Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are off ~20bps. CL is up 1.5% to $101.

Starting with vol – while the VIX is pressing 20 but we do not see any lift in fixed strike vols. Here below is 10/22 (gray) vs this AM (teal). We note NDX vols are down a touch. This is a good signal for bulls, but we remain risk-off until/unless the SPX crosses back about the Risk Pivot.

The SPX is below our Risk Pivot, but for today we note 0DTE traders have come in to supply positive gamma from ~7,600 to ~7,450. This “positive gamma below from 0DTE” dynamic was also in play yesterday, and seemed to mark SPX lows. you can also see light positive gamma in the 7,700’s extending out into next week. We view this zone as first resistance on any snap-back.

The other thing good for bulls is that “rotation” still underway. While tech was getting crushed yesterday, several sectors made highs including healthcare, financials, staples, homebuilders.

RSP was up 75bps yesterday, vs QQQ -286. This actually has been a positive edge for QQQ, as you can see below.

Some of this rotation seems to be aided by lower US rates, as the 10Y dropped sharply from 5.3% to 5% in the last 1-2 weeks. Financials, homebuilders, etc have rallied in kind. While we certainly don’t do macro around here, we can’t help but point out that the US drop in rates has coincided with the death spiral in France. Below is France 10Y (candles) vs US 10Y (blue), and you can see the very sharp correlation between the two up until last week, wherein the French riots picked up, and things started looking rather bleak. We present this to open this question: if US rates are down on capital flight, how sticky are those lower rates? And, if traders are buying stocks based on lower rates due to capital flight, how well supported are these stocks if US rates reverse? All of this comes further into play with FOMC next week.

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