Macro Theme:
Key dates ahead:
- 10/13: Bank earnings
- 10/14: CPI
- 11/3: Elections
SG Summary:
Update: 10/12: Vol into CPI on Wednesday 10/14 is very low, and so we want to avoid being short of options into the print as well as OPEX. After Monday, an SPX move >7,825 has the potential to move up quickly due to negative gamma. Support is solid down in to 7,700. <7,700 we shift to a risk-off stance.
10/6: Despite higher yields, stocks are sliding higher. If those yields come down, then we may see strong moves higher in stocks. Given this, we think its critical to maintain upside exposure, and for that we prefer NVDA Nov of Dec calls as the IV rank for NVDA is <5.
Key SG levels for the SPX are:
- Resistance: 7,830, 7,850, 7,900
- Pivot: 7,690 (bearish <, bullish >) updated 9/22/26
- Support: 7,800, 7,750, 7,700
Founder’s Note:
Futures are flat, with some home sales data out at 10. The US bond market is closed today, which allows us a reprieve from rate-watching.
Eyes are on bank earnings tomorrow AM, then CPI on Wednesday.
The weekly straddle is still pricing in very little risk, as you can see in the QQQ plot below. This is simply a market that has no volatiltiy expecations.
There is some event vol tied to both banks earnings and CPI on Wednesday – to the tune of about 20-40 SPX points (1-3 vol points). This is meaningful relative to the little movement we’ve had – but it feels to us like it’s underpricing a potential tail move out of Wednesday.
SPX gamma is positive in the 7,700 to 7,800 range in through Friday’s OPEX. Given this, we think the market likely trends sideways with dips bought, and rallies faded. That said, a drop in CPI tomorrow could spark a rally, particularly if SPX breaks above 7,825. To the downside, major support is at 7,700, and we shift to a risk-off stance <7,690.
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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: |
$7859.7 |
$7811 |
$778 |
$30883 |
$751 |
$2806 |
$278 |
|
SG Gamma Index™: |
|
4.708 |
0.092 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.53% |
0.53% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.22% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
$7856.42 |
$782.88 |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
$7773.58 |
$774.62 |
|
|
|
|
|
SG Volatility Trigger™: |
$7833.7 |
$7785 |
$777 |
$30875 |
$751 |
$2850 |
$281 |
|
Absolute Gamma Strike: |
$8048.7 |
$8000 |
$770 |
$31000 |
$740 |
$2800 |
$280 |
|
Call Wall: |
$7948.7 |
$7900 |
$785 |
$31000 |
$760 |
$2855 |
$300 |
|
Put Wall: |
$7548.7 |
$7500 |
$755 |
$30200 |
$700 |
$2750 |
$275 |
|
Zero Gamma Level: |
$7755.7 |
$7707 |
$777 |
$30573 |
$749 |
$2864 |
$289 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [8000, 7800, 7000, 7700] |
|
SPY Levels: [770, 775, 780, 785] |
|
NDX Levels: [31000, 30000, 31500, 30500] |
|
QQQ Levels: [740, 750, 760, 755] |
|
SPX Combos: [(8186,87.97), (8179,94.01), (8171,82.96), (8163,91.42), (8147,97.82), (8140,80.73), (8132,84.37), (8124,86.90), (8116,83.04), (8108,77.83), (8101,99.53), (8093,78.11), (8077,88.84), (8069,85.54), (8062,78.99), (8054,99.42), (8038,92.88), (8030,90.48), (8022,89.24), (8007,81.51), (7999,99.63), (7991,74.17), (7983,77.79), (7976,89.35), (7968,81.92), (7960,70.44), (7952,98.71), (7937,89.77), (7929,98.84), (7921,80.77), (7913,95.80), (7905,82.28), (7897,99.91), (7890,89.43), (7882,97.80), (7874,98.99), (7866,99.43), (7858,95.81), (7851,99.53), (7843,98.84), (7835,90.42), (7827,99.83), (7819,97.57), (7812,95.19), (7804,99.52), (7772,86.91), (7765,83.53), (7757,92.45), (7749,93.11), (7741,89.53), (7733,81.23), (7726,89.44), (7718,86.11), (7710,68.74), (7702,96.57), (7687,72.26), (7679,89.50), (7663,84.43), (7655,72.93), (7647,96.04), (7640,75.04), (7624,85.88), (7616,67.42), (7601,96.20), (7593,78.33), (7577,87.89), (7554,89.13), (7523,84.93), (7499,96.81), (7476,80.35), (7452,88.30), (7429,83.22)] |
|
SPY Combos: [776.99, 787.05, 780.08, 807.17] |
|
NDX Combos: [31254, 31655, 31007, 29802] |
|
QQQ Combos: [760.28, 734.86, 725.14, 740.09] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.37 |
1.067 |
1.30 |
0.936 |
0.534 |
0.434 |
|
Gamma Notional (MM): |
$1.22B |
$487.957M |
$8.821M |
$42.692M |
‑$83.24M |
‑$1.539B |
|
25 Delta Risk Reversal: |
-0.033 |
0.00 |
-0.043 |
-0.03 |
-0.029 |
-0.014 |
|
Call Volume: |
571.52K |
1.236M |
9.36K |
982.163K |
29.093K |
361.768K |
|
Put Volume: |
1.024M |
1.846M |
13.906K |
1.193M |
41.806K |
579.288K |
|
Call Open Interest: |
9.63M |
5.80M |
80.72K |
5.201M |
308.603K |
3.357M |
|
Put Open Interest: |
13.991M |
13.063M |
125.898K |
7.714M |
496.42K |
7.572M |
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