Macro Theme:

Key dates ahead:

Founder’s Note:

ES futures are off 30bps with no major data on tap for today.

Positive gamma rests below 7,700, showing the GEX has normalized to our Risk Pivot which was moved to 7,690 last week. Negative gamma is above 7,750, but we’d anticipate traders selling calls into any rally, which would add to positive gamma above. SPX 0DTE positions are light to start the day. The focus this week will likely be on CPI, and so the 0DTE crowd likely comes out in decent size Tu/Wed/Thu to help stabilize equities.

A note from Goldman this weekend (h/t ZH) highlighted the reversion of semi stock vols, with VXSMH shown here. This chart is essentially the dispersion chat we highlighted last week. They then also discuss buying options – particularly the right tail in tech. This too was an idea we discussed last week, as tech started to outperform and the question is “will tech care if rates go higher”. There also now seems to be this mantra that rates are going higher partly because of the demand for capital/goods/services into the AI buildout. We’re not sure if the goal of that mantra is to demonize tech or provide political cover for inflation…I digress.

At any rate, with markets now pricing in a 60% chance of a hike next week (9/16) which is just before OPEX (9/18), it does seem like a market pivot is ahead. We did think that pivot would come out of Jackson Hole, however Warsh dumped hawkish remarks on bulls. Despite that, the SPX has held up very well into the last key data print this week (CPI Friday 9/11). SMH is actually showing positive performance. The point here is that if the outperformance does pick up, and the tech right tail is bid, traders may have no other choice but to pile in.

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