Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are 1.1% higher, with NVDA +4.7% after earnings.

Eyes have immediately shifted to the Sep delayed 8:30 AM ET jobs report.

Quite frankly, this isn’t feeling all that stable, and the passing of the AM jobs report is likely the last “all clear” hurdle before eyes turn to this upcoming holiday week.

On that point of instability, S&P gamma remains negative across all near-term strikes, with the SPX implied open just above 6,700. >=6,800 remains our “safe zone”, meaning dealer hedging flows should be supportive of equity prices if that level is regained. We’d note that the path to 6,800 reads as quite open, as its primarily negative gamma up into that strike.

However, remain vigilant. Above 6,700 we want to lean long and anticipate a stronger move higher, but if SPX moves back <6,700, we’d take that as a meaningful risk-off signal.

In these moments we turn to IV’s as a source of truth. SPX fixed strike vols are generally down 1-2 vol points (thats bullish), but there clearly is some anxiety tied to this AM report. You see this in the SPX terms structure from last night vs this AM, wherein todays IV remains elevated. That said, its not a screamingly high IV, as the 0DTE SPX straddle is $56/83bps (ref 6,715), which, for upside movement that feels about right. A break <6,700 likely pushes that 80bps limit to the test.

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