Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are up 20 bps ahead of 10AM JOLTS.

Today is the last day of June, and so its quarter end, too. Be weary of unusual flows around portfolio adjustments – some of that we think explains yesterday’s AM “drop and pop” as AI-related names tanked relative to Mags. That down move did not seem to have related options flows, but options did but the dip in size (see y’day note).

We will also see a new JPM collar trade enter the market. This is the first time the trade is going to be rolling off of the ES futures positioning, not SPX. Given this, we should still see the S&P500 HIRO (which includes ES options) indicator reflect some large/quick trades around any prints, which likely comes around 1pm EST. The value of the old structure is 0, so this is simply an exercise in managing the initial delta of the new structure. Historically this was done with a deep ITM 0DTE SPX call, we will see if that tool is used again today. The bottom line is that if you see some large, unusual SPX/ESF related trades, that signals “collar time”, and we’d generally want to play mean reversion on any major collar-related moves.

JOLTS today, ISM tomorrow, and the big data is NFP on Friday. They market is hedging these data points as idiosyncratic events, and each one that passes without issue should allow vols to sink ahead of the 3-day weekend. That should be supportive of stocks, as we opined yesterday. You can see how low the Monday IV is on a relative basis which displays the desire to smash vol into the weekend.

As far as key levels ahead, 7,485 and 7,500 are the big upside zones for today as you can see that is where peak SPX gamma sets in. 7,550 is the major level into Thursday PM. 7,400 remains downside support, and now you can see we have positive gamma at all strikes to 7,000. This is just not a very “crashy” setup, put we do go risk-off is SPX <7,380.

Mixed in with the holiday-related vol crush, is the “overbought calls” dynamic that is marked by COR1M going <8. We have persistently said that we want to add downside protection when COR1M goes <8, and that has proved to be valuable. In this case, we may elect to add some small July 17th or Aug SPY puts, but we hesitate to initiate a larger downside bet due to the holiday-week dynamics, carry cost over the 3-day weekend, and our feeling that equities may add another +1% rally if this weeks data is benign. That being said, this is a setup which needs a trigger to cause a spasm, and a hot jobs number, or out-of-bounds ISM number could create such a trigger. So we will look to add a few cheap SPY put spreads today, and lean more into such a short on Thursday if the market rallies higher.

Lastly, we are seeing the AI-leading memory names starting to lose their call skew for the first time since the rally started in April (red on bar plot below). You can see that here in 8/21 skew from last week (teal) vs today (gray). Given these are the leaders of the upside, and have infected QQQ vol to rip higher as stocks ripped higher, we now thing that QQQ vol may start to come in. We suggested this yesterday, and feel that this lower single stock vol offers a decent short QQQ vol trade setup.

©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/