Macro Theme:

Founder’s Note:

Futures are flat ahead of 8:30AM EST PCE.

NVDA reports after the close – please see our report here. The key thing here is that call skews are rich, and put skews are cheap. Options suggests short term upside resistance/mean reversion >=$220, with support at $200.

Today’s 0DTE straddle is a paltry $25/32bps ref 7,670 which implies this AM’s PCE is a non-event. Contrast this to the extra 1/4% of movement being priced in tomorrow due to NVDA’s ER, tonight, and an extra 1/2% of movement on Friday due to Jackson Hole.

For today, negative gamma exists to the upside (red). If PCE is indeed a non-event, then we’d look for drift up into the 7,700 strike. Conversely traders are short puts <=7,660 which supplies dealers with positive gamma (blue). This should bring support to the SPX. With NVDA tonight we are expecting a somewhat muted reaction, too, until the clearing of Jackson Hole on Friday, which likely sets up a price trend into Sep 18th OPEX.

If you look at single stocks, in aggregate dealers remain long gamma in those, too (blue on the map). This all suggests the SPX is well supported, and it will take a real PCE/NVDA miss to drive market downside. That’s the story for today/tomorrow. With Jackson Hole, though, you could see big rate shifts, a spike in vols, etc and so this support is maybe not enough if (and thats a big “if”) Warsh comes across as hawkish.

Our plan here remains that we’d look to own small lots of cheap OTM 0DTE put flies into Friday’s event, in case of a quick downside stock move. The bigger trade, we think, would be leaning into SPX upside out of the JHOLE if/when rates come down (which releases equity vol lower) out of Warsh’s 10AM EST speech.

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