• 6/11 CPI
• 6/18 FOMC + VIX Expiration
• 6/19 Juneteenth – Market Closed
• 6/20 OPEX
• 6/30 Quarterly OPEX

June OPEX Playbook:

June VIX/Equity expirations fall just as SPX realized vol is getting squeezed to the floor (5-day is 8%), and the SPX is nearing all time highs. As per usual, when we get a strongly trending market into expirations we look for markets to mean revert after expiration as the flow dynamics shift – and this case is generally no different – except this time we have the very large 5,905 JPM call that expires at the end of June (6/30). That could be a support buffer/target for SPX prices post-OPEX. Given that the scenario could be something like: CPI is benign, SPX rallies to 6,100 into next week, and then contracts to 5,900 by 6/30. If CPI on 6/11 is hot, that 5,900 level could come into play this week, which is why we will be looking to head into tomorrows print with a low risk/high reward “lotto” put spread/put fly in the 5,900 area – and we will couple that will 1-2 DTE 6,100 call spreads/flies.

6/9: Last week we used 5,900 as our bull/bear pivot, and that is now adjusted to 6,000 with the market likely well supported through this week. Next week’s FOMC/huge OPEX likely shifts many positions, and may allow volatility to expand.

6/4: In line with the update from 5/27 – As the SPX has held >=5,900 we continue to favor upside equity plays, which syncs with looking for vol contraction into June monthly OPEX (6/20). We will operate from this position until/unless the SPX breaks <5,900. Under 5,900 we would expect negative gamma to increase, which could align with volatility spiking. ✅

5/27: Our prime position here is maintaining rolling short dated tail positions, near the 5,750-5,700 zone, as the market consistently shows jump risk (ex: 20Y auction day and Friday 5/23). To the upside, if the SPX gets back >5,925 we would look to play June Exp call spreads/call flies into 6,000-6,100.

Key SG levels for the SPX are:

• Resistance: 6,025, 6,050, 6,100 (We see a long term top in the 5,900 – 6k area)
• Pivot: 6,000 (bearish <, bullish >)
• Support: 5,975, 5,905 (6/30 Exp JPM Call)