Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are flat, as in NVDA after a “failed to meet expectations” earnings. Thats a bit different from “missed”? We note IWM is up 50bps, as is crypto. GDP/Jobless claims at 8:30AM ET.

TLDR: We want to see the open digest a bit (we have a bit of trepidation here just making sure the sellers don’t come for NVDA after the open), but the prevailing weight of evidence is that the SPX should drift higher given IV is getting crushed. 6,500 is the major upside target for today. If the SPX moves <6,450 we would look for a quick test of 6,400. If SPX goes <6,400 then we look for a test of 6,315.

While you can hear the chorus of “See? Non event!” we’d point you to SPX implied vols, which are getting smoked. You can see this via SPX fixed strike vol for this AM vs last night, with next weeks IV’s nearing 0. Okay, 0 is a hyperbolic, but they are at 8.5% and its only Thursday. Remember, the market is closed for Monday into this final weekend of summer. Given that, I’d imagine those 8% IV’s go to 6’s by tomorrow close. Should this come to fruition then SPX is likely to shift higher into the 6,500-6,525 zone, thanks to vanna.

That vol decline should invoke positive drift, which takes place in the context of thick positive gamma around current SPX prices. This infers support, and we would image that support increases throughout the day. Again, the risk here is that NVDA rolls over at the open, so we will be watching NVDA

HIRO

closely to confirm the coast is clear. As you can see below, under 6,450 there isn’t much with respect to large positive gamma – and that is what infers lack of support.

If NVDA does roll over, we continue to eye 165 as first support. The upside positive gamma remains (which is large), which keeps “rally volatility” muted.