Futures were flat overnight, currently holding 4785. The overall options landscape remains similar to yesterday, with our models forecasting a slightly tighter range of 0.51% (open/close). 4800 SPX is still the largest gamma strike on the board, with support showing at 4781. Resistance lies at 4817 (SPY 480 equivalent) and 4831.

The volume at 4800 was dominant yesterday, but that did not translate into a significant change in open interest. Nor do we see much of a build at strikes >=4800(or 480SPY). It is important to note that the Call Wall did decline to 4800 which we consider a bearish signal. This reflects limited upside call appetite, as it appears more of the focus is on sector rotation which results little S&P change.

Our models have been looking for a push higher in the S&P based on the reduction in gamma (less resistance) and a decline in implied volatility (vanna fuel). We see little reason to shift from this view despite the S&P’s stalling just under the 4800 level. That being said, the upside of our range is now 4820 (SPY 480 Call Wall) vs 4850 (y’days Call Wall).

This churn under 4800 should weigh on realized volatility, which remains elevated. This past week of rather benign S&P returns should serve to pressure realized volatility, which can help to drag implied volatility lower (there are funds that use the rolling realized vol window to price forward volatility).

We’d also note that there is little interest in downside hedges – which suggests little fear. Much of the tech & meme flow seen in our intraday metrics was call options being sold. This produces negative delta pressure on stocks – but that pressure subsides rather quickly (compared to puts).

4745 remains the critical support level – we give markets a bullish edge as long as that level is held. Beneath that strike we see dealers shifting to a negative gamma stance, which could invoke increased selling and a quick test of 4700.