Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are down 20bps, but vols are frankly not caring into the unofficial first week of summer trading.

This week is also data light with just Fed Mins on the 9th and Jobless Claims on the 10th.

CPI, OPEX earnings all fire up next week, and Trump has punted (or TACO’d?) tariff deadlines to 8/1.

Accordingly we see the 0DTE straddle at $26/41bps/IV16% (ref 6,260) – which is pretty light.

TLDR: We suspect the bit of vol premium available this AM will be sold, and that could push stocks back toward 6,300.

We quite frankly don’t see a major reason for change this week, either, given the major risks and change are all next week, and there is a decent pocket of local positive gamma (yellow box) which has been consistently reinforced by 0DTE flows. Don’t forget: those 0DTE SPX flows are +60% of SPX volume these days.

We have to also remember that vol was smashed into Thursday’s close, with today’s IV going out in the 7%’s. Therefore today getting a bit of vol reflation off of the weekend effect makes sense – but we think that vol is just going to be re-smashed because this week isn’t offering much to move the risk needle. The VIX may hold up a bit because the 30-day window to which VIX is tied holds events like FOMC & the new tariff deadline, but short dated vol (aka this weeks exp IV) likely drops back to the 10% area (from ~14).