Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are +35bps higher as the Iran situation has eased, and after TSM is +5% post-earnings. This has high-flying tech names like MU (+2%), SNDK (+5%), LRCX (+7%) flying premarket.

Jobless Claims are at 8:30 AM EST.

The S&P has essentially done nothing over the first 2 weeks of 2026. We threw a risk flag on 1/9 due to ultra-low COR1M, with our key risk-off level being 6,890. SPX did move a mere 30 bps lower, and vol was certainly bid since then, and our key 6,890 level was tested yesterday, but bears failed to inspire a break of our Risk

Pivot.

Now, with the Iran situation cooling and positive earnings data we see the SPX back into the middle of its 14-day range (6,950) and VIX down to 16.

Further, if you look at the SPX GEX positions, you see positive, supporting gamma (blue) across nearly all strikes, suggesting there is no negative gamma in the 6,900’s to help drive trending price action. Given this we must continue with the monotonous view of remaining long of equities while SPX is >6,900, and leaning short if SPX <6,890. Said another way: >6,900 = Buy the dip, sell the rip.

While the cooling in Iran helps to reduce some vol-inducing anxiety, there are still events next week and into month-end that are inducing some consternation. We see this in forward implied vol (light teal) being higher than SPX term structure (teal). This means the market expects higher volatility in the future than what is currently priced, often due to anticipated events, uncertainty, etc. This is important because it likely signals that a full vol crush is unlikely until events like FOMC pass, and that in turn signals a full “risk on” and break >7k on hold.

COR1M did also pop back above 11, and while we don’t want to over-index to a specific index, its movement signals some of the imbalance of single stock vols relative to index was alleviated. That said, the TSM earnings and related pop in tech names may plunge correlations back to extremes – particularly with earnings picking up into 1/28.

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