Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are off 30 bps.

Support: 6,010, 6,000

Resistance: 6,055

Little has changed to the overall picture ahead of the last weekend of 2024.

The S&P500 has been churning under the massive 6,055 strike, which continues to have a massive amount of positive-gamma pinning-power into 12/31 exp. Today TRACE reflects ~$150mm of positive gamma around 6,055.

If we look back on 9/30 exp (last q’rly exp), the 5,750 (JPM call) was pulling $1bn of positive gamma. Through that lens, as we “decay” toward 12/31, the gamma of that 6,055 strike should concentrate – increasing its pull.

This could be particularly true as other flows subside into the New Years holiday. We hold this view until/unless the SPX breaks <6,000, at which point we’d shift to a risk-off stance.

There are indeed large positions at 6k, 6050 & 6,100 which help to invoke some positive gamma. However, the 6,055 is such a dominant focus here because that position is nearly 100% a dealer long call (JPM short), and 100% of that expires on 12/31. Outside of the JPM position, there is little expiring on 12/31.

The bulk of positions at 6,100/6,050,6,100 are for Jan or later expirations, and so their gamma is not as strong. We also note net puts <6,000, which is leads to our view for a risk-off <6k.

Backing the idea of “not much happening” are options volumes, which are near lows of the year. Below is total equity

call volume

+

put volume,

which are down sharply from Friday’s all-time record high of ~63mm contracts (12/20 OPEX).