Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are off 50bps, although the were initally flat on rumor’s of an Iran deal. CL (oil) remains near war-highs at +114.

The Iran-deal headline spike and fade is the market telling you it wants a reason to rally but doesn’t trust the source yet. With Trump’s 8pm deadline tonight, we’re likely range-bound until then. The asymmetry

here favors single-name expressions over index — Mag 7 vol is still cheap relative to SPX, and a deal/no-deal binary resolves better through individual stock moves than through an index that has a fairly large 0DTE magnet at 6,600.

SPX gamma resistance has slid up from 6,600 to 6,675, with negative gamma persistent from 6,600 down to 6,450. We also note that there has been a condor seller back in the market – yesterday at 6,600 and 6,650, and today we see them back at 6,600 x 6,500. A break sound of 6,580, with large HIRO negative values could push the Index down to 6,500.

Our signals paint a market in transition. Asset correlation is elevated, with equity-bond correlation at extremes — i.e. stocks and bonds moving together, which historically signals macro-driven tape rather than micro stock-picking. This is not “new news”, but speaks to the idea that oil remains the dominant theme, despite the apparent break in correlation over recent days (i.e. CL +10% while equities flat). We take this as the market still seems to think a deal gets done.

Equity dispersion is at the 95th percentile, meaning single stocks are moving independently of the index. An Iran deal would drive dispersion lower, and we’d likely see a bid to stock calls and selling of index vol.

This is exactly why we favor single-name options: the index is suppressed by hedging flows, but underneath the surface, individual names are making real moves. In line with this we see single-stock put demand is low — a signal that nobody is hedging individual names, which syncs with Mag 7 vol being interesting as a tactical entry. On this same topic, if the market thinks a deal gets done, then then single stock calls may be a big bargain here.

Bottom line: the market in 0DTE space is coiled between condor-seller support and gamma resistance above, waiting for tonight’s headline. With the deadline at 8PM, we think you today use the 6,600 6,675 range. Out past today we want to express any directional view through single-name options where vol is underpriced.

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