Macro Theme:
Key dates ahead:
- 6/30: Quarterly OPEX
- 7/1: Powell Speaking 9:30AM, ISM 10AM
- 7/3: NFP
- 7/4: July 4th (market closed)
June OPEX Playbook:
Update 6/30 (Looking past todays roll): Due to the large negative SPX gamma above, we will be looking to play long equity calls into the holiday weekend, likely in SMH due to cheap relative vol in names like NVDA & AVGO. Reference SPX 6,200.
Update: 6/27: We think implied volatility will have a brief uptick on Monday as quarter end hits and the JPM collar trade & its related positions expire/roll off. With that we think a quick 1-2 session shake out is due, and that shake out would quickly recover ahead of the July 4th weekend. As a result, we are looking to be small long 6/30 or 7/1 S&P options (ex: straddle/strangle), buying them because the IV is just 9.1%. If equities should correct some on Monday we would look to buy the dip/sell IV pops into next weeks 3 day weekend.
Update 6/25: The apparent resolution of the Middle East conflict put a bid into stocks, which has rendered the JPM Call for 6/30 irrelevant. SPX vols have since collapsed, and we now look for equity correlation to decline. This means we think SPX stays fairly sticky in the 6,100-6,120 area, and we look to play longs in top single stocks which currently reflect cheaper calls vs SPY/QQQ: SMH/semis, Mag 7 etc.
Key SG levels for the SPX are:
- Resistance: 6,200, 6,222
- Pivot: 6,135 (bearish <, bullish >)
- Support: 6,150, 6,100, 6000
Founder’s Note:
Powell speaks at 9:30AM ET, and ISM PMI is at 10AM ET.
TLDR: We look for vol to contract which keeps a bid in stocks through the week. The
Call Wall
shifted from 6,200 to 6,235 which is now the top end of our range.
We start today with Captain Condor, who has positioned himself with a large +29k 0DTE SPX Condor at 6,235/6,240 & 6,175/6,170 – and so we will watch these as key target zones for today.
Now turning to vols, we note they are up a fair amount from last nights close – and yesterday’s vols were up vs Friday’s very low IVs. We anticipated this high vol as the JPM rolled, which reduced some price-suppression flows – and we think these higher vols are going to squash into Thursday’s close + the upcoming 3-day weekend.
A core theme over the last week has been transitioning from general equity positioning (“Should you own stocks or some other asset?”) to a focus on stock selection (“I need to own stocks, which one do I own?”). This idea is best seen through the collapse in correlation, and the COR1M index.
Along these lines, we see from BOFA that this is the worst breadth into a market rally ever, which emphases the idea that the stocks you pick are critical because many are lagging behind the leaders. We believe that its the stocks catching a bid in calls that will be the breakout stars. That could be particularly true this week as we see memes bid (HOOD, PLTR) while SPX sticks (-20bps).
All that being said, we are getting pretty darn rich in terms of call pricing, as you can see in the Compass map. The bottom right of the grid shows a cluster of major stocks, including SPY, as having +75th %’ile risk reversals (call IV vs put IV). This is a sure-fire signal that things are getting overbought – we just don’t think thats “this weeks” problem due to the shortened pre-summer holiday & potential vol selling.
None-the-less we may start looking at selling >2-week calls in the names with high call skews (yellow box, below) – with an attempt to focus on names with relatively higher IV’s (to the right on this grid).
|
/ESU25 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
---|---|---|---|---|---|---|---|
Reference Price: |
$6224.89 |
$6173 |
$617 |
$22534 |
$551 |
$2172 |
$215 |
SG Gamma Index™: |
|
2.73 |
0.098 |
|
|
|
|
SG Implied 1-Day Move: |
|
0.65% |
0.65% |
|
|
|
|
SG Implied 5-Day Move: |
|
1.95% |
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
SG Volatility Trigger™: |
$6226.89 |
$6175 |
$614 |
$21620 |
$549 |
$2100 |
$215 |
Absolute Gamma Strike: |
$6051.89 |
$6000 |
$600 |
$22500 |
$550 |
$2200 |
$220 |
Call Wall: |
$6286.89 |
$6235 |
$620 |
$21625 |
$555 |
$2200 |
$220 |
Put Wall: |
$6221.89 |
$6170 |
$600 |
$19500 |
$500 |
$2100 |
$200 |
Zero Gamma Level: |
$6142.89 |
$6091 |
$612 |
$21975 |
$546 |
$2151 |
$217 |
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
---|---|---|---|---|---|---|
Gamma Tilt: |
1.44 |
1.119 |
2.066 |
1.285 |
1.196 |
0.799 |
Gamma Notional (MM): |
$338.404M |
$514.666M |
$10.797M |
$394.084M |
$12.263M |
‑$231.886M |
25 Delta Risk Reversal: |
-0.039 |
0.00 |
-0.042 |
-0.026 |
-0.025 |
0.00 |
Call Volume: |
730.984K |
1.38M |
13.886K |
662.27K |
11.515K |
237.503K |
Put Volume: |
872.102K |
2.007M |
10.657K |
790.871K |
15.054K |
264.782K |
Call Open Interest: |
6.85M |
5.355M |
59.323K |
3.06M |
235.095K |
3.544M |
Put Open Interest: |
11.306M |
11.523M |
72.527K |
4.529M |
374.284K |
7.079M |
Key Support & Resistance Strikes |
---|
SPX Levels: [6000, 6200, 6175, 6235] |
SPY Levels: [600, 620, 615, 610] |
NDX Levels: [22500, 22700, 21625, 23000] |
QQQ Levels: [550, 545, 540, 555] |
SPX Combos: [(6476,86.23), (6469,98.82), (6445,75.03), (6420,91.57), (6395,84.18), (6371,97.12), (6346,86.13), (6321,94.04), (6297,94.82), (6266,99.51), (6259,79.43), (6247,90.16), (6241,98.30), (6235,78.63), (6229,87.18), (6222,80.29), (6216,99.59), (6210,99.83), (6204,99.91), (6198,89.42), (6192,99.31), (6185,87.37), (6179,88.04), (6173,85.08), (6167,99.31), (6148,77.26), (6142,99.97), (6118,73.65), (6068,82.35), (5994,78.78), (5895,70.48), (5871,80.86)] |
SPY Combos: [617.31, 614.85, 622.23, 619.77] |
NDX Combos: [22557, 22669, 22872, 22805] |
QQQ Combos: [549.86, 559.73, 526.29, 554.8] |