Macro Theme:
Key dates ahead:
- 4/9: Core PCE
SG Summary:
Update 4/8: We apparently have a deal. SPX is indicated to open near 6,800, which should be come grinding resistance. We now look to transaction to selling ~1-month Index vol/options (i.e. SPX/SPY) and buying single stock vol/options (Mag 7, etc), with an eye on that trade getting compressed by April expiration next week.
4/7: The idea that meaningfully higher oil would shock equities has not come into play, and traders stare down an 8PM EST deadline today (Tue, Apr 7). It seems like the market is still pricing in the odds that a deal is ultimately done here, as based on the oil curve (heavy backwardation) as well as equity vols (suppressed). We now eye positive gamma resistance at 6,700 on a “deal”, with a break of 6,580 likely leading to a test of 6,500. Ultimately the right tail crash remains real, even if it has not yet come into play. Ultimately the play here, on the left or rail tail, seems to be expressing views in Mag 7 options which are holding <=10% IV ranks (cheap!).
Key SG levels for the SPX are:
- Resistance: 6,800
- Pivot: 6,700 (bearish <, bullish >) updated 4/8/26
- Support: 6,750, 6,700
Founder’s Note:
Futures are up 2.8% after a 2-week cease fire was announced.
Oil: SMOKED -16% with WTI at 93.
VIX: CRUSHED -5.7 to 20.3
Starting with VIX and SPX Vol, we struggled to find a consumable way to put this VIX decline into context. Here is our best view: for times when VIX closed 25-30, today is set to be the 2nd biggest 1-day drop EVER! Only bested by a surprise 50bps rate cut back in 2007.
From our seat, crushing vol is a massive way traders look to generate alpha, and so “vol crushes” much faster now, which accelerates equity upside.
Further, after a nearly 3% upside move, 0DTE is only pricing in ~$40/58 bps of movement for the rest of the day. Wild.
This ES move has pushed indicative SPX opening near 6,800, which is a thick positive $10bn (+85th %’ile) gamma zone (blue on TRACE). This actually sinks up with that cheap $40 straddle, as the positive gamma should slow down upside movement. The fast SPX upside money appears to have been made, but now we should start to think about more Index stability, and equity Index vols deflating further.
We put INDEX in bold, because for single stocks the vol was very low for many of the Mag names (per yesterday’s note), and that vol likely increases based on the overnight moves.
So what do we like now?
Index vols likely continue to deflate while single stock vols increase, particularly with earnings on the horizon. This would drive COR1M (correlation) lower, for example.
Put it more simply: selling SPY calls to buy top tech calls.
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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/
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| /ESM26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $6655 | $6616 | $659 | $24202 | $588 | $2544 | $252 |
| SG Gamma Index™: |
| -0.843 | -0.488 |
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|
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| SG Implied 1-Day Move: |
| 0.66% | 0.66% |
|
|
|
|
| SG Implied 5-Day Move: |
| 1.95% |
|
|
|
|
|
| SG Implied 1-Day Move High: |
| After open | After open |
|
|
|
|
| SG Implied 1-Day Move Low: |
| After open | After open |
|
|
|
|
| SG Volatility Trigger™: | $6639 | $6600 | $658 | $23890 | $590 | $2500 | $250 |
| Absolute Gamma Strike: | $7039 | $7000 | $650 | $24100 | $600 | $2550 | $250 |
| Call Wall: | $6739 | $6700 | $668 | $24100 | $594 | $2560 | $270 |
| Put Wall: | $6539 | $6500 | $630 | $23000 | $570 | $2400 | $240 |
| Zero Gamma Level: | $6617 | $6578 | $668 | $23601 | $592 | $2519 | $264 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 6000, 6700, 6600] |
| SPY Levels: [650, 665, 660, 640] |
| NDX Levels: [24100, 24000, 25000, 23000] |
| QQQ Levels: [600, 580, 590, 570] |
| SPX Combos: [(6928,67.98), (6901,86.53), (6875,76.80), (6848,79.87), (6822,83.42), (6809,66.86), (6802,87.42), (6782,68.33), (6776,83.76), (6762,71.13), (6749,91.11), (6743,85.29), (6729,72.64), (6723,86.63), (6703,95.09), (6683,76.02), (6663,74.03), (6650,84.38), (6577,80.59), (6551,74.96), (6524,91.89), (6498,98.41), (6478,82.23), (6471,88.60), (6458,76.37), (6451,91.16), (6432,66.23), (6425,93.11), (6398,98.13), (6392,67.72), (6372,90.38), (6352,91.64), (6326,92.73), (6299,96.24)] |
| SPY Combos: [647.67, 637.79, 627.9, 650.3] |
| NDX Combos: [24106, 23428, 23839, 23549] |
| QQQ Combos: [586.18, 570.29, 580.29, 587.94] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 0.897 | 0.582 | 1.376 | 0.744 | 0.993 | 0.460 |
| Gamma Notional (MM): | ‑$57.16M | ‑$1.037B | $10.328M | ‑$203.956M | $5.256M | ‑$685.092M |
| 25 Delta Risk Reversal: | -0.094 | -0.076 | -0.096 | 0.00 | 0.00 | -0.079 |
| Call Volume: | 698.551K | 1.634M | 10.156K | 986.911K | 13.912K | 291.702K |
| Put Volume: | 865.282K | 2.417M | 14.048K | 1.30M | 33.272K | 875.329K |
| Call Open Interest: | 8.178M | 5.891M | 76.717K | 3.949M | 242.795K | 2.704M |
| Put Open Interest: | 12.064M | 11.467M | 72.459K | 5.54M | 413.221K | 7.075M |
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