Founder’s Note:

ES is up 0.2% to ~7,036 this morning after yesterday’s record close at 7,023. The S&P 500 breached 7,000 for the first time, recovering all losses since the Iran conflict began. VIX at 18.1, down again. Oil has settled to $92 WTI — a far cry from the $99 levels a week ago. This morning is data-heavy: Retail Sales, Jobless Claims, and Philly Fed all hit at 8:30 AM.

Bottom line: The dealer gamma position just flipped to its most extreme long reading in our dataset — P98. This is the single biggest signal change this week. With OPEX tomorrow, dealers are now massively long gamma, which means they sell into strength and buy into weakness — the market is blanketed in a dampening effect. This sets up a grind/pin scenario into Friday’s expiration. The base case is SPX stays in the 7,000–7,040 range unless today’s data or geopolitics delivers a shock. Stay with the index vol sell / single stock vol buy structure — this is the last 24 hours where that trade has maximum gamma tailwind.

Signal reads:

Composite regime Neutral (-0.12), masking stark divergences.

• Dealer gamma at P98 (new extreme) — this jumped from P58 two days ago to the 98th percentile. Dealers are now as long gamma as they get. This is why yesterday’s session ground into the close rather than accelerating — every rally got sold, every dip got bought. Expect more of the same today, especially with OPEX tomorrow compressing the gamma effect into an ever-shorter window.
• Firm gamma at P1 (persistent) — institutional accounts remain deeply short gamma. This is the tension: dealers are dampening, but firms are exposed. If anything forces a gap — a hot retail sales number, an Iran headline — the firms chase and you get a burst move through the dealer pin. The intraday vol ratio (P2) confirms this gap-prone environment persists.
• Stock-level put flow at P1 (persistent) — virtually no one is hedging individual stocks. This deepened from already-extreme levels. Combined with customer put sentiment at P20, the single-stock hedging picture is as bare as we’ve seen it. This supports the single stock vol buy leg of the trade.
• Equity-bond correlation at P96 (persistent) — stocks and bonds continue to move in lockstep. This is a macro-driven tape. Until oil and the Iran situation fully resolve, diversification isn’t working.
• Realized vol trading below VIX (P11) — VIX is now at a discount to what the market is actually doing. This is unusual and suggests the vol surface has been overcompressed. If realized picks up — from today’s data or a headline — VIX could snap higher quickly.

Data & earnings:

Bank of America beat this morning — $1.11 EPS vs. $1.01 expected, on $30.4B revenue. The war-driven trading bonanza continues. TSLA is ripping +7.6% premarket on Musk’s AI5 chip announcement. NVDA is on its 11th consecutive daily gain.

The morning data dump matters more than usual today. With the market at all-time highs and no put protection in place, a hot retail sales print or a claims spike could trigger repositioning through an otherwise pinned market. The Philly Fed survey is also worth watching given the Fed’s latest Beige Book flagged “slight to modest” growth.

OPEX Friday — tomorrow:

April monthly expiration is tomorrow. 7,000 is the obvious pin magnet — massive psychological level with likely record open interest. The P98 dealer gamma reading means the pin force is at maximum strength going into the final 24 hours. Gamma rolls off after Friday, which means next week the dampening effect disappears and the market becomes more vulnerable to directional moves — particularly with firm gamma still at P1.

Key levels:

• Resistance: 7,040–7,050 (extension of ATH zone)

• Pivot: 7,000 (OPEX pin, bullish above, bearish below)

• Support: 6,950 (yesterday’s pivot), 6,886 (pre-war close), 6,825