Macro Theme:
Key dates ahead:
- 6/18 FOMC + VIX Expiration
- 6/19 Juneteenth – Market Closed
- 6/20 OPEX
- 6/30 Quarterly OPEX
June OPEX Playbook:
Update 6/16: 5,900 is likely support in through 6/30 even with a negative FOMC reaction. Given that, we are now giving edge to the SPX rallying into 6,100 for Friday with the assumption that FOMC will be benign, and the contraction of the related event vol of a quiet FOMC + market closure on Thursday (Juneteenth) can squeeze the SPX higher for Friday’s OPEX. Our preferred way to express equity upside is through SMH & its cheap calls, as it may have cleaner upside vs SPY (from a gamma perspective).
Post OPEX we think there could then be some equity contraction, with 5,900 a target.
Update 6/13: Futures tested ~5,925 overnight 6/12-6/13, and rallied back to 6k. That move emphasized the slippery downside <6k to 5,900. We continue to see little support from 6k back to 5,900, particularly into an uncertain weekend (due to Israel/Iran). ✅
Key SG levels for the SPX are:
- Resistance: 6,050, 6,100 (We see a long term top in the 5,900 – 6k area)
- Pivot: 6,000 (bearish <, bullish >)
- Support: 5,905 (6/30 Exp JPM Call)
Founder’s Note:
Futures are flat ahead of 9:30AM ET VIX expiration, and 2PM FOMC. Tomorrow the market is closed.
Be weary of price action into and around the cash open, as VIX expiration can often invoke jumpiness.
Given everything that is happening today, we check in on the SPX 0DTE straddle to find that its $47/78bps/IV29.8% (ref 5,985). That feels light given the geopolitical backdrop & FOMC – and there are clear price levels today of 5,915 & 6,040 which are $60 from current SPX prices.
The flare up of Middle East tensions certainly tamped down SPX prices (and lifted vols), and it may be that the “violence premium” remains in the VIX over the coming days. Today we will most likely lose some event vol premium after FOMC, unless Powell decides to let the hawkishness fly.
Added into the mix is Captain Condor. Yesterday we flagged his 11k position at 5,990 and 6,060, noting that the market loves to tag his levels. The SPX closed at 5,882, which meant the Captain lost yesterday, and has to double down today:
~29k (HUGE) at 6,035/6,040 x 5,915×5,910
It seems reasonable that one of these two legs gets tagged today. We had expressed a rather bullish outcome on a quiet Powell today, with a move to 6,100. The war premium in vol is certainly hampering that upside, which could zap some of the “tomorrows a holiday”/post-FOMC vol selling. Ultimately we see Friday’s vol as cheap, too, as either the vol decays or jumps into Friday which plays into a massive options expiration (likely the biggest evert), and you can play the Friday PM expiration “wings” for pretty cheap (something like long a ∓1% OTM S&P Condor).
|
|
/ES |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6088.75 |
$6033 |
$597 |
$21937 |
$529 |
$2124 |
$208 |
|
SG Gamma Index™: |
|
0.249 |
-0.113 |
|
|
|
|
|
SG Implied 1-Day Move: |
0.68% |
0.68% |
0.68% |
|
|
|
|
|
SG Implied 5-Day Move: |
1.95% |
1.95% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
After open |
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
After open |
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6050.75 |
$5995 |
$597 |
$21320 |
$532 |
$2095 |
$210 |
|
Absolute Gamma Strike: |
$6055.75 |
$6000 |
$600 |
$21325 |
$530 |
$2100 |
$210 |
|
Call Wall: |
$6090.75 |
$6035 |
$600 |
$21325 |
$545 |
$2200 |
$215 |
|
Put Wall: |
$5970.75 |
$5915 |
$590 |
$21400 |
$520 |
$2030 |
$200 |
|
Zero Gamma Level: |
$6008.75 |
$5953 |
$596 |
$21393 |
$524 |
$2119 |
$214 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.022 |
0.886 |
1.269 |
1.137 |
0.874 |
0.532 |
|
Gamma Notional (MM): |
$617.202M |
‑$235.344M |
$13.715M |
$227.877M |
‑$1.76M |
‑$948.231M |
|
25 Delta Risk Reversal: |
-0.068 |
-0.064 |
-0.067 |
-0.055 |
-0.059 |
-0.041 |
|
Call Volume: |
491.839K |
1.366M |
6.734K |
689.762K |
28.347K |
222.26K |
|
Put Volume: |
1.086M |
1.992M |
11.329K |
863.592K |
35.52K |
735.614K |
|
Call Open Interest: |
8.972M |
6.442M |
72.794K |
4.085M |
329.403K |
3.988M |
|
Put Open Interest: |
14.491M |
12.957M |
94.387K |
5.645M |
496.869K |
9.257M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6050, 5900, 5950] |
|
SPY Levels: [600, 595, 590, 580] |
|
NDX Levels: [21325, 22000, 21500, 21900] |
|
QQQ Levels: [530, 520, 525, 540] |
|
SPX Combos: [(6305,92.27), (6280,74.02), (6262,76.54), (6250,97.05), (6226,78.56), (6208,71.95), (6202,94.24), (6178,84.41), (6172,78.47), (6160,89.47), (6154,98.73), (6142,80.28), (6130,95.40), (6124,75.97), (6112,88.40), (6099,97.11), (6093,98.64), (6087,99.28), (6075,76.48), (6069,75.39), (6057,87.32), (6051,91.59), (6027,85.63), (6021,81.21), (6003,92.94), (5997,80.08), (5979,71.93), (5973,85.75), (5967,97.76), (5961,96.58), (5955,75.57), (5949,92.77), (5925,80.99), (5918,70.59), (5906,75.89), (5900,89.46), (5888,74.26), (5882,71.98), (5876,71.07), (5852,93.55), (5822,75.40), (5798,87.56), (5750,90.25)] |
|
SPY Combos: [609.31, 605.09, 619.56, 604.49] |
|
NDX Combos: [21543, 22596, 22179, 22398] |
|
QQQ Combos: [540.17, 519.33, 535.89, 533.22] |