Macro Theme:
Key dates ahead:
- 9/4: NFP
- 9/7: Labor Day holiday
- 9/11: CPI
- 9/18: OPEX
SG Summary:
Update 9/4: With SPX back above the previous Risk Pivot of 7650, we think NFP will be a non-event which should contract vol further into a 3-day weekend which may fuel more of a rally. Single stocks also remain bid, with call IVs expanding. Given this, we lean into upside with Sep SPX call spreads for 9/18 (post-FOMC). We now shift the Risk Pivot to 7,690 and would shift to flat of equities if that level is breached to the downside.
Update 8/31: JHole has left us with higher probabilities of a Sep hike. Traders pushed the SPX back to 7,700, but also sold options after Warsh’s speech. Through IV’s we also now see a greater focus upcoming macro data like NFP, ISM, CPI, etc.
Given this, we have to back away from the view of an equity market set to trend higher into Sep OPEX, and instead look to more tactical mean reversion trading (vs positioning for upside trend). The Risk Pivot remains at 7,650.
Key SG levels for the SPX are:
- Resistance: 7,750, 7,800
- Pivot: 7,690 (bearish <, bullish >) updated 9/4/26
- Support: 7,690, 7,600, 7,550
Founder’s Note:
Futures are up 10 bps ahead of NFP.
0DTE strike are light pre-NFP, and so resistance is at 7,800 with support at 7,700. We’ve raised the Risk Pivot to 7,690.
With SPX back near ATHs we see SPX vols nearing recent lows, but we think there is a bit more to squeeze which could push stocks higher – if NFP is a non-event. For example, Tuesday’s SPX IV, post the holiday, is at a 7.6% and we’d anticipate that declining into the 6’s post-NFP. Because of Wed CPI we don’t think the >=Wed vols will sink a whole lot more, but down is the trend.
The single stock chase is apparently underway. You can see this in the image below, where single stocks (orange dots) have concentrated to call skews (left side) and the vol appears to be shifting higher (more right on the chart vs Monday). This is a bullish construct as is the vol crunch.
Below is total market call volume, which shows the largest call volume in a month, backing the idea that call skew is demand driven.
©2025 TenTen Capital LLC DBA SpotGamma
All TenTen Capital LLC DBA SpotGamma materials, information, and presentations are for educational purposes only and should not be considered specific investment advice nor recommendations. Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one’s financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. VIEW FULL RISK DISCLOSURE https://spotgamma.com/model-faq/disclaimer/
|
|
/ESU26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7756.88 |
$7747 |
$773 |
$29482 |
$717 |
$2968 |
$295 |
|
SG Gamma Index™: |
|
4.391 |
-0.022 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.52% |
0.52% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.39% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$7729.88 |
$7720 |
$772 |
$29270 |
$718 |
$3000 |
$295 |
|
Absolute Gamma Strike: |
$8009.88 |
$8000 |
$770 |
$29500 |
$720 |
$3000 |
$290 |
|
Call Wall: |
$7809.88 |
$7800 |
$780 |
$29275 |
$725 |
$3005 |
$300 |
|
Put Wall: |
$7509.88 |
$7500 |
$760 |
$29600 |
$700 |
$2920 |
$290 |
|
Zero Gamma Level: |
$7653.88 |
$7644 |
$771 |
$28968 |
$716 |
$3028 |
$299 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [8000, 7700, 7000, 7800] |
|
SPY Levels: [770, 775, 765, 760] |
|
NDX Levels: [29500, 29600, 29275, 30000] |
|
QQQ Levels: [720, 700, 715, 710] |
|
SPX Combos: [(8127,90.11), (8120,81.91), (8112,69.25), (8096,98.34), (8089,73.79), (8081,68.60), (8073,88.14), (8058,69.85), (8050,96.49), (8042,89.65), (8027,85.36), (8019,83.60), (8011,68.12), (8003,98.85), (7988,70.07), (7972,85.44), (7949,97.08), (7926,88.04), (7918,88.02), (7910,71.69), (7903,99.69), (7887,88.80), (7879,77.07), (7872,96.81), (7864,80.79), (7856,88.38), (7848,99.22), (7841,76.39), (7833,97.02), (7825,99.76), (7817,98.36), (7810,95.28), (7802,99.93), (7794,93.82), (7786,98.84), (7779,99.49), (7771,91.28), (7763,98.56), (7755,89.59), (7748,96.76), (7740,66.79), (7732,76.04), (7724,68.75), (7717,87.19), (7709,75.99), (7701,92.28), (7693,75.02), (7686,66.95), (7670,85.94), (7662,82.91), (7655,67.21), (7647,93.68), (7631,77.11), (7624,90.52), (7616,86.49), (7608,68.26), (7601,91.82), (7593,78.79), (7577,84.21), (7570,79.54), (7546,95.31), (7523,85.96), (7515,73.49), (7500,98.28), (7477,73.43), (7453,84.42), (7422,72.05), (7399,91.85), (7376,65.04)] |
|
SPY Combos: [778.16, 748.32, 788.1, 758.26] |
|
NDX Combos: [29571, 28745, 29276, 29984] |
|
QQQ Combos: [700.03, 712.8, 729.82, 704.99] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.322 |
0.984 |
1.452 |
0.896 |
0.450 |
0.496 |
|
Gamma Notional (MM): |
$1.123B |
$134.447M |
$15.898M |
‑$115.384M |
‑$132.90M |
‑$1.105B |
|
25 Delta Risk Reversal: |
-0.033 |
-0.029 |
-0.041 |
-0.03 |
-0.037 |
-0.034 |
|
Call Volume: |
806.269K |
1.543M |
10.383K |
1.012M |
15.674K |
237.991K |
|
Put Volume: |
1.03M |
2.105M |
13.313K |
1.348M |
45.171K |
918.101K |
|
Call Open Interest: |
9.915M |
5.865M |
89.307K |
5.374M |
262.26K |
3.122M |
|
Put Open Interest: |
14.039M |
14.184M |
111.145K |
7.292M |
538.242K |
7.545M |
0 comentarios