Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are off fractionally, with the S&P set to open just above the 5,900 pivot.

JOLTS at 10AM ET.

Very little has shifted from our note yesterday wherein the 5,900 level remains the key pivot/high gamma area. We also note that while yesterday’s rally extended above 5,900 to 5,936, futures re-tagged the SPX 5,900 area overnight. Vols are also very much stuck at previous levels. The other signal that futures may retrace some from yesterdays closing high was that yesterday’s rally was primarily a 0DTE construct (read here).

The one interesting position update for today is Captain Condor, who is in with a ~2,200 lot 5,960 x 5,955 call spread vs a 5,915 x 5,910 put spread. We would look for the SPX to tag one of these two levels today – possibly driven by a mild reaction to the 10AM ET JOLTS.

There are two other interesting dynamics.

First is SLV, which as mentioned last night is nearing a 5 year breakout, and the call skews are starting to pick up (yellow box). This isn’t a strong call-selling opportunity, but if they juice this a bit more then we may be interested. Right now is positioned at that dangerous “gamma squeeze” position wherein call prices are getting hot, suggesting the crowd may be setting its sights on new highs. We would note that we saw a similar setup in IBIT/BTC a week ago – but that did fade from 110k highs in recent days.

Second, and more broadly, sector ETF’s are all in the put-skewed but low IV area of the Compass map. This suggests that calls are quite cheap, particularly if you are trying to hedge the right tail. Puts/put spreads don’t seem too rich either – it just depends on which tail you are going for.