Macro Theme:

Key dates ahead:

 

Founder’s Note:

Futures are flat as we head into July OPEX.

6,300 is the big strike on the board – but only until the 9:30AM ET expiration. At 9:30 the SPX AM contracts expire, which then seems to remove most of the SPX positive gamma, leaving 6,340 as the big 0DTE strike (blue box). To the downside we see 6,280 and 6,250 as support – and we think its likely 0DTE options sellers come out and pad any intraday weakness.

Before you get too bulled up on this, note that the SPY 630 level is likely the upside level to watch, as that is where we see SPY

gamma flip

from negative to positive. This infers 630 is the resistance level for today.

Looking ahead, we’ve been making the case for consolidation into next week, given the call-heavy expiration, rich call skews, and low implied vols. We think this could lead to a 2-3% correction, with eyes on major support in the 6,000-6,100 area.

We’re also into full-on meme-mania with quantum computing stocks firing off on massive options volume, then yesterday it was LCID (+1.4mm contracts) and OPEN (+800k).

If we are wrong on this, and SPX holds >6,250 into next week, then we have to start eyeing upside at the big 6,400 strike.

We’ll close out on this:

Below is what it looks like when traders are pricing a riskless market. All top US ETF’s are in the bottom right quadrant reflecting very low volatility expectations, and call prices rich vs puts. This is implying that being long here is a very crowded trade, and while we don’t think that means a crash is imminent, we do think a correction/shakeout would be a healthy thing for the longer term bullish construct. At a very minimum buying put protection is cheap.