Macro Theme:
Key dates ahead:
- 8/5: ISM
- 8/7: NFP
- 8/12: CPI
SG Summary:
Update 8/5: We’ve raised the risk pivot to 7,680 as mild negative gamma shows below that strike. Additionally, the “stock up, vol up” regime has produced +98th %’ile call skews in SPY/QQQ/DIA. Given this, we want to flatten out some longs and/or enter into some cheap, short dated downside plays in order to benefit from some index mean reversion (ref: 7,775 SPX)
8/3: COR1M (correlation) is back to our <8 “we want to hedge” levels. If the AI-trade indeed has renewed legs, and the 8/3 Iran deal is material, then this is likely a bull train that persists into OPEX (8/21), and so we want to maintain equity longs while above the Risk Pivot (7,480). Simultaneously, there are several things that could trigger a vol spasm here, and so we want to start dipping our toe into >=1-month SPX/QQQ put spread hedges. If SPX breaks <Risk Pivot then we will look to press shorts.
Key SG levels for the SPX are:
- Resistance: 7,800
- Pivot: 7,680 (bearish <, bullish >) updated 8/5/26
- Support: 7,700, 7,675, 7,600
Founder’s Note:
ES +20bps NQ -45bps.
WDC and SNDK are each off 10% premarket.
SPX holds positive gamma, with support at 7,700. To the upside, there is a small pocket of resistance near 7,770. We think ranges are a bit tighter today, as index implied vols, particularly call skews, come in. Eyes are on NFP tomorrow. 7,680 remains the Risk Pivot.
Yesterday the options market showed clearly overbought conditions as seen in those rich index call skews. Those conditions still exist (rich call skews, bottom right of Compass), however we are seeing implied vol come in a bit. You can reference the VIX, which dropped a bit yesterday. These likely drop further if upcoming econ data is benign. Many single stock IVs remain rich, and that may be an interesting vector to play (i.e. short vol).
When we look at forward IV (light teal) > SPX term structure, you can see that the FIV is higher into key upcoming data – with backs that next weeks CPI/PPI are highly anticipated.
One other interesting development on recent days was lower 0DTE volume in the SPX. 0DTE flows tend to be stable at 60-70% of volume, but the last 2 days showed only 56% of volume in 0DTE. We know there were chunky 0DTE positions that blew out on Monday, as 0DTE vol was very underpriced. There was also a massive surge in non-0DTE volume on Monday – less so yesterday. Yesterday there was probably some gun-shy 0DTEers out there, too. We suspect these 0DTE flows come back in today, which may bring range stability.
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| /ESU26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7750.7 | $7723 | $769 | $29487 | $717 | $3019 | $299 |
| SG Gamma Index™: |
| 4.756 | 0.238 |
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| SG Implied 1-Day Move: |
| 0.66% | 0.66% |
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| SG Implied 5-Day Move: |
| 1.56% |
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|
|
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| SG Implied 1-Day Move High: |
| $7775.93 | $775.3 |
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| SG Implied 1-Day Move Low: |
| $7673.97 | $765.14 |
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| SG Volatility Trigger™: | $7552.7 | $7525 | $769 | $28540 | $719 | $2960 | $295 |
| Absolute Gamma Strike: | $8027.7 | $8000 | $775 | $29000 | $700 | $3000 | $300 |
| Call Wall: | $7927.7 | $7900 | $775 | $28550 | $730 | $2970 | $305 |
| Put Wall: | $7427.7 | $7400 | $762 | $28000 | $660 | $2850 | $285 |
| Zero Gamma Level: | $7590.7 | $7563 | $762 | $28756 | $710 | $3011 | $301 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [8000, 7000, 7600, 7700] |
| SPY Levels: [775, 750, 770, 760] |
| NDX Levels: [29000, 28550, 30000, 29800] |
| QQQ Levels: [700, 720, 730, 710] |
| SPX Combos: [(8102,97.93), (8087,66.65), (8079,86.83), (8071,78.24), (8048,95.38), (8040,86.86), (8025,88.94), (8002,98.45), (7986,66.55), (7978,90.01), (7948,96.37), (7924,89.17), (7901,99.78), (7893,79.62), (7878,97.27), (7870,68.20), (7863,71.08), (7847,98.79), (7839,72.17), (7832,87.96), (7824,98.14), (7816,91.00), (7809,94.16), (7801,99.71), (7793,90.09), (7785,80.14), (7778,99.75), (7770,90.58), (7762,89.63), (7747,99.32), (7739,82.26), (7731,80.44), (7724,94.10), (7700,96.15), (7646,73.15), (7623,64.82), (7600,67.66), (7523,84.87), (7515,78.97), (7453,76.45), (7422,73.52), (7399,92.51), (7353,86.81)] |
| SPY Combos: [777.45, 787.48, 775.14, 772.82] |
| NDX Combos: [29812, 30019, 30225, 28544] |
| QQQ Combos: [730.19, 735.26, 725.13, 740.32] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.449 | 1.197 | 1.603 | 1.202 | 1.072 | 0.765 |
| Gamma Notional (MM): | $1.101B | $467.822M | $11.161M | $231.956M | $6.698M | ‑$335.299M |
| 25 Delta Risk Reversal: | -0.029 | -0.013 | -0.035 | -0.019 | -0.03 | -0.014 |
| Call Volume: | 984.146K | 1.856M | 11.811K | 1.069M | 21.138K | 177.765K |
| Put Volume: | 1.277M | 2.51M | 10.31K | 1.122M | 33.032K | 417.272K |
| Call Open Interest: | 10.141M | 6.66M | 86.391K | 5.351M | 246.033K | 2.902M |
| Put Open Interest: | 13.642M | 14.526M | 100.172K | 6.43M | 461.701K | 7.421M |
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