July 2025 Option Month Outlook

Summer swoon?

Hello all! The June opex month was expected to bounce higher once the Moody’s downgrade occurred.

Here is the SPX analysis from last month:

“For SPX, the 1-month vanna is very high, with decent support and significant call selling above price. With this Moody’s downgrade, I would expect the downturn to be limited, as there is decent support down to 5800. If 5800 is breached, the velocity on the downside can increase, but there will be significant support the whole way down. From a fundamental and Volland standpoint, whatever dip this Moody’s downgrade causes, it is a dip to buy.

Once the dip is over, how high can we bounce? The positive aggregate vanna is very significant with $7.5B in positive vanna over the next month. While there is significant resistance at 6000 and subsequent strikes, the aggregate vanna won’t return to average levels until roughly 6200. All-time highs are at 6127, so that means there is a chance to reach all-time highs during this opex. It isn’t my base case yet; I need to see the reaction to Moody’s and the test of 6000 first, but it is within the realm of possibility.”

Here is the daily chart since last opex:

We didn’t quite reach all-time highs, but got to 6060, and held pretty close to 5800 with the Moody downgrade!

Now time to look forward to July!