Macro Theme:
Key dates ahead:
- 8/22: J-HOLE
- 8/27: NVDA ER
Update 8/22: JHOLE plays: 6,300 x 6,250, 6,200 put flies, or 6,200 x 6,100 x 6,000 Monday put flies as a way to express lotto downside. Upside we like Mon/Tue 6,450 x 6,500 call spreads or flies. We elect for spreads or flies here because the 1-3 DTE IV’s are quite elevated. Longer dated >=1-month IV’s remain fairly valued, which warrants put spreads (in the event you didn’t add a sliver of puts with the 8/18 update).
8/18: Per recent updates, due to 11-12% SPX IV’s we want to now own a small amount of Sep puts, and/or Sep VIX call spreads into JHOLE & NVDA (8/27), while maintaining a core long position as long as the SPX is >6,400. The core long position can be stock, or expressed via call options as call IV’s are also quite cheap particularly in tech like SMH, XLK. For that upside we will likely elect to go with short dated (early Sep) call spreads or flies that we will likely look to buy Friday to play positive outcomes of JHOLE and NVDA ER.
Key SG levels for the SPX are:
- Resistance: 6,425, 6450, 6,500
- Pivot: 6,400 (bearish <, bullish >)
- Support: 6,300, 6,150
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Founder’s Note:
Futures are +10 bps ahead of Jackson Hole at 10AM ET.
The levels for today seem quite clear, and are reinforced by a 0DTE Condor (interesting day to bet on a tight market range).
Positive Powell likely leads to a test of 6,425 – 6,450. In that zone is positive gamma, which should offer some resistance. Ultimately 6,500 is the major upside strike, which is the major level into Wed NVDA earnings. We like call spreads and/or call flies around the 6,450 – 6,500 area into Tuesday of next week as a short term play (pre NVDA ER). A close >6,400 shifts the scales to favor this move.
We also note that ~1-month single stock tech calls scan as cheap, such as SMH & XLK. These give you Powell + NVDA upside, and could pay off nicely if both events are positive. Both events being positive ultimately lead to the “zombie” market, in which I believe we just have a very grinding low vol market through Sep, anchored by the big JPM 6,505 strike.
Downside is simply this: SPX is quite vulnerable to downside if the SPX is <6,400. First support is 6,300, which is the bottom leg of the 0DTE Condor. If Powell really goes hard, we see negative gamma all the way down to 6,150 – a level which we would mark for more of a Monday possibility vs today. We yesterday saw put flies which pay nicely in these tail-ish downside moves for quite cheap.
The other thing to watch here is vol.
The market is pricing today as a binary event. You can see this by how backwardated the SPX term structure is, almost like an “L” shape. This gives us the idea that the market is hedged for disappointment today, but not really ready for an extended period of struggle. There is plenty of room for longer dated vols ( >1 week out) to ratchet up, which would add to the downside jump. On this point the CME FedWatch has odds of a Sep cut at 69% now, vs 90% last week. Polymarket is only 57%…
On this note, we will be watching vols closely post-Powell because there is this other scenario in which the initial reaction to Powell is a fake out in price, and the tell will be in these >2 week out IV’s. If we rally but vols are flat to higher, that is a signal that the initial move may be false.
|
|
/ESU25 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6388.25 |
$6370 |
$635 |
$23142 |
$563 |
$2274 |
$225 |
|
SG Gamma Index™: |
|
-0.266 |
-0.485 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.62% |
0.62% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.68% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6413.25 |
$6395 |
$636 |
$23350 |
$567 |
$2285 |
$227 |
|
Absolute Gamma Strike: |
$6018.25 |
$6000 |
$630 |
$23725 |
$560 |
$2300 |
$220 |
|
Call Wall: |
$6518.25 |
$6500 |
$650 |
$23725 |
$580 |
$2290 |
$230 |
|
Put Wall: |
$6318.25 |
$6300 |
$630 |
$21500 |
$560 |
$2200 |
$220 |
|
Zero Gamma Level: |
$6351.25 |
$6333 |
$639 |
$23083 |
$566 |
$2268 |
$229 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
0.969 |
0.615 |
0.995 |
0.699 |
0.897 |
0.694 |
|
Gamma Notional (MM): |
‑$44.793M |
‑$1.283B |
‑$108.264K |
‑$526.264M |
‑$8.159M |
‑$407.316M |
|
25 Delta Risk Reversal: |
-0.053 |
-0.044 |
-0.06 |
-0.041 |
-0.032 |
-0.029 |
|
Call Volume: |
457.572K |
1.19M |
5.583K |
769.291K |
10.675K |
342.655K |
|
Put Volume: |
631.818K |
1.721M |
6.69K |
966.761K |
16.817K |
492.876K |
|
Call Open Interest: |
7.426M |
5.251M |
67.766K |
3.576M |
278.062K |
3.742M |
|
Put Open Interest: |
12.968M |
12.559M |
80.172K |
5.612M |
448.109K |
7.926M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6400, 6300, 6500] |
|
SPY Levels: [630, 640, 635, 620] |
|
NDX Levels: [23725, 23000, 23400, 22500] |
|
QQQ Levels: [560, 570, 565, 550] |
|
SPX Combos: [(6650,92.87), (6625,69.68), (6599,98.47), (6574,88.89), (6568,71.03), (6549,95.19), (6542,77.25), (6523,89.98), (6517,81.58), (6510,73.46), (6504,94.13), (6498,99.44), (6485,69.22), (6478,71.32), (6472,94.42), (6466,79.72), (6459,71.78), (6453,95.38), (6434,87.19), (6428,90.93), (6402,75.54), (6377,77.08), (6364,90.61), (6357,82.06), (6351,90.02), (6345,73.10), (6338,70.32), (6332,88.33), (6326,80.93), (6313,95.95), (6306,81.09), (6300,97.54), (6294,71.32), (6287,88.08), (6275,85.84), (6268,68.36), (6262,90.64), (6256,75.39), (6249,94.34), (6243,79.05), (6217,91.24), (6198,93.29), (6192,73.02), (6185,70.16), (6173,81.35), (6166,71.04), (6147,88.42), (6128,69.99), (6115,75.56), (6103,91.23)] |
|
SPY Combos: [648.32, 658.53, 653.42, 645.77] |
|
NDX Combos: [23721, 23004, 22587, 23837] |
|
QQQ Combos: [577.22, 560.24, 544.96, 550.05] |