Macro Theme:
Key dates ahead:
- 8/26: PCE, NVDA ER
- 8/27-8/29: Jackson Hole
SG Summary:
Update 8/24: Sitting on our hands. Traders are wearing a mildy bullish stance across all assets from gold to stocks and even bonds. The forward volatility pricing, though, is quite low for SPX allowing us to setup trail trades on both sides, which we will look to establish into Wednesdays PCE/NVDA print.
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: 7,700, 7,720, 7,750, 7,800
- Pivot: 7,650 (bearish <, bullish >) updated 8/20/26
- Support: 7,650, 7,600
Founder’s Note:
ES is modestly softer (-0.26%) with NDX underperforming (-0.70%) and crude down (-1.5%) in early marks.
Bessent is set to deliver an Iran economic plan at 2PM EST.
SPX holds a mild positive gamma stance, with no major 0DTE strikes currently on the board. Resistance is at 7,700, with support at 7,650 and 7,600. While we don’t expect much movement today, selling options seems futile: The 0DTE straddle is just $25.6/333 (ref 7,665) – these are bottom-basement levels.
Low volatility today probably play into tomorrow, then things expand for Wed AM PCE print, followed by NVDA ER. You can see the highlighted area below shows Forward IV at 16% vs term structure near 13%, which suggests 2-3 event volatility points tied to these data prints.
The elephant in the room is the rate situation, which Bessent is actively talking down. With that, we’ve seen traders start to shift towards a more neutral stance on bond puts. You can see this below, with the move in TLT from right (put skewed) to neutral. At the same time gold, silver, Bitcoin, tech are all already wearing a bullish stance (right side). There does seem to be a consensus that Trump will do all he can to pump markets into midterms which is now only 71 days out – who knows. What we can say, is that this is the type of positioning that is betting on a “nothing done” from this weeks data – including Jackson Hole. If that comes off to be the case, then we probably see vols shift higher into a “stock up, vol up” market.
Fortunately, you can find a lot of cheap vol to bet both on both tails.
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| /ESU26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $7692.55 | $7674 | $765 | $29308 | $713 | $3017 | $299 |
| SG Gamma Index™: |
| 0.635 | -0.398 |
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| SG Implied 1-Day Move: |
| 0.63% | 0.63% |
|
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|
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| SG Implied 5-Day Move: |
| 1.70% |
|
|
|
|
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| SG Implied 1-Day Move High: |
| $7715.15 | $769.6 |
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|
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| SG Implied 1-Day Move Low: |
| $7618.55 | $759.96 |
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| SG Volatility Trigger™: | $7718.55 | $7700 | $766 | $29210 | $712 | $3000 | $300 |
| Absolute Gamma Strike: | $8018.55 | $8000 | $765 | $29600 | $700 | $3000 | $295 |
| Call Wall: | $7918.55 | $7900 | $780 | $29275 | $730 | $3005 | $305 |
| Put Wall: | $7518.55 | $7500 | $765 | $28650 | $700 | $2970 | $295 |
| Zero Gamma Level: | $7647.55 | $7629 | $770 | $29015 | $712 | $3056 | $306 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [8000, 7000, 7700, 7600] |
| SPY Levels: [765, 760, 770, 750] |
| NDX Levels: [29600, 29275, 29500, 29000] |
| QQQ Levels: [700, 720, 710, 730] |
| SPX Combos: [(8050,93.89), (8043,86.57), (8027,81.75), (8020,79.29), (7997,97.13), (7974,77.35), (7951,92.65), (7928,81.86), (7920,70.83), (7897,99.29), (7889,74.25), (7882,69.95), (7874,85.84), (7866,75.37), (7859,67.57), (7851,95.77), (7828,91.16), (7820,85.91), (7813,73.78), (7797,98.95), (7789,71.95), (7782,87.47), (7774,82.01), (7766,82.73), (7759,82.00), (7751,96.82), (7743,74.23), (7728,88.73), (7720,81.07), (7713,93.90), (7705,75.53), (7697,82.04), (7690,81.51), (7667,97.00), (7659,81.67), (7651,86.89), (7644,93.95), (7636,77.90), (7628,95.00), (7621,94.18), (7613,88.13), (7605,65.20), (7598,97.25), (7590,81.79), (7582,84.72), (7575,86.01), (7567,89.08), (7552,94.53), (7536,65.08), (7529,89.58), (7521,90.33), (7498,98.48), (7475,79.28), (7467,65.99), (7452,87.32), (7436,66.26), (7429,69.51), (7413,74.46), (7398,95.20), (7375,68.43), (7352,87.27), (7298,90.80)] |
| SPY Combos: [788.57, 748.91, 778.66, 760.35] |
| NDX Combos: [29280, 28752, 27931, 30188] |
| QQQ Combos: [708.11, 700.29, 705.26, 679.67] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.047 | 0.704 | 1.113 | 0.904 | 0.611 | 0.558 |
| Gamma Notional (MM): | $136.753M | ‑$929.36M | $2.793M | ‑$103.225M | ‑$58.337M | ‑$668.932M |
| 25 Delta Risk Reversal: | -0.037 | 0.00 | -0.042 | -0.03 | 0.00 | -0.038 |
| Call Volume: | 669.506K | 1.09M | 12.567K | 757.822K | 25.103K | 210.946K |
| Put Volume: | 948.603K | 1.473M | 8.927K | 952.745K | 67.516K | 518.909K |
| Call Open Interest: | 9.375M | 5.476M | 78.789K | 5.258M | 237.667K | 2.722M |
| Put Open Interest: | 13.335M | 16.437M | 94.267K | 6.374M | 464.876K | 6.795M |
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