• 8/27: NVDA ER
• 8/28: Jobless Claims
• 8/29: PCE

8/25: Post JHOLE: At any point moving forward should SPX break under 6,400 this market could get pretty nasty, as that is where negative gamma comes in. Further, that downside action would clash with volatility expectations that are de minimus – so VIX/vol would jump. We read this as downside is wide open into 6,150. The current best case scenario is a move to 6,525 to the upside, which also syncs with QQQ needing ~2% upside to match the ATH set into Aug OPEX.

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: 6,450, 6,475, 6,500
• Pivot: 6,400 (bearish <, bullish >)
• Support: 6,300, 6,150