Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are +60 bps as the ceasefire binary got defused but not resolved: Trump extended the truce “until such time as Iran’s leaders come up with a unified proposal,”

Oil continues to hold the $90 level, with VIX flat at 19.

March retail sales printed +1.7% MoM, the biggest monthly gain since January 2023.

Boeing reports pre-market, Tesla, IBM, ServiceNow after the close.

Bottom line: The ceasefire extension is a headline clearing, not a resolution — and the surface is responding accordingly: VIX back to 19.5. With an Iran deal not terribly tangible, traders are going to need some strong earnings to generate bullish enthusiasm starting with tonight’s TSLA/TXN/IBM/NOW prints. That bullish enthusiasm faces a headwind of expensive single stock calls.

Our pivot level remains at 7,050, with major support at 7,000. Resistance 7,125 & 7.150.

Tuesday’s session was textbook dealer-gamma-pin behavior: -0.64%, held the 7,060 line, which simply tagged the largest 0DTE put strikes. There were no real signs of any panic or capitulation. The positive gamma cushion is now eroding if SPX moves <7,100, as you can see via the light red into the 7k strike. This requires 0DTE players to come in with fresh put strikes in order to add support. Relying on 0DTE support is not the most stable of things, but given there is unlikely anything material on the Iran front for today, and the slate of earnings post-close, we assume that today should end “flattish”.

We were quite vocal about looking for an SPX consolidation and some IV/VIX mean reversion out of OPEX. While we cannot claim any victory (yet) on the short side, it’s clear that OPEX served to zap the strong upside equity momentum. Additionally, with OPEX volumes have waned, and the thing traders need now is a reason to re-engage into call buying. With an Iran deal always “T+1” traders may start to ignore the geopolitics up & until the impact of the Strait closing becomes meaningful. The other catalyst, obviously, is earnings.

The headwind for call buying now is that single stock calls now scan as downright expensive. You may recall just a few weeks ago all of these top stocks were clustered in the lower left of our Compass chart, which spoke to “no one wanting to own options, particularly calls”. Well, today’s upper right/dispersion of points shows “traders love calls”. MSFT, HD, UBER, AMZN, etc all sport very high IV ranks after having strong upside returns over the last ~2 weeks. Our general take is here that may be hard for these call options to pay off given earnings generally zaps vols.

As for TSLA, it remains a volatility enigma. Our conspiracy theory is that this has something to do with the heavy ~0DTE flow in the stock, but we need more data to prove that. TSLA has, and has had the lowest IV rank of any major stock.

The key theme in positioning is that there are a lot of short put positions, as you can see via EquityHub, below (positive blue bars = MM’s long puts). Over 400 is, on net, traders short calls. This all implies a muted volatility response as dealers are long gamma, but with the IV so low we think it may be worth some longer dated calls (1-2 month) for general upside exposure – mainly on the basis that no one else seemingly wants that position.