Macro Theme:

Key dates ahead:

Founder’s Note:

ES futures are off 50bps, NQ -100bps. Oil (Brent) is +1% to $99. US 10 Y is +10bps to 5.11%.

META -1.85% after last nights MUSE-fest. If AI isn’t bid, then it’ll be a struggle for equities writ-large.

On Monday we shifted the Risk Pivot higher to 7,690, and the SPX is now indicated open below that level. That shifts us into a risk off stance. Gamma is now negative below. A move back above 7,700 shifts us back to risk-on. The key signal today is watching HIRO as strong higher deltas in S&P500 and/or single stocks suggests dip buyers remain in play.

We were also looking for a brief market consolidation after Monday’s  pic gains – but what is underway may be more than a consolidation and signals a potential end of a bullish setup.

This, thanks to sizzling jump in rates after PMI data, Fed-talk and a bad auction – the 2nd worst tail ever. This led to a massive +14bps change in the 10-year. This jump put the pressure on stocks, with S&P500 HIRO showing -$19.8 bn in deltas which was the most negative ever. It eclipsed 10/10/2025, at -$18.3bn. The SPX displayed amazing resiliency yesterday, given the rates and negative deltas. Note the -2.75% candle below from 10/10/25. This resiliency reminds us a lot of 1-2 weeks ago when we crossed the SpX 7,600 Risk Pivot with oil making fresh highs and the Fed hiking – the SPX simply wouldn’t “give it up”. Our last point on this: SPX realized more volatility on up-days vs down.

-$19bn of that was SPX 0DTE, suggesting that the flow was potentially driven by some systematic flow…maybe related to rates? Outside of that heavy 0DTE flow we did not pick up on any material put buying on the index side, nor single stocks.

The volatility space is starting to wake up. Here we have the VIX term structure which started to flatten, and while this is a modest shift its heading in the wrong direction for equity bulls. Higher VIX is a signal that negative dealer vega adds to downside flows.

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