Macro Theme:
Key dates ahead:
- 8/19: VIX Exp
- 8/21: OPEX
- 8/26: PCE, NVDA ER
- 8/27-8/29: Jackson Hole
SG Summary:
8/14: We look for a few more days of upside into Wed VIX expiration with 7,900-8k achievable based on the gamma picture. Short dated call flies are still our preferred way to play upside. IV is also set to make lows into OPEX. Generally we’d look for a reversal at OPEX, but we are a bit weary of this due to NVDA ER + JHOLE the following week. To navigate this we will look to add some VIX calls next week, and only look to press shorts on break of the Risk Pivot (7,775).
Key SG levels for the SPX are:
- Resistance: 7,725, 7,775, 7,800, 7,820, 7,900
- Pivot: 7,775 (bearish <, bullish >) updated 8/14/26
- Support: 7,700, 7,650
Founder’s Note:
Futures are flat ahead of 9:30 AM EST VIX expiration.
2PM EST is FOMC minutes.
Watch out for large unusual swings in ES into and around the cash open as VIX contracts expire.
Yesterday the straddle was 35bps – and that was actually a winner as the SPX held a very tight high/low range of 30bps. For today the options market is still pricing in no volatility: 0DTE 7,700 straddle is $25.3/32bps. As per recommendations from recent session: maybe you don’t want to buy these very cheap 0DTE options, but we sure hate the risk/reward of selling them.
In TRACE we see one fairly large sized strike at 7,725 which is current resistance. Above that is mild positive gamma which should help keep things relatively quiet. To the downside, negative gamma builds toward the end-of-day and into 7,650.
For VIX expiration, you can see the biggest near-the-money strike is 16 with the VIX current near 15.6. 42% of the total VIX interest expires today, which could, in theory, remove this 16 pin. I don’t think this means “immediate vol surge” but it is reasonable to think we start to outpace the ~30bps of volatility expectations that is currently being priced into the market. The takeaway from this, like above, is “we don’t want to be short super cheap options”.
The open question here is “Is VIX Exp/OPEX suppressing volatility”? There is evidence that in situations with VIX expiration happening before OPEX this is particularly true. This is also much easier to believe in this current situation with PCE, NVDA and JHOLE next week.
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| /ESU26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7710.35 | $7691 | $767 | $29490 | $717 | $3017 | $300 |
| SG Gamma Index™: |
| 0.482 | -0.369 |
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| SG Implied 1-Day Move: |
| 0.67% | 0.67% |
|
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| SG Implied 5-Day Move: |
| 1.50% |
|
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|
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| SG Implied 1-Day Move High: |
| After open | After open |
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| SG Implied 1-Day Move Low: |
| After open | After open |
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| SG Volatility Trigger™: | $7739.35 | $7720 | $770 | $29600 | $720 | $3015 | $301 |
| Absolute Gamma Strike: | $8019.35 | $8000 | $770 | $29500 | $720 | $3000 | $300 |
| Call Wall: | $7919.35 | $7900 | $775 | $28550 | $730 | $3200 | $305 |
| Put Wall: | $7519.35 | $7500 | $765 | $29100 | $717 | $2960 | $295 |
| Zero Gamma Level: | $7666.35 | $7647 | $765 | $29416 | $716 | $3056 | $304 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [8000, 7700, 7000, 7600] |
| SPY Levels: [770, 765, 760, 775] |
| NDX Levels: [29500, 29000, 29100, 29600] |
| QQQ Levels: [720, 700, 730, 710] |
| SPX Combos: [(8069,80.75), (8061,65.62), (8053,94.48), (8038,86.72), (8023,80.43), (8015,75.25), (8007,66.26), (7999,97.52), (7992,67.97), (7976,85.49), (7953,93.59), (7923,81.64), (7915,68.50), (7907,68.28), (7899,99.40), (7892,79.25), (7876,92.42), (7869,82.25), (7853,95.68), (7838,75.70), (7830,69.67), (7823,93.41), (7815,82.57), (7807,76.60), (7799,98.84), (7792,86.63), (7784,82.27), (7776,96.80), (7769,93.85), (7761,87.62), (7753,97.92), (7730,80.24), (7723,92.16), (7699,93.22), (7692,96.01), (7684,91.07), (7676,93.77), (7669,99.03), (7661,81.78), (7653,91.47), (7646,87.16), (7638,94.17), (7630,90.76), (7623,91.34), (7615,93.10), (7607,68.76), (7599,91.71), (7592,92.04), (7576,85.15), (7569,82.46), (7553,90.20), (7538,66.14), (7523,91.03), (7515,86.70), (7499,97.03), (7476,71.82), (7453,83.98), (7399,94.80), (7376,72.63), (7353,88.31)] |
| SPY Combos: [788.13, 778.09, 770.36, 798.18] |
| NDX Combos: [29992, 29108, 30199, 29461] |
| QQQ Combos: [734.97, 740.08, 750.3, 737.16] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.032 | 0.771 | 1.059 | 0.915 | 0.652 | 0.623 |
| Gamma Notional (MM): | $22.594M | ‑$879.558M | $1.538M | ‑$141.178M | ‑$64.833M | ‑$685.218M |
| 25 Delta Risk Reversal: | -0.042 | 0.00 | -0.053 | 0.00 | -0.043 | -0.043 |
| Call Volume: | 623.615K | 1.222M | 10.839K | 1.107M | 15.193K | 180.406K |
| Put Volume: | 1.001M | 1.976M | 11.13K | 1.394M | 36.498K | 682.931K |
| Call Open Interest: | 10.481M | 6.406M | 88.848K | 5.833M | 252.282K | 2.918M |
| Put Open Interest: | 14.506M | 15.989M | 106.204K | 6.89M | 493.164K | 7.788M |
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