Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are flat ahead of CPI this morning, with ES at 6,860. Trump said overnight that Iran isn’t upholding the ceasefire, but the market has largely shrugged it off — oil is stable at 99 and VIX closed at 19.5 yesterday.

The bigger story is how quickly this market has repositioned. SPX closed at 6,825 yesterday — up 240 points from last Tuesday’s pre-deal lows. VIX has been cut nearly 1/3 from 26 to 19.5 in two sessions. And yesterday’s PM note captured the mechanism: 25k contracts of 0DTE 6,830 calls drove HIRO to +$8B — the strongest positive reading in 30 days. Dealer hedging created a reflexive bid that pushed the 6,830 calls from $1 to $10 in an hour. That’s the 0DTE gamma machine working at full speed.

For today we have a +99th %’ile strike at 6,800, and it would take major news and/or a big CPI miss to drive the SPX down and away from that strike.

CPI is the event today. The market is priced for a benign print, with todays 0DTE SPX straddle a lowly $37/54bps (ref 6,825). VIX term structure is deflating, with front-end vol being sold aggressively. If CPI comes in hot, the vol unwind may reverse and this rally stalls at ~6,800. A cool print, and we likely grind up toward 6,850.

Interestingly, the SPX RV-VIX spread has swung to a VIX discount, meaning VIX at 19.5 vs SPX RV at 20 is now at or below trailing realized vol. This is meaningful: the market is pricing in calm that hasn’t actually materialized in realized terms. If CPI disrupts, or the Iran peace reverses, VIX & equity vol has room to snap back.

We suspect, though, that things will edge toward “calm” and ignoring headlines until April OPEX next week – at which point headlines could drive more volatility. Given this, RV likely trends lower (smaller market moves) into next week.

While lower IVs make it cheaper to be a bear, the clear weight of positioning remains on the put side. You can see this via the 3rd chart (yellow) which shows median put-skew. That remains near 1 year highs vs call skew (4th, blue) which is near lows. Traders just don’t seemed to be positioned at all for a strong rally – particularly in single stocks. Given this, we still like selling Index calls to fund Mag 7 calls, with NVDA & TSLA particularly interesting given their low IV ranks. This is not so much that we are making a bullish macro call, it’s just the most reasonable position to carry given current dynamics.

©2026 TenTen Capital LLC DBA SpotGamma

All TenTen Capital LLC DBA SpotGamma materials, information, and presentations are for educational purposes only and should not be considered specific investment advice nor recommendations. Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one’s financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. VIEW FULL RISK DISCLOSURE https://spotgamma.com/model-faq/disclaimer/