Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are up 50 bps, indicating an SPX open at 6,558. VIX is <25, and CL is just over 100.

For a great overview on just what drove yesterday’s rally (one we hope you all knew was in the cards), please read the PM note.

For today, resistance is at 6,600, and we see no real support until 6,300. At a high level, we think yesterday’s sharp rally & expiration served to clean up a heavy short position. One position is/was obviously the JPM position, but also the rich vol premium. With that premium significantly reduced, we argue that another shot in this market will have the potential for much more realized volatility. To frame this more simply: yesterday was a short cover, and big rallies happen during bear-market moves.

What happens next is based on the War situation, and on that topic Trump is set to address the Nation at 9PM EST. The fact that CL is down sharply from yesterday’s highs is a good sign that traders think this debacle is winding down, but at the same time it’s completely unclear what’s happening as bombs continue to fire off.

If the path to peace is legitimate, then we have no qualms with this rally continuing on the basis that there is still another ~10 points of vol premium to crush, which likely moves the SPX to ~6,800. To the downside, 6,250 would be our first stop.

Turning to vols, realized SPX vol has really popped-off the last few days as you can see by a major spike in 5-day RV (red, 27%), and 1-month at 18% (green). Both of those tell us that the SPX is recently moving at a pace >1.5% which is the highest sustained realized vol since April 2025. If you are getting 18-25% realized vol, then a VIX at 25-30 isn’t so crazy, is it (remember us screaming about lack of realized vol for the last week(s))?

If the SPX stays put, or rallies, then both realized vol and the VIX/SPX IV is going to continue to crush on an actual Iran deal then we’d likely see VIX <20 before the 3-day weekend (’cause who wants to carry expensive puts over a 3-day weekend?).

Conversely, you can imagine how high vol premium could now get into a war which suddenly escalates from VIX 25 and RV of +20%…yikes! That’s the stuff VIX +40 is made of.

We’re going to end on this, and its a topic we discussed many times in recent weeks: the removing of stability with 3/18 and 3/31 OPEX.

In March 2025 we had a weak market as Trump started in on tariffs. This led to a market which trended lower from Feb OPEX to March OPEX (just as we just saw from this Feb to now), resulting in a nailing of the JPM Put on 3/31.

Then came “Liberation Day” on 4/2/25, and the bottom fell out of this market to the tune of ~10% in a few days.

That was bad news into no positioning support as OPEX cleared it all out.

Its almost unreal to know that the OPEX window is done (3/18 to JPM 3/31), and Trump has a major announcement tonight, 4/1. Good luck.

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