Macro Theme:

Key dates ahead:

Founder’s Note:

ES futures are up +65bps with oil -3% to $93.

The SPX is now cloaked in positive gamma, with no negative gamma within ~2%. The positive gamma was not prevalent <7,600, but the market was quite resilient in bouncing back above that level despite higher oil & rates. Now the market has some positive gamma support, and vols that are likely to start coming down (more on that in a second) – both of which should be supportive for bulls.

Interestingly SPX fixed strike vol is higher from Friday. While some of this is likely Monday effects, we have to make a nod to the fact that as the SPX is up ~70bps this AM that is a ~12% realized vol. The SPX has been realizing 9% IV, and one of our core views out of OPEX was for realized vols to increase. While a one-day (relatively) outsized move does not make a trend, there is something else more intriguing to add…

Below is positive (green) vs negative (red) for the last 30 days. You can see that the upside moves are larger vs the downside moves – and this is for the S&P500. We’ve been making hte argument that traders are instead going to want to get long into Nasdaq positions do to the higher relative vol, and tech concentration that should outperform the more-diversified S&P500.

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