Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are +50bps after US & Iran signed a deal.

OPEX today, with a large amount of SPX options expiring at 9:30AM EST, followed by single stocks at 4PM.

7,500 is major resistance for today, and likely a resistance point into early next week. In the short term our read is that traders are likely to step up and sell some vol into the 3-day weekend, which may be short term supportive. That said, we are looking for todays OPEX to mark a short term high given the elevated single stock call skews, skews which may revert with OPEX. Additionally the SPX currently holds negative gamma for today down into 7350, which suggests that if selling starts it could have some legs.

Our base case here is a 1-2% correction. If the rate issue has more teeth, then we watch for 7k area support into 6/30.

Into Wednesday’s close the TRACE projection showed that MMs had negative gamma <7,500 into next week, but for next week that has turned to a mild positive into this AM (black box). This backs that traders are selling some put options into this weakness, but again this is likely a 3-day weekend play more-so some fundamental view on yesterday being a non-event.

Yesterday held a wild amount of intraday volatility after a number of Fed committee members voted for a rate hike in 2026. This pushed the SPX under the 7,500 Risk Pivot, with SPX closing at lows near 7,420. The Iran deal overnight pushed futures higher, but we are left with SPX vols that are ultimately higher after VIX exp yesterday AM, but also a less stable gamma regime going forward. This all counteracts against traders who are likely to want to sell short dated options into the 3-day weekend. You can see in the fixed strike vol matrix that SPX IV is lower into this Mon/Tues expirations, but higher for all expirations past that. SPX vol shifting higher with elevated single stock IV is what brings “correlation spasms”, and we seemed be on the precipice of a spasm before the Iran kick-save.

The FOMC has placed much more focus on the macro rate picture, as seen in the Forward IV of SPX. You can see the FIV peak is now higher vs Tuesday PM (gray) which is a sign that the market is assigning more vol to macro datapoints ahead.

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