Well, looks like July made for a “summer of George”. SPX up ~5% almost monotonically.
For this week:
- Call wall is 4600 - hasn’t moved up, so we should expect resistence here.
- Put wall is 4500 - it’s surprising that it’s crept up so high - there’s usually a few hundred points between the two. Not shocking given that vol is dead. This will work as support. It’s just that support is … very close.
- Vol trigger is … 4570! That is very close to where we are, where the options structure goes from positive to negative gamma, and therefore where MMs start adding to movement vs dampening them. We’re “fine” as long as are above it. Can kinda see the flip below.
Overall, expecting this to be a rather boring week; usual caveat around macro shocks apply.