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Market Analysis
Volatility Returns in Time for Earnings Season
Volatility announced its return last week as the S&P 500 swung across intraday trading ranges of 150+ handles. SPX tested both the 6,550 and the 6,700 key levels we mentioned in our AM Founder’s Note on Monday before closing up 1.7% for the week at 6,674. Persistent negative gamma set the stage for heightened realized volatility, as dealers […]
From Calm to Chaos: Trading With Confidence Amidst Volatility
Friday’s massive selloff was a stark reminder of how markets can switch from calm to chaos at the drop of a hat. As volatility hit, the S&P 500 fell more than 1% in just a few minutes on October 10, closing the day down 2.7% in one of the sharpest single-day declines of the quarter. […]
What Led to Friday’s Selloff?
An otherwise sleepy week awoke with a jolt on Friday, following China’s announcement of restrictions on the selling of rare-earth minerals and susbequent tariff threats. Within minutes, SPX dropped 80 points from 6,750 to 6,670 – well below our risk-off level at 6,700. The market closed down 2.7% for the day at 6,553. This sharp pullback was severe, […]
Low Vol, Stubborn VIX, and a Market Full of Mixed Signals
Last week, SPX tested the key gamma levels at 6,640 and 6,750 we highlighted in Monday’s Founder’s Note, marking a new all-time high with a close 6,716. The impact of the government shutdown starting on October 1 seems to have barely registered. On Tuesday, the massive JPM Collar rolled from the 6,505 strike to a new […]
Market Braces for the Specter of Volatility Into October
Last week, SPX tagged fresh all-time highs near the 6,700 Call Wall before surrendering gains in a series of controlled selloffs down to as low as 6,580, finally closing the week at 6,644. The “Stock Up, Vol Up” system flashed warning signs mentioned in last Wednesday’s AM Founder’s Note. This dynamic represents a fundamental breakdown in the normal […]
S&P Remains Resilient – But For How Long?
The S&P 500 closed the week at 6,661, posting a 1% weekly gain as markets navigated through the highly anticipated FOMC. What made this week particularly noteworthy was the extreme complacency at its start: one-month realized volatility sat at a meager 8%, and implied volatility hit basement-level 5% for this past Monday. These are some of the […]
Zombie Market Faces a Triple Witching OPEX
The S&P 500 delivered a grinding week, closing at 6,584 on Friday and up 1.3% from Monday’s open of 6,498. The 6,505 JPM Collar call acted as a critical pivot, where previous resistance turned into support. We shared our zombie market thesis in our Founder’s Note on Monday morning: current positive dealer gamma – driven by extremely short-dated options […]
The Record-Setting 0DTE Showdown
The S&P 500 delivered a volatile week: Tuesday began with risk-off positioning and a negative gamma environment, evolving into Thursday’s explosive rally, finally culminating in Friday’s blowoff top. The result? SPX closed almost exactly where it started the week at 6,482. By Wednesday, 0DTE options hit a record-setting 70% of all options volume, keeping the market […]
Low Volatility Keeps S&P 500 in a Fragile Calm
This week saw the zombie market resume with suppressed volatility and a broader market remaining constrained by positive gamma. SPX closed the week at 6,460, grinding slightly higher throughout the week before the rug was pulled on Friday. NVIDIA earnings on Wednesday served as the pivotal moment that shaped both volatility patterns and the broader […]