Oracle reports fiscal Q1 2027 after the close on Thursday, September 10. The September 11 options are pricing an unusually large move, dealer gamma is tilted positive below current prices, and CPI lands before Friday’s open.
negative gamma
Doves Fly into August Jobs Report
Friday’s 8:30 a.m. ET Employment Situation report has the potential to be the biggest bond-market catalyst since Jackson Hole, yet the options market is pricing a contained move. A look at SPX term structure, fixed strike vol, and dealer gamma ahead of the print.
Jackson Hole 2026: What the Options Market Expects
SPY forward IV prices Jackson Hole as a non-event, but CTAs are stretched short Treasuries and SPX gamma flips near 7780 — an asymmetric setup into Friday.
Vol Sellers Shrug off a Hawkish Fed
Despite a hawkish Fed rattling equities midweek, the market easily and quickly retraced any lost ground by Thursday. With June OPEX now behind us and implied volatility reset toward recent lows, there is a soft feeling of “what’s next?” for the S&P 500 until earnings season ramps up next month. The June FOMC meeting on […]
Triple Witching + FOMC Fuels Volatility Risk
The market delivered several volatile sessions last week as traders navigated Wednesday’s CPI inflation report, Friday’s massive SpaceX IPO (SPCX), and a mix of Iran-driven headlines throughout. Last Sunday, we wrote about how extreme options positioning into major catalysts could spark the exact volatile market behavior observed over the past several days. Tuesday’s wild 200-point […]
Vol Crush Lifts the S&P 500 — Will the Rally Last?
Following last week’s ceasefire announcement, the S&P 500 lifted 3% from roughly 6,550 to 6,800. On the surface, this rally looked like a meaningful shift toward risk-on sentiment as implied volatility collapsed rapidly across all expirations. Similarly, VIX plummeted below 20 for the first time in four weeks, marking one of its largest single-day declines ever. Yet […]
How One Key Level Drove Last Week’s Rally
The S&P 500 bounced back 2% last week after scraping against 6-month lows. Mixed headlines on the Iran conflict explained much of this tug-of-war, yet markets are still holding their breath. For many traders, the rally felt counterintuitive: How can equities rally so furiously if geopolitical uncertainties remain unresolved? When looking at Tuesday’s major bounce in […]
The New Volatility Regime
Over the past several weeks, we have consistently highlighted the market’s growing fragility. From the negative gamma “trapdoor” to the destabilizing impact of geopolitical shocks, the message has been clear: this is no longer a range-bound market. Last week confirmed those warnings, as the S&P 500 is down nearly 9% from all-time highs. On Thursday and Friday, traders […]
After OPEX: Market Loses Its Shock Absorber
The options market has just cleared one of the largest structural events of the quarter, as Friday’s OPEX saw nearly $1.4 trillion in delta notional expire for the S&P 500. Because significant positions have now rolled off from the March expiration, the market has lost an important stabilizing force just as macro pressures begin to build. […]
March OPEX: Tipping Point or Turning Point?
Fragility, Risk, and Potential Vol Reset As the S&P 500 enters OPEX week, we echo the same theme of the past few weeks: this market remains fragile. Last week’s selloff pushed the index below the three-month trading range of SPX 6,800-7,000 that had held since late 2025, subsequently closing down 5% since mid-January. The conflict with Iran continues […]