Quant Data

I, (the person behind the Quant Data posts) will be getting married Tuesday and on vacation until August 5th. I will miss you all and hope you have nothing but success in the markets for the next 2 weeks! And remember…ALWAYS FOLLOW THE DATA 📈

🚨 Citadel thinks the Fed hikes rates on Wednesday. Their reasoning: if the Fed believes additional rate hikes before September are likely, it may decide to move now rather than wait, reinforcing the Fed's inflation-fighting credibility and independence under Warsh.

Single-stock futures aren't new. They launched in the early 2000s but ultimately failed, with liquidity being one of the biggest challenges. This time is different. Futures are far more widely traded, retail participation in derivatives has exploded, and access through major brokers is much better. The big question is whether it can attract enough liquidity to become self-sustaining.

New MVC is $740; the range is still $735-$740. We have the "talks" and FOMC this week. Let's see how things play out after-hours.

$SPY has approached $735-$736. $736 is the MVC (contract with the absolute greatest negative exposure). I am thinking that zone will act as intraday support; might see some chop around this level.

Sold right through $740 on $SPY. Negative exposure has expanded below spot, especially at $735. Potential retest at $740 before the next leg down.

Puts just crossed Calls on $SPY Let's see if there is some divergence

Positive gamma exposure above spot and negative exposure below spot on $SPY today. $748 as resistance and $740 as support (also the MVC). Expecting us to hold this range for now, absent any catalysts.

Three days before the July FOMC meeting, markets are pricing a 36% chance of a rate hike, one of the highest implied probabilities of the past year. It's still not the base case, but the shift from "how many cuts?" to "could they hike?" shows how the narrative has changed.

$10M Put Spike on $SPY just before close

Sandwiched 🥪 between $743 (MVC) and $740 on $SPY. Time for some theta-burn...?

Tight range between $737.50 & $740 on $SPY. Previous analysis still stands; we're in the $735-$740 range. $740 is still the MVC 🧲

$5M Put Spike on $QQQ just now 👇

Negative gamma exposure across the board on $SPY. $740 is resistance (also the MVC) & $735 is support. Currently rejecting $740; potential downside move to $735 now.

Bounce off the MVC at $736 on $SPY, with a retest at $740...never would've guessed...

$737 target was hit on $SPY. My next support level is $735; I would be surprised if we sell off under that today. Expecting some chop around $736, especially since it is the MVC and sitting right above that support level.

Mag 7 just crossed Net $100M Puts on the day

Last time we saw vol this elevated, it was about a month ago on $SPX. SPX previously reversed around 7337

$TSLA is down 11% post-earnings. Yikes... $23M in Net Puts so far this morning.

$5M Put Spike on $SPY just now

Negative exposure is the story today on $SPY. $740 is the current contract with the greatest absolute GEX, and it is testing it now. Under $740, we could see things accelerate to $737-$738; I would expect a retest at $740, though.