Macro Theme:
Key dates ahead:
- 4/8: CPI
- 4/14: PPI
- 4/15: Tax Day & VIX Exp
- 4/16: Jobless Claims
- 4/17: OPEX
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: 6,850, 6,900
- Pivot: 6,750 (bearish <, bullish >) updated 4/10/26
- Support: 6,800, 6,700
Founder’s Note:
Futures are down 55bps this morning with ES at 6,816 after the Hormuz blockade announcement. Peace talks between the US and Iran collapsed Saturday, and Trump ordered the Navy to begin blockading all Iranian ports starting at 10:00 AM ET today. Iran’s IRGC responded that any military vessels approaching the Strait “will be met with severe force.” Oil has ripped to 104 from Friday’s 97 close — the biggest single-session jump since the initial strikes.
The ceasefire lasted 5 days. The market’s relief rally (SPX up 240pts from last week’s lows) now faces a direct challenge. Along with this is a big week with VIX Exp on Wed + OPEX & CPI on Friday.
Even though we saw a 1% decline overnight, the market really is not pricing in any short term risk. The 0DTE SPX straddle is a scant $34/50bps (ref 6,790)! Further, we see strong positive gamma holding >=6,800. This has been a persistent area of resistance, and we think that remains true into this week’s Wed-Fri OPEX Window.
Our general take here is that Wednesday’s VIX Exp will start to “free up” market movement, and this is particularly true if the Middle East continues to flare.
Adding to the OPEX intrigue, is that the VIX (i.e. SPX implied vol) is flat to realized vol (RV-VIX), and a short gamma regime <6,800. That combination — complacent positioning into a geopolitical shock — is the worst setup for longs. The Hormuz blockade is a supply-side oil shock that reprices the entire macro landscape. If 6,780 breaks on the open, negative gamma accelerates the move toward 6,700 with limited hedging support.
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| /ESM26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $6854.55 | $6816 | $679 | $25116 | $611 | $2630 | $261 |
| SG Gamma Index™: |
| 1.361 | -0.182 |
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| SG Implied 1-Day Move: |
| 0.64% | 0.64% |
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| SG Implied 5-Day Move: |
| 1.47% |
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|
|
|
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| SG Implied 1-Day Move High: |
| $6839.54 | $681.66 |
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|
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| SG Implied 1-Day Move Low: |
| $6752.56 | $673 |
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| SG Volatility Trigger™: | $6823.55 | $6785 | $676 | $24090 | $609 | $2540 | $259 |
| Absolute Gamma Strike: | $7038.55 | $7000 | $665 | $25000 | $600 | $2550 | $250 |
| Call Wall: | $6938.55 | $6900 | $685 | $25500 | $620 | $2560 | $270 |
| Put Wall: | $6538.55 | $6500 | $665 | $23500 | $590 | $2540 | $250 |
| Zero Gamma Level: | $6764.55 | $6726 | $678 | $24127 | $605 | $2565 | $263 |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.152 | 0.846 | 2.017 | 1.046 | 1.356 | 0.750 |
| Gamma Notional (MM): | $452.027M | ‑$242.775M | $18.293M | $188.426M | $26.876M | ‑$246.405M |
| 25 Delta Risk Reversal: | -0.064 | 0.00 | -0.071 | -0.053 | -0.062 | 0.00 |
| Call Volume: | 668.97K | 1.26M | 8.879K | 887.433K | 32.056K | 226.867K |
| Put Volume: | 1.032M | 2.665M | 10.735K | 1.474M | 45.314K | 550.708K |
| Call Open Interest: | 8.302M | 5.829M | 79.017K | 3.895M | 244.313K | 2.812M |
| Put Open Interest: | 12.335M | 12.239M | 81.767K | 5.727M | 409.39K | 7.164M |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 6800, 6000, 6900] |
| SPY Levels: [665, 675, 680, 670] |
| NDX Levels: [25000, 25500, 24100, 25300] |
| QQQ Levels: [600, 610, 590, 620] |
| SPX Combos: [(7151,89.94), (7124,73.25), (7103,95.94), (7076,70.99), (7049,91.85), (7028,81.34), (7021,76.82), (7008,84.24), (7001,98.71), (6974,90.18), (6960,72.89), (6953,97.77), (6940,66.01), (6933,76.06), (6926,95.75), (6919,73.14), (6912,90.50), (6906,82.14), (6899,99.14), (6892,88.89), (6885,70.61), (6878,97.73), (6871,91.76), (6865,78.92), (6858,78.29), (6851,96.26), (6837,87.71), (6831,77.02), (6824,82.14), (6817,70.71), (6796,69.51), (6783,71.29), (6762,65.80), (6756,85.16), (6749,80.23), (6742,81.50), (6728,80.45), (6721,79.64), (6701,90.18), (6687,69.83), (6681,85.60), (6674,92.33), (6653,66.94), (6640,75.10), (6626,87.48), (6599,88.66), (6578,78.31), (6571,67.54), (6551,82.03), (6524,86.98), (6503,96.45)] |
| SPY Combos: [687.35, 697.55, 684.63, 682.59] |
| NDX Combos: [25493, 25292, 25694, 24112] |
| QQQ Combos: [614.96, 582.02, 613.13, 586.29] |
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