Macro Theme:

 

 

Founder’s Note:

ES & NQ futures are both -20bps to 5,344 & 19,000, respectively.

Key SG levels for the SPX are:

• Support: 5,350, 5,311, 5,300
• Resistance: 5,374, 5,390, 5,400
• 1 Day Implied Range: 0.58%

For QQQ:

• Support: 455, 450
• Resistance: 460, 465, 470

IWM:

• Support: 200
• Resistance: 205, 210, 220

AAPL WWDC 1pm ET

Implied vols are low for today and tomorrow, ahead of the main event(s) on Wednesday. In addition to the 6/12 afternoon FOMC, we have CPI at 8:30AM ET. As you can see in the SPX term structure, there is a fairly large premium assigned to Wednesdays data points. That leaves options in control of markets today, with heavy price mean reversion likely around key SpotGamma levels (buy rips, sell dips).

Options flows should bring tight trading ranges as the S&P500 is wrapped up in a large amount of vol-crushing positive gamma. Gamma currently peaks near 5,400, which is our heavy

Call Wall

resistance. We think that resistance holds into 6/12, with 5,300 functioning as major support.

Below 5,300

gamma flips

to the negative, which infers volatility should pick up substantially. This likely leads to a quick test of 5,250.

For AAPL, we see the major upside level at 200 (which would be all-time highs & +2% from pre-market $197 levels), with gamma positioning very light above that. There is a noticeable call skew (1-month skew, below) ahead of today’s WWDC, as traders hedge out the right tail risk of AAPL mentioning “AI” several times today (we’re slightly joking). While there is likely some event-vol lost today after this afternoons keynote (i.e. a long call “tax”), we think calls would have to be rolled or added >200, which could create a gamma-led move to 205 – 210. In other words, >200 we think things could get a bit chase-y.

To the downside 190 is first support. There are almost no put positions <180, suggesting that is a major short term low.