Macro Theme:
Key dates ahead:
- 7/9: FOMC Mins
- 7/10: Jobless Claims
- 7/15: CPI
- 7/16: Earnings Start
- 7/30: FOMC
July OPEX Playbook:
Update 7/8: Watch the second half of July as a possible turning point/change in bullish trend: 7/15 CPI, 7/18 OPEX, 7/30 FOMC & 8/1 tariff deadline. If SPX breaks 6,200 at any time from now through that window we will flip to risk-off.
Update 7/7: We think the SPX holds the 6,250-6,300 area this week, and short dated IV’s like contract sharply (ref 15% ATM IV). Next week could be a big turning point with CPI/OPEX & earnings kicking off.
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.
Key SG levels for the SPX are:
- Resistance: 6,260, 6,300
- Pivot: 6,200 (bearish <, bullish >)
- Support: 6,200, 6,1000
Founder’s Note:
Futures are up 20 bps with FOMC mins on tap.
TLDR: 6,220 (SPY 620) & 6,200 remain the key support levels. We flip bearish below there. To the upside we see light resistance at 6,250 then 6,280. Vols are dropping which adds a tailwind for stocks.
While it for some reason feels a bit chippy out there, the market has absorbed a lot of tariff rhetoric and vols are sharply lower from Monday’s vol bump – you can see this via the negative marks on the Fixed Strike grid. On this point we thought the 6,250-6,300 area would be the dominant range this week, with the underlying theme that it would be a consolidation drift week as we approach OPEX. Clearly we have traded a bit under that range, but the theme of “not much happening” has thus far been in place and we don’t think that changes today.
Further, if you look at Compass you see a bid to calls (cluster in bottom right of grid) – so no real fear coming in on recent headlines, either. In fact, one could say these are rich calls which could be stalling out into next weeks data/OPEX spark.
With that we continue to play short term breakouts “this week”, with particular eyes on crypto which is making fresh highs. This highlights some risk on appetite, which syncs with index vols coming in.
|
|
/ESU25 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6274.56 |
$6229 |
$620 |
$22685 |
$552 |
$2214 |
$221 |
|
SG Gamma Index™: |
|
1.721 |
-0.072 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.65% |
0.65% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.95% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
$6290.22 |
$626.76 |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
$6208.98 |
$618.66 |
|
|
|
|
|
SG Volatility Trigger™: |
$6265.56 |
$6220 |
$619 |
$22660 |
$549 |
$2195 |
$219 |
|
Absolute Gamma Strike: |
$6045.56 |
$6000 |
$620 |
$22500 |
$550 |
$2200 |
$220 |
|
Call Wall: |
$6545.56 |
$6500 |
$625 |
$21625 |
$560 |
$2240 |
$230 |
|
Put Wall: |
$6240.56 |
$6195 |
$600 |
$22650 |
$500 |
$2150 |
$210 |
|
Zero Gamma Level: |
$6192.56 |
$6147 |
$619 |
$22289 |
$547 |
$2192 |
$221 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.27 |
0.927 |
1.408 |
1.148 |
1.244 |
0.941 |
|
Gamma Notional (MM): |
$656.625M |
$1.498M |
$10.107M |
$313.253M |
$8.532M |
‑$1.632M |
|
25 Delta Risk Reversal: |
-0.043 |
-0.025 |
-0.044 |
-0.023 |
-0.03 |
-0.01 |
|
Call Volume: |
451.188K |
1.06M |
8.633K |
493.887K |
15.28K |
333.483K |
|
Put Volume: |
798.241K |
1.453M |
8.709K |
644.486K |
22.37K |
319.781K |
|
Call Open Interest: |
7.03M |
5.605M |
62.275K |
3.177M |
248.492K |
3.813M |
|
Put Open Interest: |
11.933M |
12.254M |
78.708K |
4.977M |
397.368K |
7.685M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6200, 6300, 6250] |
|
SPY Levels: [620, 600, 615, 625] |
|
NDX Levels: [22500, 22700, 22600, 22750] |
|
QQQ Levels: [550, 545, 555, 540] |
|
SPX Combos: [(6529,78.54), (6510,86.67), (6504,99.36), (6479,79.67), (6454,92.92), (6429,87.45), (6404,97.52), (6379,89.82), (6367,75.75), (6355,96.18), (6342,71.27), (6336,69.42), (6330,94.88), (6323,71.27), (6317,88.83), (6305,99.32), (6292,89.86), (6286,83.40), (6280,98.89), (6274,85.32), (6267,93.11), (6255,98.30), (6249,71.18), (6242,76.83), (6236,69.75), (6230,82.73), (6218,73.03), (6205,82.01), (6199,91.50), (6186,81.42), (6174,75.27), (6168,80.99), (6161,69.46), (6124,78.66), (6074,76.52), (6056,75.08), (6024,80.07), (6006,73.76), (5956,70.15)] |
|
SPY Combos: [647.37, 627.51, 625.02, 616.96] |
|
NDX Combos: [22799, 23003, 23207, 22640] |
|
QQQ Combos: [559.76, 554.79, 564.73, 557] |