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Futures are flat with no major data on tap.

The early read post-OPEX shows an SPX that is supported by positive gamma, which infers price stability. With that, we continue to maintain our Risk Pivot at 7,475. That level was tested several times on Thursday as large options positions rolled off the books. The takeaway here is that we await a short signal, which is triggered by SPX <7,475, while respecting the odds that the market thus far today looks poised to be stable.

On the volatility front, we argued that the vol sellers would step up into the 3-day weekend and there is evidence that was the case. you can see Thursdays closing SPX ATM IVs (gray) were lower than Wed, and today is well bid (as it typically the case on Monday). This Monday bid likely gets trimmed a bit, but may not fully come in until the clearing of key economic data this week (6/25 PCE).

Positive gamma and volatility shifts play against a very stretched single stock call position. The bid into calls has pushed the COR1M back to 8, as we again see a big bid to AI stocks this AM (INTC +3%, SNDK +4% etc). This creates the conditions for “spasms” as we saw earlier this month (ex: June 5th 5% NDX decline). We have been vocal about looking for a post-OPEX correction, with a baseline of a 1-2% decline, while keeping an eye on something more substantial into the 7200-7k area (5-7%) into end-of-month which is on the table given this correlation picture.

What could trigger a spasm? As we discussed last week, eyes are now on the economic data as the state of rates is in flux. 6/25 is the key near term date on that front, with CORE PCE. Rate expectations shifted after FOMC (which itself got “spasmy”), with probability of changes for the Oct meeting shown here. You can see a week ago (pre FOMC) odds were for no change (350-375), but probability has now shifted to a hike.

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