Macro Theme:

Key dates ahead:

Founder’s Note:

ES is up +1%, NQ 1.75% after strong earnings from AMD & an alleged “final deal” between US & Iran. With that, Oil is down near $90.

VIX, at 16.4, marks lows not seen since the start of Feb. 1-month SPX RV is near 12%, and so we think VIX could trend another 1-2 points lower (i.e there is a bit more vol to squeeze), which further aids stocks.

TLDR here is that the dynamic of vol crushing, inspired by Iran “maybe a deal” and the earnings crushing is a tide that is hard to fight. Dealer positive gamma in Index and equities should also keep the “buy the dip” in tact, and we see little change for this into May OPEX (~10 days from now).

7,350 is the clear overhead resistance for today, as shown in TRACE. This resistance is but one heavy positive gamma cluster against a map that shows large positive gamma across all nearby strikes. There is currently no clear support level, but we’d anticipate 0DTE players to come in near 7,300 to offer some put-selling support.

AMD reported last night, and the stock is +20% to 425! Thats a full 110% since April 1. That has sparked additional premarket gains in related names, which we already up big yesterday: MU, INTC, SNDK all up 6%.

Looking at the current calendarized gamma map of AMD, we see that dealers were flat to mild positive gamma from ~380 up to ~420. We note this as ~420 is where the stock has hit overnight resistance – for now.

If these AM gains hold in these names it means MU + 105%, SNDK +150% and INTC + 160% since Apr 1.

Note ARM reports tonight.

The call volumes yesterday in these top AI-related names was intense. Below we have MU, INTC & SNDK which traded more call volume than SPY. These gains, and the call IVs are immense, which makes further participation here an expensive bet. That said, the narrative for these top AI-related names is so strong, and the moves keep getting reinforced by earnings. We find that you can structure some longer dated wide call flies in these names for quite cheap.

Call volumes outside of this cohort were actually very average, suggesting the rally wasn’t very broad. We suspect that more names will exhibit higher call volumes today vs yesterday given the Iran news. This seems like a market which traders will now search for the laggards and bid them up, which likely keeps a focus on tech, with SPX “positive drift” coming in from tech gains and VI crush.

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