Expect a more eventful range than days prior...

• The S&P 500 index is currently at the technical bear market level of -19% YTD

• Gamma exposure is in the range of zero gamma and we saw growth in near term options around the 3870 level, but our read is that the 3835 Calls and the facilitation of the collar-roll is going to be the defining activity today

  • Don't be surprised if the consolidation pressure abates and we drift lower or have range expansion today.
  • As the calls decay away, dealers will be "releasing the hedge" and feeding the delta back to the market semi-continuously. Selling pressure below the strike. Buying pressure above.
  • New collar implies ~50,000 ES futures worth of delta to be sold (remember, they are hedging a long equity book, after all)
  • If we can't hold *above* the 3835 cash level (3860 ES futures), expect a test of 3800

• Apple, Microsoft, Amazon, and Google helped push the index forward, while Tesla advanced over 8%

• Realized 1-month correlations have started to rise, indicating potential increase in volatility and one-sided markets

• Over half of the S&P 500 is down at least -20% or more from their 52-week highs, with around one-third down at least 30% and 17% down at least 40% for the year

• The 1-month realized vol declined by -11%, but had little impact on the vol control model due to the 3-month vol still trading higher

• The 3-month vol is expected to decline over the next two trading days, which will draw in some equity buying pressure from this crowd so long as the market stays contained

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