Macro Theme:
Key dates ahead:
- 6/24: Powell Testimony
- 6/25: Powell Testimony
- 6/26: Jobless Claims, GDP
- 6/27: PCE
- 6/30: Quarterly OPEX
June OPEX Playbook:
Update 6/20: Post OPEX and into Monday 6/30 we are looking for the SPX to move to 5,900 and revolve around that strike. Given that, we will be looking to enter into put flies for next week around 5,900. We like flies here because we think the massive 5,905 JPM strike will be a shock absorber into 6/30 – unless there is some truly large escalation in Middle East tensions (lets pray that doesn’t happen).
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).
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:
How quickly things change!
Equities are +70bps higher, crude is down another 2% (-12% from Sunday’s highs) ahead of Powell’s testimony today.
S&P vols are actually a bit higher for <=6/30 expirations, with longer dated vols coming in about 1/2 vol point.
For the S&P500, we’ve entered something of a local negative gamma pocket. This can be seen below in the Delta map, wherein TRACE infers dealers are buying into higher SPX prices, and selling into lower prices. This should keep volatility elevated for today’s session with the key overhead level being 6,100. To the downside, if 6,050 breaks, look for a test of 6,020 (SPY 600) then 6,000.
The GEX curve for SPX depicts a possible upside chase, too, as gamma gets more negative above, suggesting plenty of upside fuel. Note the closer we get to 6,100 the less the 6/30 JPM call 5,905 matters.
Adding to this is vanna, something we noted yesterday AM. However in yesterday’s AM note we said that vol should be stickier at higher levels due to the Iran conflict. Well, fast forward 24 hours and that conflict is apparently over. If that is real, then one would expect the vol premium to get obliterated. In the skew plot below we compare current 1-month SPX to that of early Feb – back when the SPX was nearing all time highs. This depicts how the put wing can deflate which would be a vanna-boost for stocks.
The other thing that has changed in an instant is the bidding of calls in equities, and some dispersion in expectations. For example, we see XLU & XLRE jumping to the right on the Compass Map, which could be a signal of traders sniffing out lower rates ahead? Healthcare (XLV) is also leaking higher, with that ETF at 2023 lows…
|
|
/ES |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6018.4 |
$5967 |
$600 |
$21626 |
$531 |
$2109 |
$211 |
|
SG Gamma Index™: |
|
0.674 |
-0.192 |
|
|
|
|
|
SG Implied 1-Day Move: |
0.76% |
0.76% |
0.76% |
|
|
|
|
|
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™: |
$6046.4 |
$5995 |
$598 |
$21620 |
$531 |
$2110 |
$210 |
|
Absolute Gamma Strike: |
$6051.4 |
$6000 |
$600 |
$21625 |
$530 |
$2100 |
$210 |
|
Call Wall: |
$6151.4 |
$6100 |
$605 |
$21625 |
$540 |
$2115 |
$220 |
|
Put Wall: |
$5951.4 |
$5900 |
$590 |
$19500 |
$525 |
$2135 |
$200 |
|
Zero Gamma Level: |
$6029.4 |
$5978 |
$599 |
$21409 |
$530 |
$2136 |
$214 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.105 |
0.798 |
1.494 |
0.889 |
0.887 |
0.656 |
|
Gamma Notional (MM): |
‑$198.787M |
‑$242.703M |
$2.573M |
‑$18.412M |
‑$22.588M |
‑$376.087M |
|
25 Delta Risk Reversal: |
-0.063 |
-0.044 |
-0.064 |
0.00 |
-0.051 |
-0.032 |
|
Call Volume: |
531.261K |
1.545M |
8.438K |
615.93K |
34.882K |
229.673K |
|
Put Volume: |
974.755K |
2.298M |
8.927K |
1.04M |
44.659K |
437.532K |
|
Call Open Interest: |
6.455M |
5.175M |
51.987K |
2.881M |
222.544K |
3.244M |
|
Put Open Interest: |
11.254M |
10.882M |
65.529K |
4.419M |
368.509K |
6.978M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6050, 5000, 6100] |
|
SPY Levels: [600, 590, 595, 605] |
|
NDX Levels: [21625, 21800, 22000, 21700] |
|
QQQ Levels: [530, 525, 540, 520] |
|
SPX Combos: [(6242,94.74), (6213,75.14), (6189,92.85), (6165,83.39), (6141,96.76), (6117,88.82), (6093,93.23), (6069,89.01), (6063,86.03), (6051,73.54), (6039,99.06), (6033,82.25), (6028,78.85), (6022,81.76), (6016,96.11), (6010,95.43), (6004,93.02), (5998,89.97), (5992,94.14), (5986,81.20), (5980,85.68), (5974,86.71), (5968,81.01), (5962,78.82), (5956,70.64), (5944,77.03), (5926,90.95), (5914,70.32), (5896,96.09), (5884,79.67), (5866,95.14), (5848,76.57), (5843,93.88), (5837,71.07), (5819,86.41), (5795,84.33), (5765,76.42), (5747,93.08), (5717,79.28), (5693,85.57)] |
|
SPY Combos: [587.74, 607.35, 617.46, 577.64] |
|
NDX Combos: [21972, 21388, 21345, 22167] |
|
QQQ Combos: [526.83, 519.98, 531.04, 525.25] |