Negative gamma is firmly entrenched and that JPM collar holds about $2B of it into Tuesday before it rolls.
For now, SPX closed at 6369 Friday and 6330 Sunday night, so the JPM collar pin of 6475 for end-of-day Tuesday ** could ** help to pull up markets to relieve the VIX backwardation we are in - but again, we need a reason.
And with the gamma flip at 6,625 - a good 260 point divergence higher - we are well below any chase long activity of size. Unless dollar and yields reverse lower ASAP and the 10Y T-Note futures is trying.
As posted March 21st, and with the macro & fundamentals laid out, I gave my crash risk levels last week on break of 6508:
“Let’s just say $6427 SPX is my next level for ‘support’ bounce before $6215 SPX with overshoot to $6100 by mid-May.”
Fast forward and 6215 is in view.
My Growth/Value ratio is also not quite on the support level where I can see some digestion/stabilization, and my MAG7 ratio is on July 2025 highs but that does not justify a low-risk-entry (LRE) - especially since my lower targets on GOOGL, AMZN, MSFT, ORCL are in still working and in view!
Breadth is still deplorable and sellers are clearly not done.
Liquidity is falling and with it any hope of bullish bounces.
From this morning’s live trading room: here’s what is really working right now!
