Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are flat ahead of Warsh’s 10 AM EST Jackson Hole speech.

The 0DTE straddle is just $38/49 bps ref 7,725 despite this mornings events. That is a touch over recent days, but still remains below even an average daily SPX move (~65bps). NVDA did buoy tech and the SPX up a bit yesterday, but one could indeed argue that the trend is waiting for clearing of Warsh today.

SPX gamma shows different setups based on time horizons. For today, resistance is at 7,775 to 7,800. Support is 7,600 – 7,575. For Monday the gamma is distinctly negative <=7,600. We’d also note that into Monday positive gamma above is lighter, suggesting less resistance.

You may notice that the VIX is also at YTD lows of 14.5. We saw this level briefly into August OPEX, then you have to zoom back to Dec ’25 to find similar levels. The VIX is naturally going to calculate lower values as the SPX rallies due to fixed strike slide. If we look at actual SPX fixed strike vols we see that they are mildly lower from Monday, showing only a modest IV decline vs the VIX 1.5 pt decline over the same period. Considering this decline into Jackson Hole, it does speak to a market that is just looking for an excuse to continue upside.

We operate under the assumption that Warsh is a non-event, and the passing of JHOLE leads to some vol contraction and a market rally. We take this stance simply because these events rarely spark major downside, and generally owning options, particularly puts, pays a heavy tax if/when event-vol subsides.

How might you play this?

For “lotto speculation”, or if you want to add a small long stock hedge, we like 0DTE SPX put flies playing a potential drop into 7,600 for today. You can slide the front strike from 7,650 to 7,600 to do standard 25 or 50 point flies. These flies range from $1 to $0.25 depending on distance and width, and the idea here is that there is a pocket of flat gamma in the 7,600 to 7,700 range as shown in TRACE. The market is simply not pricing in a 1% downside move, and if Warsh does spark a sharp drop, those put flies would likely multiply in value.

You can find similarly cheap put flies for Monday if you slide down toward 7,500 strikes. These are fairly far OTM at this moment, put a “Warsh Surprise” could not only generate a quick 1% downside move, but also a spike in vol from these low levels.

These short dated put flies price in a fairly unique way – that is to say we don’t normally see such low prices on these lotto structures. We don’t admittedly spend a ton of time looking at 0DTE skew, but the skew is flat into the 7,600 strike (black box) which seems unusual. We note to the upside similar flies are not available, and you can also see the call skew is much steeper into 7,800.

For the upside, we are eyeing a max move into 8k SPX for Sep OPEX. The Sep 25 delta calls are the ~7,875 and trade for a low IV of 10.3%. We are going to target getting long calls in this area after Warsh, assuming it’s “all clear”. Rates and equity vol, both likely moving higher/lower in tandem, will be our barometer of equity bullishness today.

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