The market spent most of last week locked in the SPX 6,800–6,900 range that has largely held since Thanksgiving. Wednesday’s VIX expiration and Friday’s monthly OPEX defined the week’s rhythm, while negative gamma positioning and elevated single-stock put demand maintained pressure under the surface. Our historical OPEX data suggests the market is positioned for a […]
positive gamma
Flat Index Masks Hidden Chaos
Overall price stability in the S&P 500 is masking one of the most unusual equity environments in recent years. While SPX has been roughly flat over the past month, the average constituent has moved 10.8% — a 99th percentile dispersion reading, as we discussed in our Thursday AM Founder’s Note. All signs point to increasing fragmentation beneath […]
The Market’s 0DTE Underbelly Is Exposed
Last week reminded us just how fast market stability can give way to volatility. After trading near all-time highs at 7,000, the S&P 500 fell 3% in just three sessions, closing Thursday at 6,798 amid weakness in software and crypto. Our last Sunday Newsletter focused specifically on how this type of fragility underscores today’s market. This […]
SPX Touches 7,000 and Cracks — What Makes This Market So Fragile?
Market Fragility in the Face of All-Time Highs As the S&P 500 pushes record highs, the options market continues to flash warning signals beneath the surface. Underlying risk from volatility discrepancies and index-equity correlation suggest an environment prone to vol spasms — similar to what we witnessed with Thursday’s (1/29) sharp selloff and reversal. These […]
Vanna Fuels Market Rally as Market Fears Subside
Last week began with fear dominating market sentiment: analysts widely attributed Tuesday’s 2% SPX selloff to Greenland worries and tariff threats. As we pointed out in last weekend’s newsletter, traders had begun hedging against downside risk as put skew increased and volatility premiums rose. However, the quick turnaround back to SPX 6,900 seemed to erase any […]
Defensive Positioning Emerges as Market Rallies
Traders Turn Defensive In the Face of Market’s Climb SPX tested fresh all-time highs last week, with positive gamma providing guardrails for the broader market. In the face of headline noise—from criminal investigations into Powell to Iran-related escalation—the market absorbed every dip, with the 6,890 Risk Pivot level from Monday’s AM Founder’s Note holding firm. However, increasing put skew and […]
Vol Stays Quiet as SPX Reaches All-Time Highs
Strong 0DTE Support Lifts the Market to Record Highs The S&P 500 kicked off 2026 by grinding through a week of macro data releases to finish at fresh all-time highs on Friday. SPX closed at 6,966, up from the 6,902 open on Monday, after finding critical support in the 6,890–6,900 zone multiple times throughout the […]
Where are the Calls?
One of the things that has left us curious about the recent rally in SPX has been the lack of call positions. These call positions bring positive gamma to markets, which help to support the SPX. Our model suggests that in positive gamma markets options dealers are buying declines, and selling rallies therein “suppressing” volatility. […]
SocGen: November 2019 Largest Positive Gamma Ever
We had recorded extreme readings as well, but our data didnt go back nearly this far.
