Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are flat after Trump rejected Iran’s latest peace proposal. CL is +2% to $98. VIX is at 18.

It is a huge week, with CPI tomorrow AM, China/US meeting on Thursday. That being said, the market is pricing most of volatility for 5/21 NVDA earnings (earnings reports on 5/20).

As for today, there is no real risk and so the 0DTE traders have layered in a series of puts <7,390. Given this, we do not anticipate much downside volatility for today. To the upside we currently see negative gamma, and would anticipate 0DTE call sellers stepping in at 7,420 & 7.450, which would offer resistance.

Last week we suggested that upside volatility should start to contract into this weeks OPEX and next weeks VIX Exp/NVDA earnings. We are seeing that across all major stocks with the exception of AMD/MU/SNDK – which all surged +10% on Friday and are up another +5% premarket. Those stocks are enough to keep the index afloat, apparently. Outside of that thin set we see traders still bidding calls across the other major names, but the IV is coming in (lower on the Compass grid). We continue to like playing “catch up” in some of the underperforming tech names this week, and then will focus on higher volatility plays into end-of-month. “Higher volatility” works both ways, as positive NVDA results and an Iran/China deal(s) could easily spark another leg higher – just as this market seems in need of some downside consolidation.

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