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Informe Option Levels

Macro Theme:

Key dates ahead:

  • 7/17: Jobless Claims
  • 7/30: FOMC

July OPEX Playbook:

Update 7/10: Call skews are getting quite elevated and so we are looking to ~1-month sell call skew in select names – most notably SPY. Check Compass for other names. We will also be looking to add ~2-month puts to play a market correction into the data-heavy window coming up 7/15-8/1.

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.

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.

Key SG levels for the SPX are:

  • Resistance: 6,300
  • Pivot: 6,200 (bearish <, bullish >)
  • Support: 6,250, 6,200, 6,180, 6,100

 

Founder’s Note:

Macro Theme:

Key dates ahead:

  • 7/16: PPI
  • 7/16: VIX Exp, Earnings Start
  • 7/17: Jobless Claims
  • 7/30: FOMC

July OPEX Playbook:

Update 7/10: Call skews are getting quite elevated and so we are looking to ~1-month sell call skew in select names – most notably SPY. Check Compass for other names. We will also be looking to add ~2-month puts to play a market correction into the data-heavy window coming up 7/15-8/1.

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.

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.

Key SG levels for the SPX are:

  • Resistance: 6,250, 6,300
  • Pivot: 6,200 (bearish <, bullish >)
  • Support: 6,200, 6,180, 6,100

 

Founder’s Note:

Futures are flat ahead of Retail Sales and Jobless Claims at 8:30AM ET.

TLDR: Very little to update here as realized vol remains low into this expiration. While we anticipate weakness at some point now through Aug 1, we need to see a shot across the risk-bow before taking more action (<=6,200). So, for now, its sitting tight with a few downside long puts/VIX calls in place.

Due to the positive gamma at 6,250-6,300, bulls hold the reigns. A move <6,250 implies a test of 6,200. Ultimately the trend higher can be salvaged if SPX bounces there, but should 6,200 give way we think that signals a longer term correction, with eyes on 6,000.

Yesterday’s mini-flash crash on the Powell headlines brought forward a key point we’ve been harping on: the market is underpricing anything less than perfection over the next 1-2 weeks. You see this in the much lower SPX ATM IV in red. We’ve beat this point to death, but it remains the core dynamic on the table. For this reason we continue to like owning August VIX call spreads.

Aside from this dynamic, there is very little out there of note. Call skews remain rich even though we see a lot of positive gamma in top single stocks. For example, META has a giant positive gamma strike at $700, which could be stalling price action. This positive gamma reduces with Friday’s expiration – which as a base case should allow for volatility to increase next week.

 

/ESU25

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$6283.53

$6243

$624

$22884

$557

$2205

$221

SG Gamma Index™:

2.062

0.014

SG Implied 1-Day Move:

0.63%

0.63%

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™:

$6285.53

$6245

$622

$22820

$557

$2235

$219

Absolute Gamma Strike:

$6040.53

$6000

$620

$23000

$555

$2200

$220

Call Wall:

$6540.53

$6500

$630

$22900

$560

$2250

$230

Put Wall:

$6090.53

$6050

$610

$22700

$500

$2160

$210

Zero Gamma Level:

$6247.53

$6207

$623

$22655

$552

$2216

$220

SPX

SPY

NDX

QQQ

RUT

IWM

Gamma Tilt:

1.283

1.013

1.489

1.128

1.007

0.903

Gamma Notional (MM):

$327.527M

$157.289M

$11.239M

$222.974M

‑$26.487M

‑$99.64M

25 Delta Risk Reversal:

-0.045

-0.025

-0.048

-0.024

-0.037

-0.018

Call Volume:

570.414K

1.426M

9.275K

688.503K

23.359K

366.693K

Put Volume:

863.985K

2.169M

11.393K

978.966K

27.57K

807.105K

Call Open Interest:

7.379M

5.861M

67.187K

3.33M

270.176K

4.124M

Put Open Interest:

12.663M

13.351M

82.852K

5.382M

439.784K

8.563M

Key Support & Resistance Strikes

SPX Levels: [6000, 6300, 6250, 6200]

SPY Levels: [620, 630, 625, 600]

NDX Levels: [23000, 22900, 22800, 22500]

QQQ Levels: [555, 560, 550, 545]

SPX Combos: [(6531,89.93), (6506,70.55), (6487,88.34), (6481,99.56), (6456,76.88), (6431,94.55), (6406,85.04), (6400,76.26), (6381,99.28), (6362,73.88), (6356,88.07), (6350,84.69), (6344,79.44), (6337,84.94), (6331,97.99), (6319,84.27), (6312,90.33), (6306,95.70), (6300,97.87), (6294,90.77), (6287,97.21), (6281,99.54), (6275,86.47), (6269,93.12), (6262,97.19), (6256,95.39), (6250,92.87), (6231,92.83), (6200,87.52), (6194,81.19), (6169,87.77), (6163,70.50), (6150,82.89), (6144,84.47), (6131,69.65), (6119,75.52), (6106,74.87), (6100,81.36), (6081,81.08), (6031,83.68), (6000,74.61), (5982,82.23)]

SPY Combos: [627.71, 647.62, 630.2, 625.22]

NDX Combos: [22999, 23205, 22885, 23411]

QQQ Combos: [560.05, 562.28, 565.06, 570.07]