Macro Theme:

Key dates ahead:

Founder’s Note:

ES is up 70bps, indicating fresh ATH’s. Crude is down 3% to $92.

S&P is again draped in positive MM gamma, suggesting dealer support. 7,500 & 7,475 are the key support levels. On this topic, we maintain our Risk Pivot at 7,390. While that is 1-2% below current prices, we think that any dips into that level will be bought.

Looking at today’s bump, its clear that oil traders are less concerned about the Iran situation even though no deal has been announced. This, in turn, allows some of the vol risk premium from this weekend to be sold off, which explains the equity boost. “Vol cover” may make these fresh highs come under some pressure after the open.

We’ve twice seen the move over 7,500 come under intense 0DTE negative delta pressure (i.e. negative HIRO). As we discussed on Friday PM, Friday saw the largest ever negative HIRO reading in the S&P500 of -$16bn. This flow showed essentially as a fund rolling/TWAP’ing 0DTE risk reversals – presumably against some other type of position. We suspect this may have something to do with the large non-0DTE short call positions that rest >=7,500, the biggest of which is the 30k call spread at 7,500. There was also, on Friday, a bid to put skew for this weeks exp which we think was Iran hedging (part of the unwind for today).

Thursday the 14th was the last time we saw massive 0DTE call positions and an unusual move higher. The high of that move corresponded with the exact time of the CBRS IPO (~1PM EST), at which point massive long HIRO/delta sold off.

Conspiracy and 0DTE dynamics aside, as is typical of recent markets we see the top 100 S&P500 stocks generating large positive gamma. That thick positive gamma (dark blue) remains in place through this week. Given this S&P index and single stock position(s), we think dips are going to continue to be bought.

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