Macro Theme:

Key dates ahead:

Founder’s Note:

Futures and vols are flat with Jobless Claims at 8:30AM ET.

The Jobs number would have to be quite nasty to break the positive gamma binds that are building. You can see them forming below and we think that post-Jobs print will bring out the 0DTE crew to reinforce the general 6,250 support/6,300 resistance targets.

As we noted last night, the VIX is at lows not seen since February, and that vol-low is corroborated by SPX fixed strike vol which is sinking. A benign passing of Jobs numbers likely allows that vol to sink a bit more. As we’ve said many times in recent days: tariffs, FOMC, inflation – whatever your concern is “ain’t coming home to roost” this week. That means you can sell this weeks options/vol and that keeps a tailwind in stocks.

So while we think there is 1-2 more days of pump in stocks, things are getting very stretched. You can see this in call skews (Y axis), which are all in the top left quadrant of the map below. This is screaming that calls are relatively rich, and so we will be trying to sell ~1-month call skew today and tomorrow in the richest areas: namely SPY, TSM, JPM etc. Keep in mind – some of these names may have earnings within the next 30 days.

The other side of this coin is that puts are likely quite cheap now, and so we will be looking at possibly putting on risk reversals (sell call buy put), too.