Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are off 10bps with Powell speaking at a bank conference at 8:30AM ET.

The indicative opening for the SPX is 6,300. We had yesterday thought that a break of 6,300 leads to a quick test of 6,250, but there is a strange strip of 0DTE positive gamma from ~6,400 down to ~6,260 which may pad that quick downside some.

The strip of positive gamma strikes are driven from ~750 lot dealer long 0DTE puts. By themselves they are not significant, but together they create some positive gamma below, as you can see by the purple color on the TRACE map from 6,260 to 6,300. 6,250 is still likely strong interim support due to large OI at that strike.

We recommend checking out last nights note if you are unfamiliar with the OPEN saga, which yesterday flashed the largest single-stock options volume since at least 2025. There were a bunch of signs a new meme mania was percolating prior to this, but OPEN’s performance yesterday left no doubt.

This frothiness can create some short term (intraday) index-level fragility under the surface, as we noted in yesterdays ~20 handle SPX selling timing just with OPEN’s volatility halt. We also have to start watching for clear July 2024 type anomalies that signal a larger bubble. Remember in July 2024 correlations hit record lows, breadth hit record lows, etc and that led to the August 5th VIX +60 spike.

The vols in this OPEN thing are really big, and this creates a lot of interesting trading opportunities. Ideally the stock was not just $3 so there were more downside strikes, but the ideas of put +1x -2’s or other short vol strategies are interesting as if they stock pauses upside it should allow for vol to sink sharply. We do NOT recommend being naked short upside – that is not for the faint of heart!