Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are up 40bps, with CL -3%. To major data is on tap for today, with PCE/NVDA tomorrow.

SPX was pricing in on ~35bps of movement yesterday, with the SPX holding a 42bps intraday range. SPX 0DTE volume was 68% of SPX flow – which is at the higher level of % volume. 0DTE traders love to come out in these “event free” trading sessions.

Expectations of dull price action should remain for today (i.e. dull), with resistance at 7,700 and support at 7,650. Traders are indeed pricing the same ultra-low movement: 0DTE straddle is $26.8/35bps (ref 7,685). In our view selling short dated options today does not present a great risk/reward.

Gamma reads fairly stable through to Friday, with traders clearly steering clear of Warsh’s 10AM ET Jackson Hole speech. We base the “steering clear” on Friday gamma being much more flat to negative, as you can see in the black box.

While the SPX has been quite dull, and QQQ/tech lagging, we see XLF (tested ATH’s y’day) and other rate sensitive sectors perking up. Rates are also down from the “breakout” levels of last week.

If higher rates are indeed risky for equities, then rates declining should be positive – at least one would think. However, as just said above, major indexes aren’t moving higher.

SPX vols, though, are in decline, which speaks to a bullish stance for stocks. Below we compare SPX fixed strike vols from last week vs today, and you can see that everything “Post-JHOLE” is in decline after Bessent has been actively trying to talk rates down. What this shows us is that traders are essentially hedging the event, in case of shock. The vols, and the positioning, show no bearish concerns.

The sum here is that we are viewing this weeks various events as just a clearing of event-risk, and permission to resume the upward trend.

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