Macro Theme:

Key dates ahead:

 

Founder’s Note:

Futures are 20bps higher, with JOLTS at 8:30AM ET.

Overall positioning is light. SPX gamma above is largely negative to 6,850, which is resistance for today. 6,800 is key support, with mild positive gamma at that level. 6,775 remains our Risk Pivot, with a break of that level likely triggering a larger downside move to 6,700.

We find SPX vols >=1-week very much unchanged despite yesterday’s sharp afternoon selloff, as SPX still holds the 6,800 level. Short dated IV’s are up a bit in anticipation of incoming data

Here we show the event volatility premium tied to upcoming data, wherein we see both PMI and PCE commanding a mild premium this week, with next weeks CPI/FOMC and PPI/NFP prints drawing larger relative consternation. This lines up with our forecast of sticky vol/chop into next weeks FOMC, which can be the clearing mechanism for elevated vols and offer a final year end move to 7,000. As long as SPX is above our Risk Pivot, currently 6,775, then we favor this upside move.

On the singe stock side, there is a lot of dispersion. Some top names are holding fairly bullish stances (right side of Compass), and some bearish (left side). MRVL & CRWV report tonight, with ORCL on 12/9, both of which can be triggers for the semi/AI trade.

There are two interesting trades we are looking at. First, SLV (yellow), we are looking at buying put flies to bet on mean reversion in SLV price as well as implied volatility contraction. As you can see, the IV is near 100% rank due to upside movement in SLV prices.

Second is MSTR, wherein call flies are interesting, as a bounce in the stock could lead to gains and contraction in volatility, too. We do not like the short puts & short put vol in MSTR due to the wild dynamics & related downside risks in play.

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