Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are +80bps, with no concrete news attributable to the rally.

Earnings kick off today, which should provide real data points to price from (per yesterday’s note). Top-premarket earnings movers so far show a mixed-bag (no tariff-related shock and awe):

• PNR +7.3%
• DHR +3%
• MMM +3.4%
• GE +2.8%
• PHM +1.2%
• LMT +1%
• RTX -4%
• KMB -4.7%
• VZ -4%

We quite frankly have little to add to our recent views, and as boring as it sounds, we are left sitting on our hands:

• Options support and resistance continues to only really show at <=4,800 & >=5,400. Inside of that is a negative gamma “no mans land” where price can “fly freely”. Be weary of trying to assign narrative to movement inside of that range
• Vols are elevated, but not particularly rich given how much realized vol we have (1-month SPX RV = 47%). We need higher IV’s and/or skews to justify selling options (i.e. we need more risk premium)
• Single stock plays should start to emerge into earnings season
• Bitcoin vol seems to be cheap to us, and GLD vol seems to be rich. We have a light position in short ~1-2month GLD calls and long IBIT calls

On this theme of “little to add”, the SPX has ultimately done nothing over the last 3 weeks. It has traversed a 600 handle range over that time, and dealer positioning should produce flow to facilitate further 3-4% daily moves. 3% daily moves is an annualized IV of ~45%, which justifies a +30 VIX. This again implies that VIX/IV is fairly valued.

TSLA is the big earnings for today, with the implied move at ~9%. That is in line with previous earnings, and also in line with previous reactions. If you look at 1-month skew, you can see we are pinned near the top of the statistical range (green shaded area), but there isn’t anything particularly exceptional about the pricing. 1-month realized vol is 106% & 1-month IV is 71% which suggests that IV is maybe (overall) a bit cheap, but that realized vol was marked during some of the biggest moves in history.

That sum here is that we see nothing to really try and play – and that generally is our take over most of the equity landscape. We need some type of move to dislocate price/vol to open new trading opportunities. Cause right now – we just don’t see it.