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Informe Option Levels

Macro Theme:

Key dates ahead:

  • 7/30: FOMC
  • 8/1: Tariff Deadline

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, 6,325 (SPY 630), 6,340
  • Pivot: 6,250 (bearish <, bullish >)
  • Support: 6,280, 6,250, 6,200, 6,100

 

Founder’s Note:

Futures are flat as we head into July OPEX.

6,300 is the big strike on the board – but only until the 9:30AM ET expiration. At 9:30 the SPX AM contracts expire, which then seems to remove most of the SPX positive gamma, leaving 6,340 as the big 0DTE strike (blue box). To the downside we see 6,280 and 6,250 as support – and we think its likely 0DTE options sellers come out and pad any intraday weakness.

Before you get too bulled up on this, note that the SPY 630 level is likely the upside level to watch, as that is where we see SPY

gamma flip

from negative to positive. This infers 630 is the resistance level for today.

Looking ahead, we’ve been making the case for consolidation into next week, given the call-heavy expiration, rich call skews, and low implied vols. We think this could lead to a 2-3% correction, with eyes on major support in the 6,000-6,100 area.

We’re also into full-on meme-mania with quantum computing stocks firing off on massive options volume, then yesterday it was LCID (+1.4mm contracts) and OPEN (+800k).

If we are wrong on this, and SPX holds >6,250 into next week, then we have to start eyeing upside at the big 6,400 strike.

We’ll close out on this:

Below is what it looks like when traders are pricing a riskless market. All top US ETF’s are in the bottom right quadrant reflecting very low volatility expectations, and call prices rich vs puts. This is implying that being long here is a very crowded trade, and while we don’t think that means a crash is imminent, we do think a correction/shakeout would be a healthy thing for the longer term bullish construct. At a very minimum buying put protection is cheap.

 

/ESU25

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$6302.67

$6263

$628

$22907

$561

$2226

$223

SG Gamma Index™:

3.13

0.042

SG Implied 1-Day Move:

0.62%

0.62%

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™:

$6304.67

$6265

$627

$22890

$559

$2235

$219

Absolute Gamma Strike:

$6339.67

$6300

$630

$23000

$560

$2250

$220

Call Wall:

$6539.67

$6500

$630

$23100

$565

$2250

$230

Put Wall:

$5839.67

$5800

$610

$22000

$500

$2160

$210

Zero Gamma Level:

$6266.67

$6227

$626

$22678

$556

$2221

$222

SPX

SPY

NDX

QQQ

RUT

IWM

Gamma Tilt:

1.40

1.041

1.952

1.112

1.246

1.002

Gamma Notional (MM):

$337.958M

$396.464M

$8.164M

$254.316M

‑$7.765M

$112.97M

25 Delta Risk Reversal:

-0.043

-0.025

-0.042

-0.02

-0.03

-0.014

Call Volume:

656.624K

1.156M

17.334K

538.284K

29.376K

299.065K

Put Volume:

982.805K

2.106M

11.077K

949.432K

30.414K

603.906K

Call Open Interest:

7.457M

5.832M

67.976K

3.367M

280.147K

4.132M

Put Open Interest:

12.907M

13.851M

85.39K

5.55M

447.609K

8.739M

Key Support & Resistance Strikes

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

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

NDX Levels: [23000, 23100, 22900, 23150]

QQQ Levels: [560, 555, 565, 550]

SPX Combos: [(6564,96.41), (6539,77.19), (6514,91.25), (6489,73.76), (6470,89.29), (6464,99.73), (6439,80.39), (6414,96.21), (6389,89.67), (6383,82.13), (6376,71.45), (6364,99.68), (6351,84.85), (6345,79.57), (6339,92.23), (6333,91.03), (6326,95.92), (6320,83.28), (6314,99.63), (6308,82.14), (6301,98.68), (6295,96.98), (6289,98.97), (6282,99.26), (6276,99.63), (6270,90.19), (6264,99.51), (6257,90.96), (6239,84.93), (6226,70.67), (6220,71.18), (6214,74.45), (6207,78.96), (6201,74.75), (6182,82.25), (6132,81.11), (6088,75.90), (6082,75.81), (6063,83.04), (6013,83.39), (5982,72.39), (5963,79.78)]

SPY Combos: [647.9, 627.93, 637.91, 632.92]

NDX Combos: [23045, 22931, 22954, 22977]

QQQ Combos: [560.13, 565.14, 557.34, 570.16]