Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are off 20bps. Cl is +2% to 91.

For today resistance is at 7,535 then 7,570. Support is at 7,500, then 7,475. Note that over the last 1-2 weeks each time the SPX has probed the 7,550 area, big negative HIRO values have come in to push the SPX back towards 7,500.

Gamma remains in place to buy the dip/suppress vol. As of now that huge positive gamma remains in place through tomorrow – and we all know the 0DTE crowd comes in to offer more options to the dealers (i.e. more positive dealer gamma). We continue to speculate that its the SPACEX IPO which may offer a change in positioning.

Interestingly we were speaking with an sell side oil trader last night, and we asked “1) Is this Iran situation a real problem for energy (equities say “no”) and 2) When is the point the problem can’t be ignored?” His replies were “yes” and “mid June”. Interestingly, that lines up with the 6/12 SPACEX IPO…toss in the massive Jun 17th OPEX in that same time frame.

Aside from oil speculation, and with the SPX positive gamma, we continue to see large positive gamma for single stocks. This too infers support (dark blue) for the equity market. As far as we can see the support seems stable until June OPEX. Of course, if Iran heats up before then traders will have to go from “absent of puts” to adding hedges. This could change the gamma maps for SPX and single stocks rather sharply. Until then, party on.

This positive gamma is contrasted against the “getting stupider” moves in a shrinking set of AI-related names. The megacaps are largely tired & mired in the positive gamma (charted above), while memory names keeping some huge upside momentum going. What we are seeing now are the idiosyncratic late-stage chasing in 2nd and 3rd tier names like IREN (+7% y’day) and today its drone stocks (RCAT +19% p’mkt).

See below the previous belles saw peak call volumes about 2 weeks ago, with those volumes largely subsides. The standout, of course, is MU which is just putting up insane notional values. In fact, through the first 45 minutes of yesterday’s session MU had traded more premium than SPX!

That brings us around to the second idiosyncratic risk to this market (Iran->energy->rates being #1). That risk is anything that dents the AI narrative. Traders are all piled into the upside projections, which are all uniformly rosy. This has led to the levered upside bets in these AI names, which is jacking up call skews for these tech names. You see this in the red chart below which shows the skew rank. We are now at the highs of this metric – even above the insane period of July 2024 (back when Jensen was signing women’s shirts). We are not here to comment on the future of AI, but the rate of change to the upside, driven by ferocious call buying…well, that’s a problem. Maybe not “today’s” problem, but one that will very likely manifest.

©2025 TenTen Capital LLC DBA SpotGamma

All TenTen Capital LLC DBA SpotGamma materials, information, and presentations are for educational purposes only and should not be considered specific investment advice nor recommendations. Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one’s financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. VIEW FULL RISK DISCLOSURE https://spotgamma.com/model-faq/disclaimer/