Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are up 35bps. CL is -3% to $90.

Positive gamma continues to dominate the SPX. 7,500 is the major support level. Vol continues to drip lower (equity bullish), in correlation with lower oil prices. Meanwhile, the “meme’s keep meme’ing” with the likes of MU +20% yesterday, entering the $1 Trillion Club, and its up 7% premarket!

Clearly traders are still focused on right tails, amongst a supportive gamma regime. MRVL reports tonight.

Back to MU, it’s up +860%… in the last year.

The options IV is obviously 100% rank, as is the skew – not just for MU but anything near the sector (top right of Compass). Shorting the stock, or shorting the vol has essentially been a death sentence. It will pay the piper at some point. We can’t help but to keep locked on this SPACEX IPO as a major turning point in this regards. The idea being that the market needs a lot of liquidity for this IPO, and so other things will have to come for sale to fund $1.5-$2 trillion of SPACEX. On this topic, the Russell just confirmed it changed its indexes to allow for buying the SPACEX IPO, but “no sooner than 5-days” after launch. SPX and NDX are expected to make similar changes.

Despite these semi-AI names going ballistic, general mega-caps have remained somewhat contained, and so the “overbought via calls” situation remains on the sidelines. To frame this we see COR1M at ~10, which is well above our <8 “risk off” level. That being said, the call prices in QQQs are getting notably rich as we see high IV and high relative call values. Historically you only see an IV Rank of ~50 in QQQ when stocks are crashing violently lower. So this is really odd.

We certainly don’t want to pile into shorts here, but we do want to start thinking about adding some +3 month out downside lotto tickets as we add more and more signs of froth.

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