Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are up 10 bps, with no major data on deck.

There is a solid +$5bn of positive gamma supporting the SPX into tomorrows FOMC. With eyes on that event, plus VIX expiration in the AM, we anticipate a fairly range bout session for today. Note the biggest strike on the board is at 7,570, but that appears to be a flex option that expires at 9:30AM EST (thus the dark blue “flame” that disappears at 9:30). Assuming FOMC is benign, we think the bulls will take one last shot into a 3-day weekend to sell vol/bid stocks.

We are now seeing a massive call chase, into a giant expiration. That means we are seeing a setup similar to early June, wherein we incessantly complained about the overbought call conditions and <8 COR1M being signals of spasm risks.

Here we see major stocks again clustering to the right of this map, most notably the high QQQ call skew/IV, showing that indeed traders are piling into calls.

COR1M is itself an 8, after a dramatic post-Iran-deal-bid, but that focuses on stocks in the S&P500. When you consider that the surge is mainly tech, its likely the overbought condition is heavier. That being said, the NDX IV is higher on a relative base vs SPX, which changes a NDX-type correlation chart.

Ultimately we are seeing calls skews bid in strong style, into both FOMC tomorrow and what sets up to be a very large quarterly June OPEX. If COR1M goes <8 into Thursday’s close, we think it could be a strong short signal.

SPCX options start trading today, with standard monthly expirations listed, and strikes from 25 to 380. The stock is $205 premarket, after overnight highs near $220. On Friday’s OPEX Effect, and in yesterday’s Q&A, we unveiled our “squeeze-em” theory which amounts to SPCX having very low tradable float, and what could be heavy call buying today. That idea seems to be hitting the interwebs today, with meme-type accounts making notes of it. Between the levered long ETFs and 6/18 listed options (tomorrow), we think there is a good chance that the squeeze is on. Next week the index funds may start to get involved (RUT), with NDX slated for July. We think this means the vol comes for sale after an initial pump.

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