interest: |
12.533M |
11.334M |
85.792K |
6.218M |
440.585K |
7.033M |
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