Macro Theme:
Key dates ahead:
- 10/5: ISM PMI
- 10/7: FOMC Mins
- 10/13: Bank earnings
- 10/14: CPI
- 11/3: Elections
SG Summary:
Update 9/28: The US 10Y hit fresh highs of 5.23% which weights on stocks, holding SPX near the 7,690 Risk Pivot. We want to own the tails into November – having already established call positions last week. For this week we will look to add cheap short dated put spreads and/or flies, which play a move lower in stocks if this weeks macro data spurs even higher rates. Short term softness has support at 7,600, with a broader tail-flush open to 7,400.
Key SG levels for the SPX are:
- Resistance: 7,750, 7,800
- Pivot: 7,690 (bearish <, bullish >) updated 9/22/26
- Support: 7,690, 7,600, 7,400
Founder’s Note:
Futures are off fractionally with ISM PMI at 10EST. Rates are holding near highs, with US10Y at 5.27%.
SPX gamma is positive across all nearby strikes, implying equity support. 7,700 remains the key support line, with the Risk Pivot there at 7,690. To the upside we watch 7,720 and 7,740 as resistance levels for today.
This positive gamma positioning extends to single stocks, too, wherein dealers on net hold long put positions below.
Vols continue to remain to reflect low-risk/stable price action. Below is the VIX term structure which remains in contango. A flattening of this curve would be a signal of building risks. SPX 1-month realized vol remains quiet at 10%, vs the VIX at 16. That 6 point spread reflects a healthy premium, but note the VIX Index itself is now going to start pricing in the election and so its unlikely to come down anytime soon.
What also seems clear from Friday AM’s big (initial rally) is that traders are really just looking for an excuse to press into upside calls if/when risks clear.
One interesting field of play is EWZ, with elections sending Brazils stocks markedly higher (+12% overnight). This has EWZ vol going nuts, with calls being sharply bid (yellow line). We’ll be taking a look at broken-wing call flies this AM.
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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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|
/ESZ26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$7776.8 |
$7722 |
$769 |
$30807 |
$749 |
$2832 |
$281 |
|
SG Gamma Index™: |
|
2.272 |
-0.193 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.62% |
0.62% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.55% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
$7774.56 |
$774.45 |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
$7678.74 |
$764.91 |
|
|
|
|
|
SG Volatility Trigger™: |
$7774.8 |
$7720 |
$770 |
$30490 |
$749 |
$2850 |
$282 |
|
Absolute Gamma Strike: |
$8054.8 |
$8000 |
$770 |
$31000 |
$740 |
$2900 |
$280 |
|
Call Wall: |
$7854.8 |
$7800 |
$785 |
$31000 |
$760 |
$2855 |
$300 |
|
Put Wall: |
$7554.8 |
$7500 |
$767 |
$28000 |
$700 |
$2800 |
$275 |
|
Zero Gamma Level: |
$7731.8 |
$7677 |
$768 |
$30043 |
$742 |
$2890 |
$294 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [8000, 7000, 7700, 7800] |
|
SPY Levels: [770, 775, 760, 767] |
|
NDX Levels: [31000, 30000, 29475, 31100] |
|
QQQ Levels: [740, 750, 760, 730] |
|
SPX Combos: [(8101,99.05), (8093,73.93), (8078,83.25), (8070,83.19), (8063,72.73), (8047,98.79), (8039,90.26), (8032,65.84), (8024,85.45), (8016,67.57), (8008,72.31), (8001,99.15), (7993,64.33), (7978,86.73), (7947,94.32), (7931,65.45), (7924,93.03), (7908,68.21), (7900,99.17), (7893,67.08), (7877,96.55), (7869,83.80), (7862,81.78), (7854,69.87), (7846,99.08), (7839,84.20), (7831,92.93), (7823,98.53), (7815,77.52), (7808,93.10), (7800,99.44), (7792,93.59), (7785,85.26), (7777,96.40), (7769,94.67), (7761,90.07), (7754,98.60), (7746,80.60), (7738,81.71), (7730,90.75), (7723,88.84), (7715,65.27), (7707,79.88), (7700,97.31), (7692,86.07), (7684,71.30), (7676,97.44), (7669,92.53), (7661,74.45), (7653,97.19), (7645,74.18), (7638,91.57), (7622,97.58), (7615,71.03), (7607,74.12), (7599,97.07), (7591,73.78), (7584,78.71), (7576,88.87), (7568,73.43), (7553,94.87), (7537,75.47), (7530,66.89), (7522,92.97), (7499,98.30), (7476,91.30), (7452,89.96), (7422,84.90), (7398,94.12), (7375,79.02), (7352,89.06)] |
|
SPY Combos: [747.21, 777.01, 757.14, 797.64] |
|
NDX Combos: [31239, 30993, 31024, 31085] |
|
QQQ Combos: [759.85, 750.2, 753.91, 754.65] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.19 |
0.866 |
1.721 |
1.068 |
0.560 |
0.412 |
|
Gamma Notional (MM): |
$619.60M |
‑$230.179M |
$14.615M |
$246.704M |
‑$72.236M |
‑$1.391B |
|
25 Delta Risk Reversal: |
-0.036 |
-0.02 |
-0.042 |
-0.026 |
-0.035 |
-0.018 |
|
Call Volume: |
695.544K |
1.708M |
10.649K |
1.084M |
35.40K |
342.834K |
|
Put Volume: |
1.018M |
2.43M |
14.559K |
1.668M |
57.895K |
855.72K |
|
Call Open Interest: |
9.252M |
6.033M |
76.695K |
5.10M |
283.17K |
3.039M |
|
Put Open Interest: |
13.126M |
12.154M |
115.724K |
7.27M |
482.863K |
7.288M |
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