Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are off 50 bps with PPI at 8:30 AM ET.

Post earnings:

INTU: -3.4%

ZS: -9.6%

CRWV: -11%

There were very high +80 IV Ranks for INTU & ZS, CRWV was much more normal at 50 IV Rank. Software via IGV -1% premarket.

The gamma map for today is unchanged from that of recent weeks: positive gamma resistance >6,900, and negative gamma <6,900 into the 6,700s.

With PPI on deck, we are seeing a very mild bid for short dated puts, and call skew is offered. Selling calls into The 0DTE straddle is cheap at $45.5/66bps (ref 6,885). Why is 66bps cheap? Check the vol we’ve been seeing: 5-day & 1-month RV is 12% = 75bps daily moves.

The takeaway here is that while the SPX cannot seem to stage a rally, there remains no real fear about a broader selloff. Our Risk Pivot remains at 6,900 – but we will likely look to play a tradable bounce if the SPX revisits the 6,850 area. If the SPX does manage to break <6,800, we would be looking to add to downside plays, with short term 0DTE negative gamma into 6,750, but longer dated negative gamma building into the 6,600s.

There was a lot of reaction to NVDA’s earnings, as AI and related sentiment seems quite dour. Its an interesting extreme because new and amazing tools are launched each day. On this topic, NVDA saw a very strong post-earnings IV crush despite the fact that the stock was down 15%. Here is the day/day change in fixed strike IV, and as you can see vols dropped 7 – 20 vol points across the next several expirations.

If you zoom way you to see more strikes, you see the put skew was hit the most, as shown by the left side of the map showing the brightest red. If traders think that NVDA has committed massive fraud (lol, just peruse X on the topic) and/or has reached its zenith – well that isn’t being reflected in put prices. The takeaway here is that this looks like pretty standard post-expiration stuff, in a name that exhibits a lot of positive gamma.

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