Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are +80bps higher, sitting on the 6,650

Call Wall.

Vols are down across the board, with the VIX -2 pts from pre-FOMC to 14.7.

TLDR: We still think sneaky move into Friday to 6,700 is possible, then correction next week (i.e. reversion from overbought). We look stay risk-on with SPX >6,600. The possibility for a larger down move post-9/30.

We still have net negative gamma above, which implies a chase dynamic into 6,700. Further, the overnight move of 80 bps in SPX is a 13-14% implied vol, with all ATM/near the money IV’s at 10-11% (yes, all pre-9/30 ATM IVs are 10%’s). So negative gamma + IV’s underpricing the catch-up may keep 6,700 on as a short term target (1-2 days). We’re also looking for 1-2 days of meme-mania/thematic single stock chasing: TSLA +430, IWM +1.5% premarket, BTC +1.3%, etc.

If the “chase into Friday PM” plays, then we’d have a pretty stretched market into Friday’s OPEX (up 4-5% in 2 weeks) with IV’s dead. That is a recipe for short term consolidation next week.

SPX fixed strike vol, while low, is curious. All pre-9/30 expiration IV’s are off more that 1 vol point vs Tuesday night (pre-FOMC), while post 9/30 are more flat. 9/30 is month end, but it also holds the massive JPM collar position, which in theory has dealers loaded up in gamma. We need to keep eyes on 9/30 as a destabilizing date as this positioning could roll off.