Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are flat, with NVDA up 50bps after earnings last night.

CRM: -3%

ZM: -3%

Risk Pivot raised to 6,900 from 6,800.

The big development in options land is the removal of positive gamma that has been persistent in the 6,950 to 7,000 strike zone. The only positive gamma now present is up near ~7,100, and even that is pretty mild. Further we see a chunky 20k OI negative gamma strikes – these are 0DTE long buyside bets (MM short). The implication is that there is no lid on this SPX at the moment, but we’d imagine that any upside test of 7k is met with call shorting.

To the downside it’s negative gamma down into 6,800, but we’d note that we haven’t seen much positive gamma below for some time.

Overall this looks pretty bullish, and as long as SPX is >6,900 we won’t argue against that.

Looking at the volatility space, we see vols lightening up, which backs the bullish sentiment. Below is 3/27 exp skew from Monday (gray) vs today (teal), and you can see a decent 1 vol point decline. That’s not going to show up on the morning news, but its a sign that bulls have a tailwind.

We pointed out on X yesterday that the “most viral blog post of all time” may have marked a major low in software stocks. We of course are not CMTs, but this has been “support” for the IGV (software ETF) over the last year (red line). It would just be an amazing thing for everyone to freak out about something at the absolute low – that hasn’t happened before…has it?

If you look at the software vols, we obviously still see some very high IV Ranks, but those should come down today now that some earnings have passed. We’d argue lower IVs in this space generate a bullish tailwind, and we also see some movement from left (put-heavy) to right, towards calls. IGV doesn’t have the most consistent vol surface, but you can see the 3-day history via the Compass line.

On this topic we made a point of calling out the CRM ultra-high IV play into earnings yesterday, and it may be worth playing similar short volatility trades in INTU (+80 IV Rank, 7.8% est move). CRWV has a 14% implied ER move, but the IV Rank there is only 50. Here is a rough framework for looking at these trades.

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