Here's what the big chart below is showing. RSP is the equal-weight version of the S&P 500, meaning all 500 stocks count the same; a small company moves the index by the same amount as a giant one.

The regular S&P 500 index doesn't work that way. It's weighted by market cap, so the biggest companies, the same mega caps carrying this rally, count far more than everyone else.

That's why the two are disagreeing. RSP peaked in mid-August, right on its own trendline, then failed to hold that level and broke down. It's down 6% since. The panel below it is a price ratio of RSP divided by the S&P 500, and that ratio made a lower high in September before breaking its own trendline too, a failed test followed by a breakdown, the same pattern showing up twice in two different ways. The bottom panels confirm it isn't just RSP: the percentage of NYSE stocks above their 20-day and 50-day averages has been falling since the same point in time; both are near oversold. The S&P 500 keeps climbing because a handful of giant stocks are heavy enough to pull the average up by themselves. The other 500-minus-a-handful are doing what RSP is doing. So right now, you are being punished for essentially holding less risk and not concentrating in the bigger names.

Utilities are down 8% in three weeks. Industrials broke a five-month uptrend line. Consumer staples broke the same line a week later. All three are now in decisive downtrends.

Mega caps are in the opposite direction. Same uptrend channel since April, still above both moving averages, higher lows on every dip. Oil refiners are up over 60% since June and haven’t even come close to tagging the 50-day.

Investors generally buy utilities and staples stocks for the dividend, not for earnings growth, so their stock price behaves like a bond price: it moves opposite to interest rates. These are stocks like Xcel Energy and PepsiCo. XLU currently yields about 2.99%. XLP yields about 2.67%. The 10-year Treasury is at roughly 5.2%, the highest level since 2007. Even a 3-month T-bill pays around 4.24% right now. That means an investor can buy the safest instrument in the world and collect more income than any of these stocks will pay them, with zero price risk. When that math flips, the price you’re willing to pay for the dividend stock has to come down to compete. This is not just noise; this is math. That’s a discount-rate problem, and it’s the direct, verifiable reason utility and staples stocks get repriced lower every time long-term rates climb this fast. It happened the same way in 2022, and it’s happening again now.

Industrials are a different story, and it would be wrong to force them into the same explanation. Some of the pressure is still rate-related; capital equipment and infrastructure projects get financed with debt, so higher borrowing costs squeeze the same companies from the expense side. But industrials aren’t bought for yield the way utilities are, so the dividend-versus-Treasury math doesn’t drive this one directly. The bigger issue is margin risk. Trade and tariff exposure has repeatedly hit this sector’s input costs, and industrials also carry higher valuations after a strong run, which leaves less room for error if growth expectations soften. Watch the Dow Transports here. They’re a classic early-warning read on industrial demand, and they’ve been among the weakest parts of this market. This is a growth concern layered on top of a financing-cost concern.

Cull the dead weight or remove the weak members from your portfolio. Sell or trim utilities, industrials, and consumer staples, and put that capital into mega caps, technology, and oil refiners. Why? Because rates are not coming down anytime soon.

Size refiners smaller than the other two. Mega caps and technology are trending up because of demand and earnings that build slowly and don’t reverse in a day. Refiners are trending up because of crack spreads, which move on the price of oil, and oil can gap on a single weekend headline out of the Middle East, an OPEC+ production decision, or a surprise inventory report. That’s a fast, event-driven risk sitting on top of a solid-looking chart, not a reason to skip the trade, but a reason to keep the position smaller than conviction alone would suggest.

And the breadth confirms this is not a guess. Only 40% of NYSE stocks sit above their 200-day average. Under a quarter sit above their 50-day. Most of the market has been weak for months while a small group of stocks, the same group holding the index up, kept climbing. Rotating into them isn’t fighting the tape. It’s following where the actual demand already is.

The average stock backs this up too. RSP broke its own uptrend line in September and is down 6% since. The RSP/S&P 500 ratio made a lower high and broke down right behind it. The broad market failed. The leaders didn’t.

One thing this isn’t: a call to go to cash (yet). It’s a call to stop owning what’s broken and own what’s working. Utilities, industrials, and staples need to prove they can reclaim their trend lines before they get new money again. Until then, every dollar coming out of them belongs in megacaps, technology, or refiners.

Watch 7,600 on the index. It doesn’t change the trade. It changes how aggressively you make it.

And remember - The one fact pertaining to all conditions is that they will change.

Follow me on X for more updates.

Best regards,

-Kurt

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

The RiskSignal Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

This week, the U.S. government sold $70 billion of 5-year Treasury debt at a 5.03% yield, the highest for that sale since 2006. The group of buyers that includes foreign central banks and other overseas investors took 54% of it, well below its usual 65% share.

For decades, foreign countries have taken the dollars they earn selling goods to the U.S. and parked them in Treasury bonds, which helped hold U.S. borrowing costs down. When they step back, the bonds still have to be sold and someone has to buy them. The big Wall Street banks that are required to bid at every Treasury sale absorb the leftovers, and they only do it at a higher interest rate.

That higher rate then resets borrowing costs for everyone. It flows into mortgage rates, which hit 7.03% this week, their highest since 2024, and it raises what businesses pay to borrow.

The government pays that higher rate too. U.S. now spends more on interest on the national debt than it does on the military. Higher rates raise the interest bill on the national debt, which widens the deficit and forces the government to sell even more bonds into a market that already lacks buyers. Treasury is already leaning against this: this week it tripled the amount of its own long-term bonds it will buy back, to $6 billion, to keep long-term rates in check. If foreign demand keeps fading, the buyer of last resort is the Fed. When the Fed buys Treasury bonds, it does so with newly created money, and that money printing is what debases the dollar.

The Fed raised rates last week partly because high oil prices were pushing up prices across the economy. Since then, U.S. crude oil has fallen below $95 a barrel, a level that had held as a floor, and closed at $92.44.

Brent, the global oil benchmark, is still holding near $104. That left it $11.99 a barrel more expensive than U.S. oil, the widest gap since March. The extra premium largely reflects the risk to tankers moving through the Strait of Hormuz, since Brent competes directly with Middle East supply on the water. U.S. oil still moves with global prices, but because it doesn’t depend on that route, it carries much less of that risk. A rate hike does not produce a single barrel of oil, and an oil shock that is starting to fade justifies neither last week’s hike nor a second one.

How bonds, oil, and stocks are connected right now

For most of September, all three markets moved together. Oil prices rose, investors bet the Fed would raise rates again, and the 2-year Treasury rate, which tracks where the Fed is headed, jumped to 4.89% on Sept 23, its highest since May 2024. Higher rates triggered some investors to pull money out of stocks, because a guaranteed 5% from the government is a better risk/reward ratio than taking on systemic risk in stocks right now.

On Friday, that pattern broke. U.S. oil dropped 2.29% on hopes the Strait of Hormuz reopens, and the S&P 500 rose 0.51%. The 10-year rate, however, did not follow oil lower and closed slightly higher at 5.18%.

For your portfolio, this means falling oil helps stocks and short-term rates, but it will not bring mortgage rates or long-term bond rates down on its own. A lasting rally in stocks needs the 10-year rate back below 5%. Until then, rallies depend on oil headlines and earnings.

Next week: the September jobs report (Friday, Oct 2)

As of Sept 23, markets saw a 66% chance the Fed raises rates again in October, up from under 10% in late August. A strong jobs number gives the Fed cover for a second hike and likely pushes the 10-year rate above 5.25%. A weak number opens the door for rates to pull back toward 5%, which would give mortgage rates their first relief in weeks and give the broader stock market room to recover. That recovery is what would take the S&P 500 past its 7,815 record high and to 8,000. Time will tell. Lots of uncertainty out there right now.

And remember - The one fact pertaining to all conditions is that they will change.

Follow me on X for more updates.

Best regards,

-Kurt

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

The RiskSignal Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

I think this was a policy mistake, as raising rates does not impact the price of oil. Strip out the war, and the Fed has no case to hike at all. Energy alone drove nearly 40% of August’s CPI increase, and energy is only 7.47% of the entire basket. That’s the part most news outlets skipped past to get to the scary headline number.

The Fed just raised rates into a number that could sit well below 3% within two or three months of a ceasefire. Call it what it is: a policy mistake with a countdown clock attached.

The economy isn't too hot, and the money supply hasn’t increased substantially. Like I’ve said before: the only thing that actually creates inflation is the government printing money. Everything else is anecdotal at best.

One hike doesn’t end a bull market. A rate-hiking cycle will

I am still bullish on stocks here. Go back and look at every real bear market. 2000. 2008. 2022. None of them happened because the Fed raised rates once. They happened because the Fed raised rates repeatedly and held them there until we had a credit event that ultimately crashed stocks.

We are now one hike in. The Fed’s own dot plot points to maybe one more hike this year. I don’t think we will get there because I think this inflation is transitory. On that, the problem with Powell using the word transitory is that he never defined how long transitory was, so I will define it here. I think CPI trends north until we see the reciprocal strikes stop, oil flowing through the Straight of Hormuz, and real progress toward a lasting ceasefire. We don’t necessarily need Trump to get a deal done.

What Breaks This Market Standoff?

Stocks slipped last week on the same story we keep coming back to: oil up, yields up. For over a month now, the S&P 500 hasn’t gone anywhere. It’s stuck between two forces pulling in opposite directions.

The bullish pull: historically strong earnings growth, a still-solid economy, and valuations that aren’t crazy once you look at 2027 expected EPS.

The bearish pull: oil at multi-year highs, Treasury yields at multi-year highs, a war that isn’t resolved, and a growing question of whether AI capex turns into real returns or just a pile of spending.

Neither side is clearly winning. These two forces have this market locked in a stalemate, and I want to walk through what sequence of events actually breaks it, either bullish and back to new highs, or bearish and into a real pullback.

Here’s what actually breaks the tie.

Bullish break: oil flows increase out of the Gulf. This doesn’t require a ceasefire. Nobody needs Iran and the US to sign a peace deal. What the market needs is more oil actually moving, through Hormuz, through the East-West pipeline, past the Bab el-Mandeb without getting shot at. The war can keep going. Markets don’t care about the war ending. They care about oil flowing. The second that headline hits, Brent likely drops back toward $80, the 10-year likely drops back into the mid-4% range, and the entire headwind holding this market back disappears fast. Then investors go back to pricing in the good stuff: earnings, a solid economy, inflation actually cooling and the Fed cutting rates.

Bearish break: the economy starts to crack. The market has held up because the good news has been strong enough to outrun the bad news. This won’t last forever. We’re heading into month seven of high energy prices and year six of elevated inflation. At some point, that shows up in real economic data, not just in a CPI report. If the labor market starts softening at the same time prices stay high, that’s the combination that actually breaks this stalemate to the downside, and it breaks it hard and fast.

The US economy is strong right now. But strong isn’t the same as immune. The longer this drags on, the higher the odds it eventually slows. There’s no sign of that happening yet. That can change fast, and anyone who’s traded through a cycle knows it.

This market will break one way or the other. It has to. This week, the UN General Assembly gives Washington and Tehran a real shot at some diplomatic movement. If that happens, expect oil and yields to fall and stocks to rally. If it doesn’t, and the strikes keep coming, expect new short-term lows.

Higher long-term rates hit stocks too.

When Treasury yields rise, it costs companies more to borrow, and that eats into profit. Real estate gets hit hardest here, since that business runs almost entirely on borrowed money.

Other sectors get hurt for a different reason. Consumer staples and utilities aren’t bought for growth. Investors buy them for the dividend. When Treasury yields rise, that dividend has to compete with a government bond paying more for less risk.

I’d underweight these sectors over the medium term. That cuts your portfolio’s sensitivity to rising rates. And yes, I am even talking to dividend investors, with your “bulletproof” dividend stock portfolio, wondering why you’re in the red for the year while the index is up.

Now, let’s put our macro and intermarket analysis hat on here. What do rising rates mean for the dollar? If you know which direction the greenback is going, then you know where a lot of other things are going.

Rising rates tend to support the dollar. High yields make the dollar more attractive to global investors. To buy Treasuries and other USD assets, they have to buy dollars first. That extra demand lifts the exchange rate.

A stronger dollar and higher real yields are a headwind for gold.

Small-caps have put in a bearish double top. I think the 200-DMA will likely provide strong support.

Where the Charts Are Pointing

Four groups stand out right now, not just for price action, but for relative strength, the ratio of the stock or sector against the S&P 500. When that ratio is rising, it’s outperforming the index. When price and relative strength both turn up together, that’s where the next leg of market leadership tends to come from.

AI Infrastructure. Price broke its downtrend from the June high and is consolidating at resistance near $66. The relative strength line against the S&P just turned up after months of underperforming, meaning AI infrastructure is starting to lead again, not just ride the market higher.

Genomics & Immunology. Clean uptrend, higher highs and higher lows, no sign of stalling. Relative strength against the S&P just broke out to a new high; this group is rising faster than the market.

Global Memory Producers. Price is coiled into an ascending triangle, flat resistance near $62.50, rising support along the 50-day. A break above $62.50 confirms the next leg higher.

Magnificent 7. Price just broke above $71 resistance after testing it repeatedly since May. Relative strength against the S&P bottomed and is turning up, the first real sign mega-cap leadership is coming back after lagging most of the summer.

And remember - The one fact pertaining to all conditions is that they will change.

Follow me on X for more updates.

Best regards,

-Kurt

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

The RiskSignal Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

Core CPI, the number that strips out energy and food, ran hot too, up 0.3% against forecasts for 0.2%. Odds of a hike at Wednesday’s FOMC meeting jumped to 78% on the print.

Here’s the problem with thinking a rate hike fixes any of this as inflation: it doesn’t. Brent crude cleared $100 a barrel for the first time since May after Iran and the U.S. traded strikes on tankers and naval vessels, topping a breakout that’s been building since a four-month base broke in late August. WTI sits at $99.78, Brent at $105.17, both punching through trendlines that had stopped every rally attempt since spring. That’s a supply shock landing at every gas pump and every diesel-powered delivery truck in the country. Everything we buy from a store or have delivered is ultimately delivered to the end point by truck. A quarter-point hike doesn’t produce a barrel of oil or reroute a tanker through the Strait of Hormuz. It makes your mortgage more expensive while the gas station bill stays exactly where geopolitics put it.

The Fed doesn’t get paid to make that distinction, and Wednesday’s decision now walks straight into a supply-driven number with cover to hike anyway.

Bessent’s Bet Comes Due

One day after the Fed decides, the Bank of Japan meets on Sept. 17-18, and here’s why that meeting matters to your money. Bessent wants Japan to hike. He’s not doing this because he cares about Japanese inflation. He’s doing it because a stronger yen makes the “yen carry trade” more expensive to run, and that trade is one of the biggest sources of cheap money propping up U.S. stocks and bonds. Here’s how it works: borrow yen at Japan’s near-zero interest rate, convert it to dollars, and buy anything that yields more, Treasuries, stocks, credit. It’s free leverage, and Japan has been the one funding it. Tokyo and Washington already tried the direct approach: when a currency is falling, a government can sell US dollars and buy its own currency to push the price back up, the same way buying any asset pushes its price higher. Japan and the U.S. did exactly that, spending roughly $98 billion buying yen between late July and late August to prop up its value. The yen barely budged. So Bessent is leaning on the bigger lever now, publicly pressuring BOJ Governor Ueda to raise interest rates instead, at one point invoking Spike Lee’s “Do the Right Thing” to make the point. It’s worked. The market now prices a BOJ hike as close to certain, which leaves Ueda with 2 bad options. Skip the hike and the yen keeps falling, pushing Japanese inflation toward 3% and making the $98 billion look wasted. Hike, and the carry trade above gets more expensive to hold. That forces funds to unwind the trade: sell Treasuries and stocks they bought with borrowed yen, convert the dollars back to yen, and pay back the loan. Multiply that by 2 years of accumulated positions and you get forced selling in U.S. assets right as Japan has less reason to keep buying our debt in the first place. As I have pointed out over the last year or so, this could be really bad for US stocks.

That unwind is already on the chart. The JPY/USD chart shows the yen breaking out above 0.644, a level that had stopped every rally since spring, with RSI near 70 and MACD turning up. That’s what leveraged money looks like when it starts unwinding a carry trade before the headlines catch up. It’s the same setup behind August 2024, when a single BOJ hike surprise sent the S&P 500 down more than 3% in one session as funds scrambled to unwind their yen borrowing all at once.

There's a second way this bites us, and it's bigger than the carry trade. Japan isn't just a source of cheap borrowed money, it's our largest foreign creditor, holding $1.12 trillion of U.S. government debt, more than the U.K. and China combined. If the yen keeps falling and Japan needs to defend it again, one of the fastest ways to raise dollars is to sell its Treasury position outright. And even without a forced sale, a BOJ hike raises yields on Japan's own government bonds at home, which gives Japanese banks, insurers, and pension funds a reason to keep their money in yen instead of hedging it into dollars to buy our debt. Either way, the largest buyer of U.S. Treasuries has less incentive to keep buying, or an actual reason to start selling, right as our own Treasury needs the world to keep absorbing new debt. That's upward pressure on the 10-year yield from a completely separate direction than the oil and inflation story above, landing at the same time.

The Charts Already Know

None of this is theoretical. The 10-year Treasury yield broke out above its summer range this week: RSI at 72, MACD flashing a fresh buy signal, and the yield sitting near 4.95%, one push from 5%. The 2-year is even more telling. It’s back up to 4.56%, above the effective fed funds rate of 3.63%, meaning the bond market is pricing in more hikes ahead. That’s a full reversal from where the curve sat just months ago when cuts were the consensus trade.

Equity breadth is cracking under the surface while the S&P 500 (7,667) holds near its highs. The equal-weight S&P 500 (RSP) broke its uptrend channel and its 50-day average, and its relative strength line against the cap-weighted index just made a new low after a failed retest of its old highs. That’s the market telling you the rally is concentrated in fewer names, exactly the condition that leaves an index exposed if the carry trade unwinds into it.

Credit isn’t flashing the same warning yet. High yield spreads over the 5-year Treasury sit near multi-year lows at 2.66, and the ratio of duration risk to credit risk (TLT versus HYG) is at 1.03, near the low end of its range. This isn’t a solvency scare. It’s a liquidity and positioning problem stacking on top of an oil shock, which is more dangerous in some ways because it can move fast with no credit event to warn you first.

The Three-Part Scorecard for a Real Rally

I’ve said that this market needs 3 specific things to go right before it can push back to new highs, and it’s worth grading each one against what actually happened this week.

1. Oil needs to stop climbing. Nobody needs a ceasefire for this headwind to fade. All the market needs is for oil flowing through the Strait of Hormuz to hold up and for the reciprocal strikes to stop escalating. That was true a month ago. It’s not what happened. Strikes resumed, an explosion hit Kharg Island, Iran’s main export terminal, and Brent broke above $100 for the first time since May. This leg of the case got worse.

2. The Fed needs to draw a clean line. A hike by itself isn’t fatal to a rally if the Fed signals it’s one-and-done and steps back. What would be fatal is a hike that the market reads as the start of a cycle, especially with the 2-year yield already pricing in more tightening than the current Fed funds rate implies. Wednesday is a coin flip on tone, and the setup next to a BOJ hike a day later makes a confident, market-friendly signal harder to deliver.

3. CPI start trending lower. This one already happened, and it already failed. Core CPI ran hot against forecasts. That removes a leg of the rally case before the Fed has even opened its mouth this week.

Two of 3 have already moved against the bull case heading into Wednesday. The third is a coin flip that gets harder to call dovish with the BOJ moving the next day.

Zooming Out: What the Multiples Say

Strip out the week-to-week noise and the market is really pricing 3 things: how the Iran conflict resolves, where the 10-year settles, and whether AI capex turns into real cash flow instead of just spending mountains of cash. Here is a scenario of those 3 inputs, and it’s worth walking through where each column sits right now.

The current-situation uses 2026 expected S&P 500 EPS of $395, a fair-value multiple of 19.5x to 20.5x, and lands at a midpoint target of 7,900, about 2.9% above where the index sits today. That’s the base case, and it assumes none of this week’s headwinds get materially worse or better.

The better-case column needs all 3 things breaking the right way at once: oil flow through Hormuz stabilizing further, the 10-year falling back toward 4.50%, and AI earnings producing real, provable ROI instead of just bigger capex budgets. If that happens, EPS expectations rise to $405, the multiple expands to 21x, and the target jumps to 8,505, a gain of 10.8% from here. Every part of that column moved the wrong direction this week.

The worse-case column is the one that should get your attention. It needs oil flow through Hormuz to drop and Brent to push meaningfully above $100, the 10-year to trade to and through 5%, and capex fears to deepen on falling free cash flow. EPS expectations fall to $350, the multiple compresses to 18x to 19x, and the target lands at 6,475, a drop of 15.6% from current levels. Brent is already above $100. The 10-year is already one push from 5%. Two of the 3 worse-case triggers are already partially in motion.

None of this means the bear case is our only destiny. It means the market has almost no margin for error heading into a week when the Fed and the BOJ both decide on rates within 24 hours of each other.

The counterpoint worth taking seriously: none of this shows up in credit yet, and earnings are still the best argument the bulls have. The Street’s 2027 EPS estimate for the S&P 500 sits near $400, up sharply from this year’s $350, and on a forward basis that keeps the index from looking stretched even at current prices. If oil rolls over toward $87.50 support the way it has after prior breakouts, and the Fed delivers a hike with clear forward guidance that it’s done, the whole setup above unwinds fast in the other direction. This is a market that can rally hard once the headwinds clear. The problem this week is that none of them have.

What This Means for You

Higher oil is a direct tax on anything trucked, shipped, or flown: groceries, retail goods, anything delivered to your door. That’s a margin problem for companies and a budget problem for households, and it’s happening whether or not the Fed hikes. If the Fed hikes Wednesday and the BOJ follows a day later, 2 of the world’s largest central banks are tightening inside the same 48 hours while the yen carry trade, one of the biggest sources of liquidity behind the risk-on rally since 2022, gets more expensive to hold overnight.

Stay short duration on bonds. Long-dated Treasuries have already underperformed credit for years in this environment, and a 10-year yield pushing toward 5% is not the entry point for TLT. When I started my firm, I used to trade currencies in my personal account to make some extra cash. I was scalping 30 bps a day, then I would stop. I also never traded if there was anything weird in the FX news. This week I wouldn’t make a trade because there is way too much uncertainty. You want to stay overweight energy: XLE and CRAK are both in confirmed uptrends and benefit directly from the oil breakout regardless of what the Fed does. Underweight small caps and industrials, both are already breaking down technically and are first in line when funding costs rise and breadth thins. Watch the multiples map above like a scoreboard: if oil rolls over and the 10-year turns back down, the 8,505 case comes into play fast. If it doesn’t, 6,300 to 6,650 is the base case for the next leg down. And don’t mistake a hot CPI print driven by a gas station line for the kind of inflation that actually erodes your purchasing power over time. That kind only comes from one place, and Wednesday’s decision isn’t it.

And remember - The one fact pertaining to all conditions is that they will change.

Follow me on X for more updates.

Best regards,

-Kurt

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

The RiskSignal Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hil, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

Underneath, CTAs sold hard Monday, bought back through Wednesday, then sold again lightly into Friday, a net seller for the five days even as the combined positioning z-score stayed pinned above the plus-2 extreme-long line it broke through last week. Vol-control funds did nothing for four sessions, then bought $19.3 billion in one print Friday, the entire week’s net buying in a single day. Breadth kept sliding, down to 66.6 from 71.7% last week. Friday’s jobs data landed on top of all of it. The index fell 0.38% on the day, not the air pocket that the index was vulnerable to.

Asset Performance

Bitcoin was the mover, up 5.13% on the day, cutting the year-to-date loss to negative 8.09% from negative 9.21% last week. Gold gave back another 0.84% Friday, on top of the 3.24% single-day drop from two weeks ago, but the quarter-to-date gain still holds at 10.42%. Emerging markets led the day at plus 1.82%, and the Russell 2000 still leads every domestic index on a year-to-date basis at 19.89%, even with a red quarter-to-date print of negative 1.61%. WTI crude sat almost flat on the day at negative 0.09%, still up 33.37% for the quarter. The dollar firmed marginally, up 0.13%, doing nothing to interrupt a quarter that has it down 2.01%.

Implied Correlation

CBOE one-month implied correlation eased to 8.60 from 8.87 last week, still flagged elevated above the 8.0 threshold. The two-year percentile slipped to 15% from 18%, meaning even an elevated reading now sits closer to the bottom of its own two-year range. Correlation staying low keeps single names trading apart from the index, which the momentum universe below confirms directly, with the best and worst performers in the 503-name universe again pulling in opposite directions by a wide margin.

Vol Term Structure and Economic Calendar

Front-dated SPX implied vol sits at 11.34%, this is cheap relative to what’s on the calendar. The first cluster lands September 10: Continuing Claims, Initial Jobless Claims, PPI, and Existing Home Sales, all lower-impact, priced at a ±1.05% expected move. CPI and Core CPI on September 11 are the first real test, pushing SPX IV up to 12.44% and a ±1.30% expected move, with put implied vol running 2.38 points above calls, the widest skew in the two-week window.

Earnings

Labor Day closes the market entirely Monday, no earnings scheduled. Wednesday brings Chewy, Nano-X, Oddity, and SailPoint before the open, AeroVironment and American Eagle after the close. The week’s earnings test lands Thursday after the close, when Oracle and Adobe report within the same session, both a direct read on the AI infrastructure and cloud-spending buildout Nvidia’s earnings release reinforced this two weeks ago. Copart, RH, and LightPath round out the same evening. Kroger reports before the open Friday, the week’s only consumer-staples print.

Sector Momentum

Energy leads again. XLE sits alone in the leading quadrant, up 2.2% over five days on a year-to-date return still well clear of the rest of the group. Technology is the week’s best mover among the majors, XLK up 0.9%, a reversal from last week’s decline. Consumer discretionary is the new laggard, XLY down 2.0% over five days. Real estate and industrials both faded, XLRE down 1.2% and XLI down 1.1%. Financials went flat and communication services slipped 0.8%, giving back the ground both sectors gained last week. Utilities still posted a positive five-day return at 0.8%, but that reading is down from where it stood seven days ago.

Single-Name Momentum Universe

SanDisk is this week’s outlier, alone in the upper right of the 503-name universe and the largest mover on both the day and the week by a wide margin. NRG, KLA, Coherent, and Marvell cluster just behind it, all posting strong five-day gains. Marvell’s presence there is the week’s reversal: last week it was flagged as the cautionary tale of the earnings season, sitting in the laggard cluster and confirming the skepticism heading into its print. This week it sits on the opposite side of the chart entirely. Fair Isaac and Lululemon anchor the bottom, both down double digits on the day, the worst showing in the universe, with Autodesk close behind.

Market Structure: Gamma Flip

Dealers are back in positive gamma, closing the week at 7,719 against a 7,697 flip line, 21 points of cushion.

Weekly Expected Move

The options chain prices the week ahead at a 1.05% range in either direction, upside to 7,799 and downside to 7,638, with the two-sigma band out to 7,880 and 7,557. Implied volatility sits at 10.1%, and GEX sits at 7,697, essentially the flip level itself.

Volatility Regime

One-month realized vol fell again, to 8.39 from 10.49 last week, while three-month held closer to flat at 12.49 versus 13.46. The gap between the two readings keeps widening even after a week with two multi-day directional swings in the underlying index. Low-vol regime, confirmed for another week.

Systematic Fund Flows

CTAs sold hard to open the week, bought back through Wednesday, then sold lightly again into Friday, a net seller for the five days even as the absolute positioning level stayed pinned near the extreme-long territory. Vol-control did almost nothing for four straight sessions, then bought $19.3 billion in a single print Friday, enough to swing the five-day total to a $16.6 billion net buy and tag the trend bullish.

Both engines are running near the top of their multi-year ranges in absolute terms, tracking an index sitting near its own highs. The two landed in the same place they started the week, long, but they took very different roads to get there.

Positioning Index: Systematic Z-Score

The combined CTA and vol-control z-score is still above the plus-1 line it broke through last week, the highest sustained reading in the six-month window even after a week that saw CTAs turn net sellers. That is the tension in this market: the flow data says selling, the positioning level says stretched-long, and both are true at once because the level was built over months and the flow measures five days. Extreme-long positioning typically means less room to add on strength and more room for an air pocket on disappointing news, exactly the setup heading into Friday’s jobs data, and exactly what a mild 0.38% pullback did not confirm.

Market Breadth

Breadth fell sharply, to 66.6% of the S&P 500 above its 200-day moving average from 71.7% last week, a single-week drop nearly double the size of the two prior weeks’ declines combined. Still solidly inside the optimism zone above 60%, but fewer stocks are carrying the index even as the spot level sits within a percent of its own all-time highs.

Dealer Gamma Dashboard and Composite Regime

Gamma, realized volatility, and breadth all read bullish. Flow reads neutral given the CTA reversal, and the weighted composite stays neutral, the same output as last week even after a mid-week round trip in every underlying signal. Composite regime holds Risk-On, and the allocation is unchanged: 75% SPHB and 25% SPXL, identical to last week’s close, even though the live signal spent Monday and Tuesday defensive at 50% SPLV and 50% SPHB before flipping back.

Tactical Allocation Performance

The weekly sleeve recovered, up to 22.04% year-to-date from 21.41% last week, while the S&P 500 total return rose to 13.65% from 13.51%. That widens the weekly sleeve’s lead back out to 8.39 points from 7.90 the week before.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

Asset Performance

Gold is the reversal of the month, down 3.24% Friday, the sharpest 1-day drop on the table, cutting the year-to-date gain from 6.83% last week to 3.17% now even with the month still up over 10%. Bitcoin keeps closing its gap, up 23.92% on the month and 1.58% on the day, trimming the year-to-date loss to negative 9.21% from negative 17.32% last week. WTI crude is flat on the week but still up 87.54% year-to-date, and the dollar firmed 0.57% on the day without breaking its soft quarter, still down 1.49%.

Implied Correlation

CBOE one-month implied correlation is still historically low but climbing for a second straight week. Correlation is heading the direction dispersion normally implies single stocks trading further apart from each other and from the index, which the momentum universe below confirms directly.

Vol Term Structure and Economic Calendar

Front-dated SPX implied vol is 8.79%, up slightly from last week’s 8.49% floor but still cheap for what’s on the calendar. ISM manufacturing and JOLTS both land on Tuesday, high-impact but priced at only plus or minus 0.65%. Wednesday’s ADP report carries plus or minus 0.82%. The real event is Friday, when ISM services, average hourly earnings, nonfarm payrolls, and the unemployment rate all land the same day, priced at a plus or minus 1.19% expected move, the widest of the 2-week window before the extended read out to September 10th. Worth watching going in: the prior nonfarm payrolls print came in at negative 23,000, a contraction, not a slowdown. Friday either confirms the labor market cracked or shows that print was noise.

Earnings

Nvidia earnings guidance: $108 billion for Q3, gross margin 74% next quarter, then a bottom of 71% to 72% in Q4 before recovering to 72% to 73% in fiscal 2028. Memory pricing has moved further and faster than the company expected, and management is treating that as a symptom of the same AI buildout driving its own growth, not a separate problem. The more important line from the call is that management called the 70% fiscal 2028 revenue growth guide a supply number, not a demand number, and said unconstrained demand runs well above it, meaning Nvidia is telling you it could sell more than it’s guiding to if it could build it. On the balance sheet, Nvidia is now financing part of its own demand: roughly $50 billion invested directly into frontier AI labs, a new partnership with six infrastructure capital providers (Apollo, BlackRock, Blackstone, Brookfield, Goldman Sachs, and KKR) to raise over $500 billion in third-party financing for those labs, and a specific commitment to backstop nearly 2 gigawatts of compute for one lab’s credit. Management called this circular financing directly on the call and disagreed with the label, but the mechanics are real: Nvidia sells the chips, then helps arrange the financing that buys the chips. That isn’t automatically a problem, but it’s a dependency worth tracking, and it’s new. None of this is why the stock didn’t run. It spiked as much as 8.5% intraday. Demand isn’t the risk here. Cost is. And because Nvidia carries close to 8% of the S&P 500’s weight, a stock trading a ten-point range on one print moves index-level realized vol and dealer gamma on its own, independent of anything else on the tape that week. This week’s calendar carries the same AI capex theme one level down the chain: Dell and Palo Alto Networks report Tuesday after the close, Broadcom and Snowflake Wednesday after the close, and Lululemon, DocuSign, UiPath, and Zscaler round out Thursday. Broadcom in particular is a direct read on the custom AI chip side of the same buildout Nvidia just confirmed is still accelerating.

Sector Momentum

Energy again leads on both axes, XLE up another 2.8% on the week and still the top year-to-date sector by a wide margin. Communication services and financials improved, XLC up roughly 1.4% and XLF up roughly 1.1%. Health care gave back all of last week’s surge and then some, sliding roughly 2% after being the week’s best mover at plus 4.3% seven days ago, the sharpest reversal on the board. Technology and industrials kept cooling, down roughly 1.5% and 1.7% respectively even with strong year-to-date returns still intact.

Single-Name Momentum Universe

Marvell is this week’s cautionary tale. It went into last Thursday’s print already sitting in the laggard cluster, and by Friday it was among the worst performers in the entire 503-name universe, confirmation that the skepticism going in was earned. ServiceNow is the standout on the other side, up roughly 22% over five days, the single largest mover in the universe. PayPal is the single worst, down double digits on both the day and the week, with no clear catalyst visible in the data alone. Nvidia, by contrast, is nowhere near either tail this week. After last Wednesday’s print and the wild single-day swing that followed, the stock has settled back into the pack, a sign the initial reaction is fading rather than compounding.

Market Structure: Gamma Flip

Dealers are back in positive gamma, spot at 7,712 sitting 17 points above the 7,695 flip. Last week’s report said this could flip back positive within the week. It did, within days. The cushion is thin either way, but the direction of the surprise now runs the other way: dealers buy dips and sell rips as long as spot holds above 7,695, which suppresses the range instead of widening it.

Weekly Expected Move

SPX priced a 1.49% weekly range in either direction, upside to 7,827 and downside to 7,597, with the two-sigma band out to 7,942 and 7,482. GEX sits at 7,694, right at the gamma flip level, and spot already tested down toward it by Friday afternoon after spending most of the week in the upper half of the range.

Volatility Regime

One-month realized vol dropped again, to 10.49 from 12.85 last week. Three-month held at 13.46. The gap between the two readings is the widest it’s been in months, and realized vol fell even as dealers flipped back positive, meaning last week’s negative-gamma break never showed up as an actual volatility event. Low-vol regime, confirmed again.

Systematic Fund Flows

The two systematic engines swapped roles this week. CTAs, sellers for three straight days last week, reversed hard: two long days Wednesday and Thursday pushed the five-day change to plus 0.040 in z-score terms, a clean uptrend now tagged bullish. Vol-control did the opposite of its usual job, staying a net buyer at plus $0.2 billion over five days but decelerating from plus $0.4 billion the week before, enough of a slowdown that the system now flags it as a downtrend even with the sign still positive. Notional exposure barely moved, $224.6 billion against $224.2 billion last week. The buyer that showed up this week wasn’t the one that showed up last week.

Positioning Index: Systematic Z-Score

The combined z-score didn’t just recover; it spiked. After sitting near the plus 1 bullish line last week, it jumped through plus 2 by Friday, the highest reading anywhere in the 6-month window and territory the index hasn’t touched since the rally off April’s lows. The CTA reversal above is the driver: two aggressive long days moved the 20-day rolling number further and faster than the underlying flow data alone would suggest. Positioning is now stretched on the long side, which typically means less dry powder to extend gains and more room for an air pocket on any disappointing print, exactly what Friday’s jobs data could deliver.

Market Breadth

Breadth slipped again, to 71.7% of the S&P 500 above its 200-day moving average from 72.5% last week and 74.4% two weeks before that, the third straight weekly decline. Still solidly inside the optimism zone above 60%, but the trend is now three weeks old: fewer stocks are participating even as the index sits near highs.

Dealer Gamma Dashboard and Composite Regime

Gamma, realized volatility, and breadth all read bullish; flow is neutral given the CTA reversal, and the weighted composite stays neutral, same output as before dealers went negative two weeks ago. But the composite regime upgraded to Risk-On, and the allocation moved back with it: out of the 50% SPHB and 50% SPLV defensive split from two weeks ago, back into 75% SPHB and 25% SPXL.

Tactical Allocation Performance

The weekly sleeve is down to 21.41% year-to-date from 22.66% last week. The daily sleeve fell to 12.84% from 13.76%, and with the S&P 500 total return now at 13.51% year-to-date, up from 12.95%, the daily sleeve is behind the index for the first time this cycle, by 0.67 points. The weekly sleeve’s lead also narrowed to 7.90 points from 9.71. This is a rules-based process, and two straight weeks of giveback while the benchmark grinds higher is exactly the stretch it’s built to survive, not the stretch that proves it wrong.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

Asset Performance

Implied Correlation

CBOE one-month implied correlation is 8.34, down from 8.67 last week but still above the 8 line that defines an elevated regime. At the 13th percentile over two years it remains historically low despite the pullback. Low correlation keeps index vol pinned while leaving room for the wide single-stock dispersion the momentum universe shows below.

Vol Term Structure and Economic Calendar

Wednesday brings the week’s key test: GDP, core PCE, and the PCE price index together, all high-impact, priced at plus or minus 1.09%.

Earnings

Retail and mega-cap tech share the week. Dollar General and Best Buy report Thursday before the open, a read on discretionary spending. Nvidia reports Wednesday after the close, the single most important print of the week for index given it is the biggest weighting in the S&P 500 at 7.98%. CrowdStrike and Salesforce report the same night. Marvell, Workday, and Ulta follow Thursday after the close. No earnings scheduled for Friday.

Sector Momentum

Technology, industrials, and utilities all cooled, each down roughly 3.4% to 3.5% over five days even with positive year-to-date returns still intact. Communication services and consumer discretionary remain the laggards, both negative for the year and roughly flat to down for the week.

Single-Name Momentum Universe

Dispersion is extreme again. Moderna is the outlier of outliers, up roughly 125% over five days and still adding on the day, a print far outside the rest of the 503-name universe. Coinbase (roughly +18% over five days), Freeport-McMoRan (roughly +12%), and Robinhood (roughly +13% on the day alone) sit in the next tier, all crypto- or commodity-linked names riding bitcoin’s month and copper’s bid. On the downside, Marvell, Sempra, Edison International, and CenterPoint sit in the laggard cluster, modestly negative on both windows heading into Marvell’s print Thursday.

Market Structure: Gamma Flip

Below the flip, dealers buy strength and sell weakness, which widens range instead of suppressing it. Given the 20-point difference, this could be short-lived, which is why the tactical allocation is neutral and not bearish.

Weekly Expected Move

Volatility Regime

One-month realized vol fell to 12.85 from 13.17 last week. Three-month held steady at 13.46. Still a low-vol regime, and the gap between the two windows widened even as SPY broke the gamma flip Friday, meaning the drop hasn’t registered as a volatility event by realized standards yet. That’s the disconnect: dealers flipped negative structurally, but the tape hasn’t priced it. We could easily move to back into positive gamma this week.

Systematic Fund Flows

Vol-control stayed a net buyer, but barely: plus $0.4 billion over five days against plus $4.5 billion the prior week; the re-leveraging pace is stalling out. CTAs did the opposite. Three straight short days from Tuesday through Thursday put the five-day change in a clean downtrend after last week’s flow. Both algos remain long in absolute terms and positioned near cycle highs, but the marginal buyer went missing this week and the marginal seller showed up.

Positioning Index: Systematic Z-Score

The combined CTA and vol-control z-score climbed back above zero and toward the plus 1 bullish line over the past month, recovering from the sub negative 2 capitulation low earlier in August. That’s the mid-term read. It doesn’t yet reflect Friday: the daily flow data above already shows CTAs three days into a short streak. The 20-day rolling z-score hasn’t caught up to that turn. Watch for it to roll over this week if the selling continues.

Market Breadth

Breadth slipped to 72.5% of the S&P 500 above its 200-day moving average, down from 74.4% in last week’s report.

Dealer Gamma Dashboard and Composite Regime

Two of four signals flipped. Gamma went bearish. Flow went from bullish to neutral. Realized volatility and breadth held bullish. The weighted composite stays neutral, same as last week, but the composite regime downgraded from Risk-On to Neutral, and the allocation moved with it: out of 75% SPHB and 25% SPXL, into 50% SPHB and 50% SPLV. The leveraged sleeve is gone. Half the book is now defensive low-vol.

Tactical Allocation Performance

Both sleeves gave back performance. The weekly portfolio fell to 22.66% year-to-date from 27.13% last week. The daily portfolio fell to 13.76% from 17.90%. The S&P 500 total return sits at 12.95% year-to-date, itself down from 14.54%. The daily sleeve’s edge over the index shrank from 3.36 points to 0.81, nearly erased in a week. Leveraged beta cuts both ways. This is the other side of it. This is a rules-based process, and not every signal is going to be perfect.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

The S&P 500 sits at 7,756, down 0.02% from last week’s 7,757 close. Flat on the surface. Underneath, the tape ran a full round trip. A 2.3% drop to 7,576 on Tuesday moved dealers into negative gamma and flushed the systematic book to capitulation, then the index recovered to a 7,786 high by Friday and settled back near where it started. The index ended the week unchanged.

Asset Performance

The S&P 500 is at 7,756, up 13.30% year-to-date, essentially flat on the week. The Russell 2000 at +23.03% and Emerging Markets at +23.23% both run ten points ahead of the index, so leadership is broadening past mega-cap. Gold added 10.43% on the month to sit +3.37% YTD, the best month of any major, and we added 4% on July 31st.

Implied Correlation

CBOE 1-month implied correlation rose to 8.81 from 7.38 in last week’s report, crossing back above the 8 line into elevated. At the 16th percentile over two years, it is still historically low. The bounce off the lows is the tell: single names are starting to move together again, which is what a vol event does when it pulls the whole tape one direction. Extremely low correlation had kept index vol pinned and left breadth unable to cushion a drop.

Vol Term Structure & Economic Calendar

Empire State manufacturing Monday, building permits, housing starts, and industrial production Tuesday, initial jobless claims and the Philadelphia Fed survey Thursday, all medium-impact. Nothing high-impact prints until the Core PCE, GDP, and PCE price index cluster on the 26th. The vol surface reflects it, with no high-impact marker until that cluster.

Earnings

Retail owns the week. Home Depot reports Tuesday before the open, Target, Lowe’s, and TJX Wednesday, Walmart Thursday, Ross Stores Thursday and BJ’s Friday to close it out. Walmart and Home Depot are the consumer read: guidance from either sets the tone for whether the spending that has held GDP together is still intact. Analog Devices reports Wednesday and carries the analog semi cycle. Deere and Alibaba round out Thursday.

Sector Momentum

Energy came back. XLE moved further into the Leading quadrant, up 3.7% on the week and back near the top of the YTD range after sitting in Weakening in last week’s report. Technology still holds the highest YTD return, but XLK’s arrow points down: up 2.4% on the week with 5-day momentum cooling. Utilities gained 2.3% on the week off a low YTD base, the only name improving from the left side. The laggards are unchanged, with XLY down 2.5% and XLC down 1.0%, both negative YTD and negative on the week. The rotation is energy taking back leadership while tech’s short-window momentum fades.

Single-Name Momentum Universe

The dispersion narrowed but stayed wide. STX is the standout, up 20% on the 5-day after sitting down 5% in last week’s report, a full reversal. TPR sits at the opposite pole, down 20.5%. That 40-point spread is tighter than last week’s PLTR-to-PODD range but still extreme. GLW led the single day at up 5.1%, PWR up 3.2%. The energy-linked names cluster green on the 5-day, with NRG, EQT, WMB, KMI, and CEG all positive, consistent with the sector rotation. CSCO and EBAY both sit down 8%, the two names dragging the middle. Last week’s mega-cap leaders, PLTR and GLW on the 5-day, folded back into the center cluster. Leadership rotated.

Market Structure: Gamma Flip & Weekly Expected Move

The gamma flip sits at 7,730. Spot level is 7,756, which puts dealers 26 points into positive gamma. That is a thin cushion. A week ago dealers held 148 points above the flip, and the mid-week drop pulled spot to the line and briefly through it before Friday’s recovery reset the buffer. Dealers long gamma sell strength and buy weakness, suppressing range as long as spot holds 7,730. Below it they flip negative and any move down accelerates, exactly what the 11th delivered.

The one-sigma weekly move runs about 2.3% to the upside toward 7,932 and 1.5% to the downside toward 7,640, off 12.0% IV. The band is wider up than down. GEX at 7,730 sits just below spot, so the flip line and the operating floor are the same number this week. Revisit that level through the week so you don’t surprise yourself out of a trade. A hold keeps the vol suppression on. A break turns dealers into sellers.

Volatility Regime

One-month realized volatility is back below the three-month, resolving last week’s inversion and returning the regime to low-vol. The 30-day reading fell through the week even with the 2.3% drop on the 11th, because the fast recovery kept the realized print contained. The signal that fired high-vol in last week’s report has reset.

Systematic Fund Flows

Both algos turned back to buying after the recent toilet flush. Vol-control was a net buyer of 4.5 billion over five days, with 1.3 billion Thursday and 3.5 billion Monday as realized vol fell and the roughly 300 billion machine re-leveraged. Its absolute allocation sits at 224.2 billion, up from 216.4 in last week’s report.

CTAs are a little messier: net buyer by a hair over five days, but the daily flow flipped short Tuesday, long Wednesday and Thursday, then short again Monday. The vol-control bid is back and mechanical. The CTA bid is indecisive and could break either way into the PCE print.

In absolute terms, the complex is still long. Vol-control notional exposure and the CTA trend signal both sit near the top of their ranges, so the level is heavy even as the recent five-day change turned choppy. Here is the tension: high absolute positioning with little dry powder, sitting on top of a book that just got flushed and rebuilt.

Positioning Index: Systematic Z-Score

The combined CTA and vol-control z-score sits near negative 0.7, recovering from a capitulation low below negative 2 sigma during the mid-month drop. Here is the divergence to hold onto: the index is at its highs while systematic positioning sits below neutral. The algos de-risked hard and are only partway rebuilt. Unlike last week, when the z-score sat above neutral with no dry powder, the flush restored room to re-lever. This is a cleaner setup for the bulls, provided PCE does not fire vol back up.

Market Breadth

Breadth is 74.4% of the S&P 500 above its 200-day moving average as of Friday, up from 73.2% in last week’s report.

Dealer Gamma Dashboard

All four component signals read bullish: gamma, realized volatility, flow, and breadth. The weighted composite lands neutral, and the regime output is Risk-On. The allocation holds at 75% SPHB and 25% SPXL for a third straight week, high beta over leveraged beta.

Tactical Allocation Performance YTD

The weekly sleeve sits at 27.13% year-to-date against the S&P 500 total return at 14.54%, running 12.59 points ahead. The daily sleeve is at 17.90%, ahead of the index by 3.36. Both beat.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

Asset Performance

Crude at +70.59% YTD is still the standout, but it gave back 8.66% on the month. That reversal is important. When oil rolls over this late in the year while equities push new highs, the stagflation premium that helped fund the energy trade all year could be unwinding right now. Gold sits flat at +0.55% YTD after a 7.25% monthly gain. We added 4% to gold on July 31st. Bitcoin is down 26.93% on the year, the worst major asset, and the divergence between crypto and equities is the widest it has been in 2026. However, bitcoin has put in a local bottom, so long-term investors should be keeping an eye on this if they want to play the macro at these levels. Emerging Markets lead international at +19.98% YTD.

Implied Correlation

When the broadest index is driven by the fewest names, vol sits pinned, and breadth cannot provide a cushion. That is the mechanical risk worth keeping an eye on.

Vol Term Structure & Economic Calendar

1-month realized vol is 14.04, 3-month is 13.79. The term structure is flat, and one-month has crossed above three-month, an inversion that says her volatility should be expected. This week brings CPI and Core CPI Wednesday, Initial Jobless Claims and PPI Thursday, Retail Sales Friday. These events sit in the high-impact bucket and are marked on the vol surface already.

The vol surface shows put IV trading consistently higher than call IV across the event calendar. Put IV at 11.60 against call IV at 10.38 into Wednesday’s CPI, with the P/C OI ratio at 0.80. That premium on puts is a defensive skew, meaning traders are pricing downside tail risk into the tape ahead of these prints. The near-term expected move is ±57 points. This is not a complacent market.

Earnings

Cisco, Applied Materials, and Coherent report this week. Applied Materials is the single tell on whether the AI capex cycle continues to sustain growth or rolls over. AMAT misses on guidance, the cycle cracks; AMAT guides up, the cycle holds. That result is binary and moves the entire semiconductor complex.

CoreWeave and Nebius also report this week, those two names carry the AI infrastructure buildout narrative. The market has priced these stocks in as the picks and shovels of the compute trade. A guide-down from either of them would invalidate the capex growth story that has held the index up the last two years.

Sector Momentum

Technology leads at +29.4% YTD and up 8.0% on the last week, sitting alone in the Leading quadrant. That is the only sector with both positive YTD and strong positive weekly momentum. Energy is +28.6% YTD but down 1.9% on the week, decelerating in the Weakening quadrant. We sold all of our energy on the April run-up, and I am not in a hurry to get back in at these levels, but I do think it could stay elevated for a while. The carry trade that funded the rally is losing steam.

Single-Name Momentum Universe

The dispersion is extreme. The upper right is all momentum leaders: PLTR at +40% on the 5-day and +10% on the day, GLW +20%, AXON +8%, TTWO. These names are geen on both axes, which means momentum is self-reinforcing and capital is not rotating out yet. ORCL, CRWD, NVDA, FOXA all cluster in the +10% 5-day zone.

The left side holds the laggards. STX is down 5% on the 5-day. NRG, PODD, CBOE all print negative 5-day, sitting in the lower quadrant. The spread between PLTR at the top right and PODD at the bottom is nearly 55 percentage points over the 5-day period. That is the widest single-name dispersion of 2026. The center holds the bulk of the index near zero, which shows the S&P 500 is like a barbell: extreme winners in a handful of momentum names, laggards in the rest, and nothing in between.

Market Structure: Gamma Flip & Weekly Expected Move

The gamma flip line sits at 7,610. The SPX spot level is at 7,758, which puts dealers 148 points above the gamma flip line, in positive gamma. Dealers are long gamma, which means they sell into strength and buy into weakness, suppressing volatility as long as spot holds above the gamma flip line.

The one-sigma expected move is 2.02% in either direction off the 7,758 close. That band runs from 7,915 on the upside to 7,601 on the downside. That is the operating range dealers are hedged for. The flip at 7,610 sits just inside the lower band. A break below 7,610 forces dealers negative, which accelerates any move lower. A hold above 7,610 keeps the vol suppression burner on. GEX sits at 7,610. For now, dealers are hedged for 2.02%, and that is what you trade until CPI hits.

I recommend revisiting these levels throughout the week so you don’t surprise yourself out of a trade that was expected.

Volatility Regime

One-month realized volatility sits at 14.04, above the three-month at 13.79. The regime reads high-vol, and one-month over three-month is the inversion that fires the signal. Realized vol climbed on the week as the 268-point rally added daily range. A single day of realized vol above 18 forces a 15% unwind in notional exposure across the vol-control universe. That is the mechanical risk in place.

Systematic Fund Flows

The two systematic flows split this week. Vol-control funds were net sellers of 3.1 billion over the past five days, with a peak sell of 6.7 billion Tuesday before three straight days of buying that recovered most of it. The absolute allocation level sits at 216.4 billion. The Tuesday sell was the mechanical response to the prior week’s realized-vol spike; the recovery is those same funds re-leveraging as vol stabilized.

CTAs went the other way. Net buyers of +0.212 on the z-score over five days, bullish at +22.6%, in an uptrend, back near the top of the chart. The CTA long that turned every dip into a buy has been built right back up. That can cut both ways though: it amplifies strength, but it also means the mechanical bid is fully committed with little dry powder left to add, and the light switch can go the other way. FAST.

Both algos point in the same direction into this week. Vol-control is re-leveraging as realized vol stabilizes, and CTAs are long and buying. The systematic bid is back, and it could be getting stretched on a short-term basis. The risk is that a hot CPI print flips realized vol higher, which forces vol-control to sell into a CTA book that is already max long. That is how the mechanical bid becomes a mechanical unwind.

Positioning Index: Systematic Z-Score

The combined CTA and vol-control z-score sits near +0.5 sigma. The algo rebuild is driven by both components: the CTA trend portion pushed back toward extreme long, and the vol-control signal recovered as realized vol stabilized. The systematic complex is re-leveraged into the data.

Market Breadth

Breadth is 73.2% of the S&P 500 above its 200-day moving average, up from 68.3% two weeks ago. The data improved with the rally and sits far from the 40% pessimism line. Breadth confirming the move higher is what separates this from a narrow-leadership top.

Dealer Gamma Dashboard

The regime output is Risk-On, which reflects that the bullish signals outweigh the neutral composite. The allocation holds at 75% SPHB (high beta) and 25% SPXL (leveraged beta), putting the gas pedal to the floor for the second week.

Tactical Allocation Performance YTD

The weekly sleeve sits at 25.26% year-to-date against the S&P 500 at 14.09%. The daily sleeve sits at 16.45%, ahead of the index by 2.36%. Both sleeves beat the benchmark, and the weekly sleeve is running more than 11 points ahead. The distance between the weekly and daily performance reflects the allocation’s sensitivity to the vol-control rebalancing cycle. Weeks that see inflows build leverage early Monday and capture strength early. Last week’s rally captured that dynamic on the weekly sleeve.

Closing Position

The market is priced for a benign CPI. Wednesday will say whether that assumption holds. A cool print re-opens the case for rate cuts and sends the momentum names higher into a re-leveraged systematic book. A hot print flips realized vol, forces vol-control to sell into a max-long CTA book, and the same mechanical bid that drove the 268-point rally becomes the unwind. Dealers are long gamma above 7,610, which suppresses the move until spot breaks that line. Below it, the suppression is gone.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

The allocation shifted this week to 75% SPHB / 25% SPXL. The move is tactical, not strategic. Gamma sits 12 points beneath the 7,490 spot, which means dealers are short and absorbing weakness rather than amplifying it. That is the only fact that matters this week as earnings and macro data arrive.

Asset Performance

While the futures this morning would have you thinking otherwise, energy is the only asset class printing new highs. Crude at +86.77% YTD is an extreme read that typically signals either stagflation risk or geopolitical premium. When oil runs this hard this late in the year, and equity volatility sits neutral, it means the tape is pricing two different things at once: upside for rates staying high, downside for rates staying high. That conflict is what cap allocators are trying to hedge into.

Implied Correlation

One-month implied correlation sits at 6.19, the tightest reading in two years at the third percentile historically. The one-year change is -30.0%, meaning the market has compressed from dispersed into concentrated. This is the regime that precedes either a breakout or a breakdown with no middle ground. When the broadest index is driven by the fewest names, vol sits pinned, and breadth cannot provide a cushion. That is the mechanical risk.

Vol Term Structure & Economic Calendar

One-month realized vol is 12.16, three-month is 13.44. The term structure is flat and low. The regime is low-vol, which means vol-targeting funds remain de-leveraged and stay there until realized vol climbs past the 13.5 band. This week brings Initial Jobless Claims Wednesday, followed by Average Hourly Earnings, Nonfarm Payrolls, and Unemployment Rate Thursday. CPI and Core CPI land Tuesday next week. These events sit in the high-impact bucket and are marked on the vol surface already.

The vol surface shows put IV trading consistently higher than call IV across the event calendar. Put IV at 13.21 against call IV at 10.03 ahead of Thursday’s jobs data, with the P/C vol ratio at 0.68. That premium on puts is defensive skew, meaning traders are pricing downside tail risk into the tape ahead of these prints. The market is not complacent on the data arriving.

Earnings

Lam Research, Seagate, and Coherent report this week. The semiconductor capital equipment cycle is the single tell on whether the AI capex cycle continues to sustain growth or rolls over. Lam misses on guidance, the cycle is real; Lam guides up, the cycle holds. That result is binary and moves the entire sector.

Three weeks running the earnings calendar brought execution misses in hardware and storage names. This week’s reports will answer whether those misses were cyclical or structural. The market has been building out 2026 guidance at 7.5 to 8% earnings growth. A rollover in capex spending invalidates that entirely.

Sector Momentum

Energy sits at +33% year-to-date but momentum is stalling. XLE is flat on the 5-day at -0.1%, which means the carry trade that funded the entire rally is losing steam. Tech is +22% YTD but also rolling over 5-day at -0.3%. Both leaders are decelerating into the data week ahead, which is bearish for anyone long strength.

The real move is discretionary. XLY is the worst-performing sector year-to-date at -2.8% but up 6.1% on the 5-day, a massive reversal. Communications XLC is down 8.1% YTD and up 1.0% on the 5-day, also recovering. That mean reversion is the only thing working. Utilities are the only true break. XLU is down 4.2% on the 5-day despite being up 3.9% for the year, which signals defensive positioning is not working and capital is fleeing safety. Materials XLB is a structural disaster at -11% YTD with no 5-day bid. Industrials and real estate are both rolling over from YTD strength, confirming that breadth is cracking fast.

Single-Name Momentum Universe

The dispersion is extreme and structural. The right side is all mega-cap cloud and software: CTSH at +22%, AMZN +15%, GOOGL +12%, DXCM +15%. These names are positive on both 1-day and 5-day, which means momentum is self-reinforcing and capital is not rotating out.

The left side is a semiconductor graveyard. NXPI, SNDK, MU, QCOM all trade with red X indicators showing they are momentum shorts. NXPI sits at -15% 1D and -17% 5D. SNDK is -12% and -15%. MU is -5% on the day but -12% on the 5-day, which signals capitulation is playing out in slow motion. CTVA is -10% on both axes. The entire hardware complex that powered the first half is now in the bottom-left corner with no bid.

The center holds the bulk of the index at zero, which means the S&P 500 itself is a barbell: extreme winners in software and mega-cap cloud platforms, extreme losers in semiconductors and capital equipment, and nothing in between. That barbell breaks when the leaders stop levitating. The moment AMZN or GOOGL rolls over, the gap below them is 25% down, and there is no support to catch it.

Market Structure: Gamma Flip & Weekly Expected Move

The gamma flip sits at 7,476. The spot level is 7,490, which puts dealers 14 points short of the flip line. Positive gamma is currently +14M notional, showing in the weighted gamma exposure chart as a modest cushion above spot.

The one-sigma expected move is 1.76% in either direction off the 7,490 close. That band runs from 7,621 on the upside to 7,358 on the downside. That is the operating range dealers are hedged for. The gamma flip sits at 7,476, which puts us 14 points inside the one-sigma band on the downside. A break below 7,476 forces dealers negative, which accelerates any move lower. A hold above 7,476 keeps dealers short and neutral.

The two-sigma band (roughly 3.5% in either direction) extends to 7,753 on the upside and 7,226 on the downside, which is where the true tail risk lives. That wider band is the “if the data breaks hard” scenario. For now, dealers are hedged for 1.76%, and that is what you trade until data arrives.

Volatility Regime

One-month realized volatility sits at 12.16, well beneath the three-month at 13.44. The regime reads low-vol and keeps vol-control funds allocated. Realized vol fell further on the week as price swings compressed and intraday ranges tightened. The low-vol regime has persisted for eight weeks now, which means vol-targeting programs remain leveraged to the downside. A single day of realized vol above 18 forces a 15% unwind in notional exposure across the vol-control universe. That is the mechanical risk in place.

Systematic Fund Flows: The Situational Awareness Unwinding

Vol-control funds were net sellers of 11.6 billion over the past five days, marking the largest five-day outflow since the March selloff. The selling accelerated Tuesday and Wednesday, hitting a peak sell of 7 billion Thursday before a partial recovery Friday morning. The absolute allocation level sits at 224.5 billion, roughly 75% of the 300 billion pool, which means the formula has keyed off the higher of one-month and three-month realized vol. That binding is what persists until realized vol falls further.

CTA positioning is the more interesting tell. The vol-normalized signal dropped from near the top of its range toward flat, and the combined systematic z-score moved from +2 sigma two weeks ago to +1 sigma now. The mechanical long that turned every June dip into a buy is half gone. That cuts in two directions: less forced selling if this week breaks, and less forced buying if this week holds.

What happened here matters because it is not random. Leopold Aschenbrenner’s Situational Awareness fund managed close to 45 billion at its peak, running a 1,000% cumulative return since launch and 439% gains in the first half of 2026 alone. The fund carried massive leverage on a concentrated long equity portfolio targeting AI hardware and semiconductor capex beneficiaries. When the AI stock rotation began in mid-July, the feedback loop was vicious: mark-to-market losses on leveraged positions forced margin calls. On July 29, those margin calls came. By July 30, Citadel acquired roughly 16 billion worth of Situational Awareness’s public equity holdings at a substantial discount in a brief “bidding” process. Assets under management collapsed from 45 billion to 10 billion in hours.

That forced liquidation is exactly what you see printed in the vol-control daily flows chart. Tuesday through Thursday is the mechanical consequence of a large leveraged long equity book being liquidated into existing volatility. The chart shows a baseline allocation level around 1 billion, then a pause of 50 basis points on Tuesday as the selling began, then three days of net selling hitting 4 billion on Wednesday and 9 billion on Thursday before a partial recovery Friday. That recovery is Friday’s AI stock rally, which itself was triggered by the news that Situational Awareness kept its private portfolio of AI companies intact, including a significant stake in Anthropic valued at 965 billion in a Series H round in May.

The vol-control flows did not move randomly. They moved because a single highly leveraged fund’s liquidation force-fed mark-to-market losses into a formula-driven seller that has no discretion and no ability to absorb sudden capital flows. CTA positioning normalized at the same time, meaning the mechanical long that had been amplifying every bid since June is now neutral, reducing the upside amplification on any further strength but also reducing the downside amplification on any breakdown.

Both flows signals improved Friday into the close, but both are bearish on a five-day basis. The vol-control fund sits at absolute levels that mean any further decline in realized vol will force additional rebalancing higher into what could be a declining market. The CTA sits at neutral, meaning it is neither pushing nor pulling into Friday’s close or into the data next week.

Positioning Index: Systematic Z-Score

The combined CTA and vol-control z-score sits at roughly -1 sigma against near +2 sigma two weeks ago. The vol-normalized signal is the primary driver of that drop, with the CTA trend portion normalizing from extreme long readings.

Market Breadth

Breadth is 68.3% of the S&P 500 above its 200-day moving average, down from 70.5% two weeks ago but still solidly in optimism territory and far from the 40% pessimism line. The reading is stable and leaves room for either reversion higher or a gradual drift lower without signaling panic.

Dealer Gamma Dashboard

The individual signals remain bullish across gamma, realized vol, flow, and breadth. The weighted composite lands Neutral because those four signals carry different conviction levels and the weighting caps the combined read at the zero line. The regime output is Risk-On, which reflects that the four bullish signals outweigh the neutral weighted composite. The allocation reflects that ambiguity: 75% SPHB (defensive beta) and 25% SPXL (growth beta), a tilt toward safety within the risk-on framework.

Tactical Allocation Performance YTD

The weekly sleeve sits at 15.01% year-to-date against the S&P 500 at 10.14%. The daily sleeve sits at 6.92%, trailing the index by 3.22%. The gap between weekly and daily performance reflects the allocation’s sensitivity to the vol-control rebalancing cycle. Weeks that see outflows force defensive positioning late Friday and keep damage light. Weeks that see inflows build leverage early Monday and capture strength early. This week’s early selling pressure will reset that dynamic.

Closing Position

The market is priced for a benign data week. Thursday and Friday will say whether that assumption holds. A beat on jobless claims or a miss on Core PCE re-opens the case for rate cuts that the Fed closed on July 31. A miss on claims or a beat on PCE keeps the case for cuts closed and rates at current levels indefinitely. The vol surface is not overextended in either direction and leaves room for a 2 to 3% move in spot level without breaking the technical picture.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

The allocation stays 50% SPLV / 50% SPHB, Neutral for a second week. SPX sits 61 points beneath the 7,465 flip line, so dealers amplify weakness rather than absorb it.

Signal Dashboard

Gamma stayed bearish, flow improved from bearish to neutral, and realized volatility and breadth stayed bullish. The weighted composite lands Neutral for a second week, and the allocation did not change.

Market Recap

Last week, the flip line was 7,533, with the market 75 points below it; this week, the flip is 7,465, and Monday’s spot is 7,404, 61 points below.

Weekly Expected Move

The bands locked at 7,521 and 7,303, ±1.47% around a 7,412 midpoint. Spot has since drifted to 7,396, which is why the upside now reads +1.68% and the downside -1.26%.

Cross-Asset Performance

Implied Correlation

One-month implied correlation is 7.39, up from 6.38 last week and 3.44 the week before. Two straight weeks higher and now within 0.61 of the 8 line that separates dispersion from an index that trades as one thing. Last week I called this the tell to watch; it is still climbing and still below the line.

Earnings

Economic Calendar & Short-Dated Vol

Thursday is the print: Core PCE and GDP together, with jobless claims, personal income and personal spending alongside. Friday brings the Employment Cost Index.

Sector & Single-Name Momentum

Energy leads at roughly +30% on the year, up 1.8% on the week and alone in the leading quadrant. Technology is at +20% and falling, off 1.5%.

Underneath, the split is not technology against everything else. It is AI hardware against everything else. SanDisk, Coherent, Lumentum, Western Digital, Seagate, Intel, Lam Research, KLA, Applied Materials, AMD, Marvell and Corning occupy the bottom-left corner of the momentum universe together.

The top right is Workday, Adobe, Accenture, Cognizant, Gartner, SLB, International Paper, Digital Realty, AT&T and Verizon. Money is leaving the picks-and-shovels trade for software, services and yield. Lam Research, KLA, Corning and Seagate all report this week, and the market marked them down before they opened their mouths.

Volatility Regime

One-month realized volatility is now well beneath three-month at 12.78, which keeps the regime low-vol and keeps vol-control funds allocated.

Systematic Fund Flows

Vol-control implied allocation sits near $235 billion, roughly 78% of the $300 billion pool, because the formula keys off the higher of one-month and three-month realized vol, and three-month at 12.78 is what binds. Realized vol falling further adds no exposure from here until the three-month window follows it down.

CTA trend positioning is the bigger change. The vol-normalized signal dropped from near the top of its range toward flat, and the combined systematic z-score is now roughly +1σ against near +2σ two weeks ago. The mechanical long that turned every June dip into a buy is half gone. That cuts both directions: less forced selling if this week breaks, and less forced buying if it holds.

Market Breadth

Breadth fell to 65.3% above the 200-day from 68.5%, still optimism territory and still nowhere near the 40% pessimism line.

Tactical Allocation

The allocation is 50% SPLV and 50% SPHB, unchanged. The weekly sleeve is +16.23% on the year against the S&P 500 total return at +8.98%, and it gained ground while the index lost it. The daily sleeve is +8.05% and slipped behind the index.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

The model cut all leverage on Friday’s close and moved to 50% SPLV / 50% SPHB, down from 75% SPHB / 25% SPXL. It did not wait for a Monday gap; the composite dropped to Neutral the moment the tape lost the line. The structure weakened even as realized volatility fell and breadth rose, which is why the book stayed half in high beta. The risk is timing: beneath the flip line, low volatility is the fuel for the next move, and it meets positioning already stretched near extreme long, days before the heaviest earnings and month-end prints of the quarter.

Signal Dashboard

Gamma turned bearish and flow turned bearish, while realized volatility and breadth stayed bullish, so the weighted composite lands Neutral, down from Risk-On last week.

Market Recap

Last week the flip line was 7,497 with the market 78 points above it; this week the flip line is 7,533 and the market fell to 7,458, and the two crossed on Thursday. It rolled over on its own weight, grinding to 7,572 Wednesday before losing the line and closing Friday at 7,458, down 1.54% on the week and back to +8.94% on the year. Above the line dealers buy weakness, below it they sell it, so the cushion that held the tape through June is gone right as tech earnings hit.

Weekly Expected Move

The chain prices a symmetric week, +1.56% to 7,574 and -1.56% to 7,341, on 12.4% implied vol, with the flip line at 7,533 just above spot. In negative gamma the downside band fills faster, because dealer hedging pushes in the same direction as the move.

Cross-Asset Performance

The index gave back 1.5%, and the month-to-date column tells the story the year-to-date hides: the Nasdaq is down 2.65% and emerging markets 7.48%, while oil is up 18.69% on the month and 43.66% on the year. Leadership has narrowed to energy on a crude spike, with gold at -7.23% and Bitcoin at -26.33% for the year.

Implied Correlation

One-month implied correlation is 6.38, still a dispersion regime in the fourth percentile of two years, but it nearly doubled off last week’s 3.44. When it lifts off the floor in the same week the tape loses the flip line, names stop trading on their own stories and start moving together; it is not there yet, but it is the tell to watch.

Earnings

This week the market weight reports: Tesla, Alphabet, IBM, ServiceNow, and Texas Instruments Wednesday after the close, Intel and SAP Thursday. Technology is the largest index weight and it broke down into the exact week it has to report, so on a short-gamma tape a miss has no cushion and a beat squeezes.

Economic Calendar & Short-Dated Vol

This week is quiet on data, with only jobless claims Thursday and housing Friday. The event is the month-end cluster: Core PCE and GDP on July 30, the Employment Cost Index on July 31. Short-dated SPX implied vol is 11.36%, and the term structure ramps into those dates, with the options-implied move widening from ±1.36% around Thursday’s claims to ±2.59% by the ECI print.

The positioning underneath the calendar is skewed to the downside. Put implied vol sits above call implied vol across the curve, and the put-to-call volume ratio jumps to 2.12 into the July 31 print from 0.82 around this Thursday. The market is not paying for this week; it is buying downside protection for month-end, and with crude up 18.69% on the month the PCE print is the one that can move it. This is where negative gamma concentrates the risk: short-dated vol is where dealer hedging bites, and it is rising into the two prints that matter.

Sector & Single-Name Momentum

Energy led the week, up 4.7% and sitting alone at +31% on the year, while technology fell 5.5%, the worst move on the board and from the highest perch. Money did not leave the market, it left the biggest thing in it and crowded into the one sector levered to $82 oil, and rotations out of tech leave a mark because nothing is large enough to replace it.

The damage was concentrated in the right names to worry about: Synopsys, Cadence, Lam Research, Applied Materials, and Texas Instruments deep in the red, Netflix down hard, and Intuitive Surgical off 15%, the week those highest-multiple names have to defend them.

Volatility Regime

Realized volatility fell, one-month at 11.64 below three-month at 12.96, a low-vol regime that greenlights vol-control funds and kept the composite from going defensive. Above the flip line that calm is self-reinforcing, because dealers suppress every move; beneath it, with no dealer bid leaning against the first real move, low volatility can expand quickly, and 7,533 decides which way it breaks.

Systematic Fund Flows

Vol-control funds bought $10.0B Tuesday, $3.4B Wednesday, and $1.1B Thursday, then sold $2.7B Friday, and CTAs ran the same path from long to short on the day the tape lost the line. For six weeks the systematic bid was the story; that money is now in, and when it flips from buyer to seller in negative gamma it stops being a tailwind and becomes an accelerant.

Market Breadth

Breadth improved while the index fell, to 68.5% above the 200-day from 66.9%, which tells you the selling stayed inside the top-heavy tech names while the rest of the market held. The structure weakened this week, but participation is broad and the 40% pessimism line is nowhere close.

Tactical Allocation

The book is now 50% SPLV and 50% SPHB, down from 75% SPHB and 25% SPXL; I cut the 3x leverage on Friday’s close. Both sleeves still lead the index on the year, and the discipline is to carry beta when the regime pays for it and cut it the moment it stops, which is what the model did Friday.

Bottom Line

• Dealers are short gamma below the 7,533 flip line. Above it they cushion, below it they amplify, and we sit below it into tech earnings.

• Realized vol is low at 11.64, and beneath the flip line that is energy waiting to release once a move starts.

• Systematic flows bought all week and sold Friday, and positioning is near extreme long. The mechanical tailwind is spent.

• Breadth is 68.5% and rising, so participation is still broad while the structure weakens.

• Tech broke 5.5% into the week it has to report, and energy leads on $82 crude.

The allocation is 50% SPLV, 50% SPHB. Neutral, by design.

And remember: the one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

Pre-0500 Look.

• S&P 500 futures are down slightly, with crude up 4%, after fresh US strikes on Iran, right into this Tuesday’s CPI, Warsh’s testimony, and the start of bank earnings, kicking off earnings season.

• The US hit 140 targets in Iran overnight into Sunday; Iran fired back at Jordan and the Gulf; and Tehran says it closed the Strait of Hormuz, the shipping lane off Iran’s coast that carries a fifth of the world’s oil.

• Oman hosted talks Saturday and drafted a plan to reopen the strait, then Iranian drones struck Oman on Sunday, the same country brokering the deal.

  ---

Market Recap

Last week, I gave you 7,475, and the price never closed below it. Geopolitics drove dramatic swings throughout the week. On Monday, markets opened positively with tech leading, but the mood shifted quickly on Tuesday when Iran's Revolutionary Guard Corps fired missiles at commercial vessels in the Strait of Hormuz, striking a Qatari LNG tanker. The US Treasury Department revoked a general license authorizing Iranian oil sales, and semiconductor stocks sold off globally following disappointing preliminary results from Samsung Electronics. The SPX did slip under the flip line on Wednesday (as President Trump declared the US-Iran ceasefire "over" during a NATO summit in Turkey, and US Central Command struck 80 Iranian military targets), but took it back on Thursday, then rose to 7,575 on Friday. S&P 500 now sits +78 above the 7,497 flip line, positive gamma is deeper, and dealers are still buying dips. Up 0.5% on the week, 0.5% under the June 2nd high of 7,610. At this rate, we could hit 8,000 on the S&P 500 this year if earnings season delivers.

Asset Performance. Crude, commodities, emerging markets and small caps still lead the year, all near double the S&P 500’s +10.66%. Bitcoin is the worst-performing major asset, at -26.44%, even after a +9.93% July bounce.

Implied Correlation. One-month implied correlation fell to 3.44, a two-year low. Names are trading on their own stories, not in lockstep. META +15% on the week while Moderna fell 15%. That dispersion lets the index grind up on small gains.

Economic Calendar and Vol Term Structure. CPI Tuesday is the event, high-impact, June data. Options price just ±0.74% on that expiration, and near-term SPX IV sits at 10%. The market walks into an inflation print with almost no fear priced in. My call has not changed: headline CPI below 4.0%, and no Fed hike into an oil-driven CPI spike.

Earnings season starts this week. Goldman, JPMorgan, Bank of America, Citi, Wells Fargo Tuesday, then Morgan Stanley, BlackRock, J&J, ASML Wednesday, and Netflix, TSMC, UnitedHealth Thursday. The banks set the tone for CPI, PPI, and Retail Sales the same week.

Sector Momentum. Last week’s cyclical rotation reversed. Tech +2.9% and Energy +3.5% led the week and the year. Materials, health care, staples, and industrials all went red. Leadership narrowed back to tech and energy. That is risk-on.

Single-Name Momentum. Led everything, +6% on the day and +15% on the week. Semis and storage behind it: Seagate, Sandisk, Nvidia, AMD. The clue is the reversal: Moderna went from +22% last week to -15%, CrowdStrike +13% to -3.5%.

Weekly Expected Move. The options chain prices a symmetric week: +1.92% to 7,721, -1.92% to 7,430. Last week was lopsided to the downside at -3.07%. The crash premium drained as the gamma flip line held. GEX 7,497 is the line to hold.

Volatility Regime. One-month realized fell to 14.73 from 17.29, the drop positive gamma is supposed to produce. Fast vol is closing on slow vol at 12.91. As soon as fast vol closes in on slow vol, volatility control funds will be forced to buy.

Systematic Fund Flows. CTAs and vol-control both turned net buyers. CTAs printed long every session, vol-control bought $23.8B over ten days, including a +$34B day on Wednesday. Mechanical money is adding fuel.

Positioning Index. Systematic positioning climbed off its late-June capitulation low but remains net short on a tape near the highs. Under-positioned money chasing a market that keeps holding. This headwind is turning into a tailwind.

Market Breadth. 66.9% of the S&P 500 trades above its 200-day MA, flat for the week and firmly in optimistic territory. The 40% bearish line is nowhere close. This tells us that this is sector rotation inside a bull market.

Dealer Gamma Dashboard. Gamma and breadth Bullish, realized vol and flow Neutral. Composite Regime still Risk-On. Allocation stays aggressive: 75% SPHB, 25% SPXL.

Tactical Allocation. Weekly proxy +21.91% on the year, daily +14.71%, S&P 500 +11.36%. Both beat the index this week. Fully invested always, so read it as a beta and regime barometer rather than just a performance metric.

And remember - The one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

The noise is deafening right now. Iran is flaring back up. AI capex is suddenly in question, and the memory names are getting torched. The dollar is ripping on a Fed that won’t cut, which is dragging the yen to the floor and putting the whole carry trade back on watch for an unwind. Pick any one of these, and it can hijack a whole week.

But does any of it really matter right now?

You know I lean into technicals and quant signals, and I watch flows more closely than most. That is my wheelhouse. When the tape gets this loud, though, I find it valuable to take five big steps back and look at plain, boring fundamentals.

Earnings backfilled the rally

July’s Market Multiple increased, and for once, it did so for the right reason. Earnings did all the work. But the setup that got us here leaves absolutely no cushion. Everything now hinges on two variables, and both have to keep moving in the right direction.

The bigger of July’s two changes runs through earnings. FactSet’s 2026 S&P 500 consensus jumped again after May results, from $320 to $340 a share. That’s a long way from the $305-$310 the Street penciled in at the start of the year. Aren’t Wall Street predictions so helpful? Not. So the market sits near 22X forward earnings. That’s a rich number, and the underlying earnings growth is keeping it honest.

Why does this matter? AI data center demand is pushing earnings expectations up quickly, and those higher numbers are backfilling the valuation gains. Higher estimates absorbed the run-up, so the multiple held roughly flat while the index climbed. That happened again last month.

The second change. Geopolitics came off the board as a market influence. Oil fell back to, or just under, pre-war levels, which tells you investors have stopped pricing a reescalation out of Iran or Ukraine. Remember, Ukraine? With oil lower, the tape has narrowed its focus to the two influences that actually drive it right now.

Two influences, and no room to be wrong on either

AI and data center spending is first because it drives both economic and earnings growth. Inflation and rate-hike expectations are second, because a Fed hiking cycle is one of the few events that can pull the multiple lower on its own.

The news on both came in mixed, which is exactly enough to hold a stretched market in place and nothing more.

On the AI side, the infrastructure names fell in June, with memory and semis leading the drop. Nothing foundational broke. Every major player reaffirmed its buildout intentions, and the selloff looks like profit-taking after an unsustainable run. As long as spending intentions hold, treat the dip as consolidation inside a rising market. This is essentially a privately funded economic stimulus package.

On inflation, the news was skewed positive. The Warsh Fed carried a more hawkish tone than the market is used to, but it held rates steady, and Warsh himself sounded measured at the ECB’s Sintra conference. Some leading inflation indicators rolled over from last month’s peak, which aligns with the idea that lower oil prices take pressure off prices.

Add it up, and you get a market positive enough to hold a historically high multiple, and stretched enough that a bad surprise on both influences at once could take 5% to 10% out fast. That’s what a market does when it prices perfection and gets handed less.

The three scenarios and where they sit on the chart

All three targets moved up this month, and every bit of that came from higher earnings. The multiples held steady. The S&P opened the week within 20 points of the current-situation upper bound at 7,480 and has traded sideways just above it since.

Current Situation. Data center spending is holding up earnings and growth. Inflation is still high, though lower oil and softening price indicators hint that the pressure is easing. One hike this year is about the ceiling here. At $340 in EPS and a 21X to 22X multiple, that’s a range of 7,140 to 7,480, with a midpoint of 7,310, up 6.3% from June. The midpoint is the level that matters. It lines up with the summer support that’s held through every dip, and the 13-week moving average sits right on top of it just under 7,325. The Fed is not going to raise rates in 2026. Inflation is about to print downwards over the next two months.

Better If. Q2 earnings reaffirm the growth path, and inflation metrics have fallen enough to ease fears of a hike. More of a good thing. On $350 in EPS and a 22.5X multiple, the target is 7,875, a fresh record and up 3% from June. There’s no price history up there yet, though two separate measured moves off recent pullbacks split the difference within 10 points of that number. If stocks stabilize and push back to the highs, 7,875 comes into play, and 8,000 stops look ambitious.

Worse If. AI spending intentions start getting cut, which hits earnings and growth at the same time, and inflation refuses to recede. This reverses the exact reasons stocks have rallied since April and drives the multiple toward 20 and below. On $310 in EPS and an 18X to 19X multiple, the range is 5,580 to 5,890, midpoint 5,735. That zone has the deepest price memory on the chart, running straight through the middle of the H1 2025 trade, so it should catch a real selloff. Lose it, and a downside measured move points at an even 5,000.

The multiple is high because the earnings are supportive for now. That’s the good news. It’s also the entire problem. 22X, prices zero disappointment, and this rally is now leaning on only two influences that both have to keep cooperating. I’m not short this market. I’m not going to overpay for it either.

And remember - The one fact pertaining to all conditions is that they will change.

Follow me on X for more updates.

Best regards,

-Kurt

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

The RiskSignal Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hil, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

This morning’s report ran late because of a data issue that took me a few hours to resolve. Positive gamma is back, and it came back fast. The S&P 500 closed last week at 7,535, up roughly 2.5% from last week’s 7,354. It reclaimed the flip line on Monday, the 29th, and has closed above it every day since.

Last week I gave you two paths. A hot payroll number breaks 7,197, and 7,040 comes next. A soft number hands the short crowd a reason to cover and squeezes the tape back toward 7,450. The squeeze won, and it did not stop at 7,450. It ran through the flip line, held, and never looked back. This is why this level is so important to watch.

ASSET PERFORMANCE

Emerging markets lead at +24.27% year to date and the Russell 2000 at +21.65%, both more than double the S&P’s 10.18% and well ahead of the Nasdaq’s 12.46%. That spread is the same dispersion trade the correlation chart flagged, index returns carried by breadth rather than a narrow handful of names. Bitcoin is still the worst major at -27.06%, though it opened July up 9.00%, and gold is the only other major in the red at -3.53%.

IMPLIED CORRELATION: THE DISPERSION SIGNAL

When correlation falls this hard while the index climbs, money is separating winners from losers again, not dumping everything at once.

THE ECONOMIC CALENDAR AND VOL TERM STRUCTURE

This week is thin. ISM Services this morning, Trade Balance Tuesday, jobless claims Thursday. The event that matters is CPI on the 14th (next week), high impact, with the options market pricing a ±1.74% move on that expiration. The Fed lifted its inflation forecast to 3.6% last month, so a hot June print confirms that view, pushes the next cut further out, and hands the short crowd its excuse to fade this squeeze. A cool print and the cover-to-buy chase extends. Everything between now and the 14th is positioning drift under positive gamma.

EARNINGS

Another slow week. Delta reports on Friday before the open and unofficially starts the earnings season, providing a read on travel demand and the consumer. PepsiCo Thursday before the open is the Staples check, Levi Strauss Wednesday after the close covers apparel, and Penguin Solutions Tuesday. None of this will move the market this week. Price trades off positioning and the CPI setup.

MOMENTUM PULSE CHECK

Last week, Financials ran +4.7% on the week, Communication Services +3.5%, Consumer Discretionary +3.1%, all pushing up into Improving and Leading. The defensives that led the fear trade gave it back: Health Care -2.0%, Real Estate -2.2%. Technology stopped falling and added +1.4%, still the best sector of the year, near 28%. Capital rotated straight back into the cyclicals, and high-beta it ran from just a week ago.

The single-name board says it louder. The semis that were the worst names on the screen last week are back on the right side. AMD ran +6.5% on the day, Arista +7%, with NetApp, Texas Instruments, Qualcomm, and Microchip all reclaiming green. Axon leads the five-day board up 32%, Moderna +22%, Robinhood +18%, CrowdStrike +13%. The staples that took in capital last week, Constellation, O’Reilly, Tractor Supply, and Kraft Heinz, are the red names now. The “expect more downside” rotation I flagged a week ago unwound completely.

WEEKLY EXPECTED MOVE

The options market prices an asymmetric week: +1.86% to 7,669 on the upside, -3.07% to 7,298 on the downside, outer floor at 7,112. The -1σ floor reset to 7,298, up from 7,197 last week, so the higher-low pattern that broke into the quad-witch is back on. Hold 7,475, and dealers keep suppressing volatility. Lose it, and negative gamma returns with 7,298 as the next test.

VOLATILITY REGIME

One month is still above three-month. The tape moved more violently over the past month than the past quarter, and the spread widened even as the price rallied because the rally itself was fast. Positive gamma should pull realized vol lower from here, but it has not happened yet.

SYSTEMATIC FUND FLOWS

Both CTAs and vol control funds turned. CTAs printed long every session this week and flipped to net buyer with the trend signal back in an uptrend, the same crowd that was short six of seven sessions a week ago. Vol-control sold $2.2 billion on the 30th, then paused for two days and turned to a buy on the latest print, exposure back near $178 billion and rising off the lows. The mechanical sellers that pulled support out from under the spring rally are stepping back in as buyers, foot off the brake rather than flat on the gas. That flow is the fuel behind the reclaim of positive gamma.

SYSTEMATIC POSITIONING INDEX

The combined positioning score sits below the -1σ Bearish line, deeply unwound from the Extreme Long peak in mid-May. The crowd fully de-risked and flipped net short right into the reclaim. That is the setup that squeezes: under-positioned money forced to chase a tape moving against it. The daily flows above show the chase already started, and as the 20-day rolling measure catches up to this week’s buying, this score turns from headwind to tailwind.

MARKET BREADTH

67.1% of the S&P 500 trades above its 200-day average, up from 64.5% a week ago. Breadth rose while the index rose, so the bounce reached past the semis and into the average stock. The 40% line that signals a regime breakdown is nowhere in sight. Breadth is the reason this is a rotation and a positioning unwind, not a market top, and it is the reason the bullish regime has legs.

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

Gamma, Flow, and Breadth all print Bullish; Realized Vol is Neutral. The weighted composite still reads Neutral, but the Composite Regime flipped to Risk-On the moment the price closed back above the flip.

TACTICAL ALLOCATION PERFORMANCE

Weekly proxy 18.48% on the year, daily portfolio 12.60%, S&P 500 9.98%. The daily model gained on the week but trailed the index, and the weekly proxy gave back ground from last week.

What was a ceiling at 7,450 for two weeks is a floor at 7,475, and the tape holds above it with dealers long gamma, CTAs buying, vol-control turning, and correlation in the basement. Breadth at 67.1% says the rally is broad, not a handful of names. The one caution is that the options market is still pricing more room down than up, into realized vol that has not yet calmed down.

And remember - The one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

Last week, I told you the 4-point cushion was paper-thin and that the days after a quad-witch tend to get violent once the pinning gamma rolls off. The market opened Monday, the 22nd, at 7,473, fell straight through the flip line, and never looked back. It lost ground every single session and closed the week 96 points underwater.

ASSET PERFORMANCE

The Nasdaq is down 6.21% month-to-date, and the S&P 500 is down 2.98%, with nearly all of that damage in semiconductors. The Russell 2000 is the standout, up 21.28% on the year and the best major index of 2026. WTI Crude fell below $70 to $69.23, dropping its year-to-date gain from +33.30% last week to +20.57% as the #TrumpTapeBomb premium drains out. Bitcoin is still the worst major at -31.30%.

IMPLIED CORRELATION: THE DISPERSION SIGNAL

One-month implied correlation jumped back to 9.59, above the 8 line. This index measures how tightly S&P 500 stocks move together. Above 8, the herd trades as one and only index direction counts. Last week, it sat at 8.02 with names beginning to split. The selloff slammed that door shut. When the index drops, and correlation climbs together, that is everything getting dumped at once, not money picking winners and losers.

THE ECONOMIC CALENDAR AND VOL TERM STRUCTURE

Thursday, July 2, is the whole week. Nonfarm Payrolls, Average Hourly Earnings, and the Unemployment Rate all hit the same morning, with the options market pricing a ±1.74% move on that expiration. Payrolls land the day before a closed holiday Friday, into a tape already short gamma with nothing underneath it.

EARNINGS

Quiet, holiday-shortened week. Nike and Constellation Brands report Tuesday after the close, and Nike is the cleanest read on the consumer and China demand. General Mills and FactSet follow on Wednesday before the open. None of it will move the market. If the market moves on headlines, it will trade off payrolls and dealer positioning.

MOMENTUM PULSE CHECK

Leadership flipped to defense. Health Care ran +7.8% on the week and jumped out of the Lagging corner into Improving. Real Estate added 4.0%. Technology did the opposite, still up near 27% on the year but down 5.3% on the week and sliding deep into Weakening. The exact sector that drove this rally is the one breaking down now.

The pain is concentrated in the semis that led. ON Semiconductor is the single worst name on the screen, down roughly 23% on the day. Western Digital ran +40% the week before and handed all of it back, down 20% over five days. Marvell, Qualcomm, Texas Instruments, and Microchip are all double-digit losers on the week. The semiconductor complex I flagged as regaining leadership last week broke this week. Health Care owns the green side of the board, with AbbVie, Incyte, J&J, and Moderna all higher. Capital is rotating out of semis and into defensives, which is precisely the move you make when you expect more downside.

Here are the stocks with the most impact on Friday’s close.

MARKET STRUCTURE: THE ANCHOR POINT

Every rally into 7,450 now gets sold, and every dip gets sold harder.

WEEKLY EXPECTED MOVE

The options market is pricing a symmetric range this week: +2.13% to 7,511 on the upside, -2.13% to 7,197 on the downside, with an outer floor at 7,040. GEX sits at 7,450.

We have a lower low in the expected move. For three straight weeks, the floor moved higher: 7,243, then 7,286, then 7,326. Each week, the market refused to price a lower low, and I read that rising floor as support holding underneath the tape.

Here is why this matters: below is the expected move from last week’s report. The market used it as a clear area of support for the entire week.

This week, it broke. The band reset to 7,197, 129 points below last week’s 7,326, the first lower low in over a month. The range also turned symmetric after weeks of leaning to the upside, which is the options market pricing a drop as the equal risk. First resistance is the flip at 7,450. Lose 7,197 and 7,040 is next.

VOLATILITY REGIME

One-month realized vol is running above three-month realized vol, a high-vol regime in inversion, which means the tape has moved more violently over the past month than over the past quarter. This was the only signal arguing against last week’s bounce, and it was right. Now that the price is under the flip line, realized vol and gamma point in the same direction for the first time in weeks.

SYSTEMATIC FUND FLOWS

Both systematic cohorts are selling, and they are selling in the same direction. CTAs printed short on six of the last seven sessions as the trend rolled over with the lost flip line. Vol-control funds dumped $10.8 billion over ten days, the largest single-day sell landing on June 23, the Monday, the flip line was violated. These funds cut exposure as volatility rises, and with realized vol still elevated, they keep selling until it falls. That removes the mechanical buyer that supported the entire spring rally.

SYSTEMATIC POSITIONING INDEX

The combined positioning score fell to roughly -1.3, below the -1σ Bearish line, after running near +2σ Extreme Long in mid-May. The crowded long is getting fully unwound and has flipped to a net short. That cuts both ways. The forced selling that drove the unwind is getting close to over with, but the crowd is now positioned short heading into payrolls, so a soft number gives these funds room to cover and squeeze the tape higher.

MARKET BREADTH

64.5% of the S&P 500 trades above its 200-day average, up from 60.4% last week, still in Optimism. Breadth climbed while the index fell, which tells you the selling never left semiconductors and never reached the average stock. The level that signals a true regime breakdown is 40%, and we are nowhere close. As long as breadth holds, this is a rotation and a positioning unwind, not a top.

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

Gamma flipped to Bearish, Flow and Realized Vol are Neutral, Breadth is Bullish. The composite prints Neutral, with breadth strength offsetting the gamma break instead of overriding it. Last week the model ran fully offensive at 75% SPHB and 25% SPXL. It pulled the leveraged SPXL sleeve and rebalanced to 50% SPLV and 50% SPHB the moment price lost the flip. It turns defensive on a sustained break below 7,197 or if breadth rolls under 40%, and turns back offensive on a close back above 7,450 that holds.

TACTICAL ALLOCATION PERFORMANCE

Weekly portfolio 19.24% on the year, daily portfolio 11.82%, S&P 500 8.06%. The weekly strategy proxy gave back ground from its 31.20% high and still beats the index by more than eleven points.

The flip at 7,450 is a ceiling, the downside floor just reset 129 points lower, and systematics are selling into it. Breadth at 64.5% is the only thing keeping this a rotation instead of a top. Thursday’s payrolls, dropping into a short-gamma tape thinned out by the holiday, decides the next 200 points. A soft print and the shorts cover back toward 7,450. A hot print and 7,197 breaks fast, with 7,040 underneath. Watch the flip and watch the floor.

And remember - The one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

In last week’s report, I said to reclaim 7,432, and dealers flip back to long gamma, which reopens the path higher. The market did exactly that.

Getting there was a dog fight. The index gapped to 7,554 Monday, sold the Fed down to 7,420 Wednesday and back under the flip, then ripped to 7,501 Thursday. Up 0.94% on the week, all of it a two-way fight.

Warsh ran his first meeting on Wednesday. The Fed held rates at 3.50 to 3.75 on a unanimous vote, but the forecasts turned hawkish. The Fed now expects its next move to be a hike, not a cut, and raised its inflation forecast to 3.6%. Stocks sold off in response, the dollar caught a bid, and gold kept falling. I still think inflation tops out near-term and the July 14 CPI prints under 4%.

ASSET PERFORMANCE

June is still red for the S&P 500 (-1.05%) and the Nasdaq (-1.69%). Tech took the early-month hit and is still climbing out.

IMPLIED CORRELATION: THE DISPERSION SIGNAL

One-month implied correlation sits at 8.02. This index measures how tightly S&P 500 stocks move together. Above 8, stocks trade as one herd, and only the index direction counts. Below 8, they separate and trade on their own merits. Last week’s report had it at 10.74, and I said the herd trade holds until COR1M closes under 8. It is almost there. Underneath the index, names are already splitting, semis ripping while IT services break down.

THE ECONOMIC CALENDAR AND VOL TERM STRUCTURE

The options market is pricing a quiet front half of the week, then more movement into month-end. The near-term expected move is ±68 points.

Thursday, June 25, is the day to watch. Core PCE, the PCE index, and GDP all drop on the same day, with the options market pricing a ±1.68% move. Core PCE is the Fed’s preferred inflation gauge, and the Fed just told you it is worried about it. A hot number here, into a Fed that already raised its forecast to 3.6%, and the market will reprice rather quickly. The bigger event sits July 2: payrolls, priced at ±2.59%, the day before the holiday weekend.

EARNINGS

Light earnings week. Micron on Wednesday after the close is the print that can move the tape. It reports straight into the semiconductor names that just regained leadership, so a weak outlook from Micron hits the exact stocks that are carrying the index right now. FedEx Tuesday is the read on freight and the broader economy. The rest is noise.

MOMENTUM PULSE CHECK

Technology and Industrials lead the rotation, at nearly 30% and 15% year-to-date. Energy is rolling over: still the top sector near 20% YTD, but down 6% on the week and sliding into the Weakening zone, the same story WTI is telling. Communications and Health Care are the laggards.

Hardware owns the leaderboard. Western Digital ran +40% over five days, with Micron, Intel, SanDisk, KLAC, Applied Materials, and Qualcomm all up double digits. Accenture is the worst name on the screen, down 18% on the day and down 25% on the week after it cut its outlook. In last week’s report, I flagged Accenture as the cleanest read on enterprise tech spending and warned that a cut there would not stay contained to one stock. Cognizant, its closest peer, got hit right alongside it. Hardware rips, services break. That is what happens when correlation falls, and money flows start picking winners and losers instead of buying everything at once.

MARKET STRUCTURE: THE ANCHOR POINT

Spot 7,501, gamma flip 7,497, dealers net long gamma by four points. For eight weeks, this line acted as a floor, with dealers buying every dip, and the index climbed from 6,275 to 7,580 on that support. Then it broke and turned into a ceiling. Last week, the market fought back through it and held, barely. Now dealers are buying weakness again, which puts a cushion under the tape as long as price holds above 7,497.

June quad-witch settled Thursday. Quad-witch is the quarterly expiration where index, stocks, and futures options all expire at once.

A large block of the gamma that was cushioning the market rolled off in a single print. Warsh’s first Fed meeting and the OpEx landing in the same 4-day window, with dealers already short gamma and no cushion underneath. Both events had an impact, and the SPX still closed in positive gamma. The downside risk is the window right after the OpEx. Today. The gamma that pinned down the price has disappeared into thin air on Tuesday, dealer positioning lightens, and data and history show that the Monday and Tuesday after a quad-witch tend to see sharper moves.

WEEKLY EXPECTED MOVE

This week, the options market is pricing a range of 7,675 on the upside (+2.33%) and 7,326 on the downside (-2.33%), with an outer floor at 7,151. IV locked at 12.9%.

Watching the three-week trend in the expected move can be helpful. The downside band has stepped up for three weeks running: 7,243, 7,286, and 7,326. Higher lows, so the floor under the market is still rising, but the climb is flattening, up 40 points this week after 43 last week. The bigger move is the range itself blowing out: ±1.90%, then ±1.96%, then ±2.33%, a jump roughly six times last week’s step. The options market is pricing a far wider spread in the week ahead. The floor is barely rising while the size of the expected swings is expanding. First support is the flip at 7,497, then 7,326. Upside target 7,675.

VOLATILITY REGIME

One-month realized vol is above three-month realized vol, and when this happens, it is an inversion, meaning the market has been moving more violently over the last month than over the last quarter. This is the one signal still arguing against the bounce. Gamma says the tape is steady, realized vol says it is not, and the expiration just removed the offset.

SYSTEMATIC FUND FLOWS

CTAs flipped to buyers, +0.006 over five days, after selling all of the prior week. These are trend-following funds, so they buy as the trend turns up, and it turned up when the price reclaimed the gamma flip line. Vol-control funds are still selling, -$8.5B on the week, with their equity allocation grinding down to $185.4B. These funds cut exposure when volatility rises, and since realized vol is still elevated, they keep selling until it comes down.

SYSTEMATIC POSITIONING INDEX

The combined positioning score is now below zero, near -0.9. This tracks how heavily the systematic funds are positioned. It ran at an extreme long in early June and has now flipped to a small net short. The crowded long trade that powered the run off 6,275 is fully unwound. The forced selling I warned about for weeks already happened, which means the fuel for another leg down is largely spent.

MARKET BREADTH

60.4% of the S&P 500 trades above its 200-day average, flat from last week, still in Optimism. Breadth measures how many stocks are participating in the move. The level that signals a true regime breakdown is 40%, and we are nowhere close. The damage stayed at the index and mega-cap level and never spread to the “average” stock.

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

Gamma flipped to Bullish, Breadth is Bullish, Realized Vol is Neutral, Flow is Bearish. The blended score reads Neutral, but the regime prints Risk-On because the gamma reclaim and breadth outweigh the drag from vol and flow. Last week’s report sat at Neutral, with 50% SPLV and 50% SPHB. With Friday closed for the holiday, the model rebalanced on Thursday and moved to 75% SPHB and 25% SPXL, fully risk-on.

The tactical allocation will flip back to Risk-Off (defensive) on a close under 7,497, or systematic selling accelerates. Breadth is not the threat. Realized vol is. Same single domino as last week’s report, still standing.

TACTICAL ALLOCATION PERFORMANCE

Weekly portfolio 26.65% on the year, S&P 500 10.20%, daily portfolio 13.59%.

The gamma that cushioned this tape for two months rolled off on Thursday, and we will not know whether the market can stand without it until this week kicks off. The flip line is back at 7,497, but holding it now means doing it without the cushion that just rolled off during OpEx. Thursday’s PCE is the catalyst most likely to force the answer. A hot core PCE into a thinned-out, post-expiration tape, with the Fed already projecting 3.6% inflation, is what drops the price back under the flip line fast. Hold 7,497 and 7,675 opens up. Lose it, and dealers are short gamma again with 7,326 on the next floor.

And remember - The one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

The S&P 500 closed Friday at 7,431. The gamma flip sits at 7,432. One point. After five sessions of fighting back from Wednesday’s low, the index is pinned to the exact line that defines the regime, and it closed on the wrong side of it.

Last week, I told you the realized vol signal was the next domino and that it was one bad session away from flipping. It flipped. One-month realized vol crossed above three-month on Friday.

CPI was the test I flagged for Wednesday. The market sold the print straight down to 7,267, the week's low, then bought it all the way back to the flip by Friday. Pay attention to the expected move levels, as they have been pretty spot-on over the past month or two.

Friday was green across the board. The S&P 500 added 0.50%, the Dow 0.70%, the Russell 2000 0.79%. Gold was the standout single day at +3.63%. WTI fell 3.23% but still leads the year at +47.82% YTD. Bitcoin lost another 0.29% and is down 26.60% YTD, the worst major on the board.

The S&P 500 is down 1.96% in June, the Nasdaq down 4.02%, the worst of the complex. The Russell 2000 is positive on the month at +0.84%. Small caps sat out the drawdown, and that shows up again in breadth.

The S&P 500 is down 1.96% in June. The Nasdaq is down 4.02%, the worst performer in the index complex, as tech took the brunt of the early-June selloff. The Russell 2000 is positive on the month at +0.84%. Small caps did not participate in the drawdown the way mega-cap tech did, and that shows up again in breadth later.

IMPLIED CORRELATION: THE DISPERSION SIGNAL

One week ago, this chart was 14.52, having doubled off the floor into the NFP selloff. It has come back in. Correlation spiked when the macro override hit and has since receded as the market recovered, but it has not broken back below 8. We are still above the line.

The single-trade intensity that defined NFP Friday has eased. Stocks are starting to separate again, which is what let the index round-trip back to the flip while individual names sorted into winners and losers underneath.

Until COR1M closes back under 8, the tape remains dominant, and the FOMC on Wednesday is exactly the kind of event that can pin correlation right back to the highs in a single session.

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

The vol that NFP injected has bled out. The near-term expected move is ±68 points. The early part of the week is priced pretty soft, then the curve ramps up in the middle of it.

This is a four-day week. Friday, June 19, is Juneteenth, and the market is closed.

Monday, June 15: Empire State Manufacturing and Industrial Production for May, both medium impact. SPX IV at this expiration is 12.40, implying ±0.92%.

Tuesday, June 16: Building Permits and Housing Starts for May, both medium impact. SPX IV is 13.80, implying ±1.25%.

Wednesday, June 17: Retail Sales for May will print at 7:30 AM, high impact, estimated +0.5%, with SPX IV at 15.39 and a ±1.61% expected move. Then the FOMC rate decision and the updated economic projections both land at 1:00 PM. The market gets a read on the consumer in the morning and the Fed’s full dot plot in the afternoon, in negative gamma, sitting on the flip. Whichever way it breaks, dealers amplify it.

Thursday, June 18: Initial Jobless Claims for the week ending 6/13, estimated 229K against a prior of 229K, plus the Philadelphia Fed Survey. SPX IV is 15.52, the peak of the near-term curve, implying ±1.82%. The curve tops out the day after the Fed and the day before the long weekend.

EARNINGS

Pretty boring week for earnings.

Monday, June 15: Quantum (QMCO) after the close.

Wednesday, June 17: Jabil and CarMax before the open. KMX is the one to watch. It reports into Retail Sales the same morning and gives a direct read on big-ticket consumer demand right before the Fed decision. If the consumer is cracking, CarMax and the retail number will say it in the same four hours.

Thursday, June 18: Accenture and Kroger before the open, with the Kardigan (KARD) IPO pricing. ACN is the cleanest read of the week on enterprise IT and consulting demand. In a macro tape, a guidance cut there does not stay contained to Accenture.

MOMENTUM PULSE CHECK

Technology ran the full round-trip in reverse. One week ago, it was the single worst sector on the board, sitting alone in the bottom-left corner after a 6.7% single-day drop. This week, it is back in the Leading quadrant, up 2.5% over five days at the top of the YTD range near 28%. The sector that led the decline led the recovery.

It did not do it alone. Consumer Staples gained 2.9% and Materials 3.0% over five days, both Leading. Financials rose 2.0% and moved into Improving. The only laggards were Communications at roughly flat and Energy , the year’s top sector near 30% YTD, which stalled at -0.2% on the week. SPY finished up 0.6% over the five sessions. Both offense and defense participated in the bounce.

The semiconductors took back the leaderboard they surrendered last week. ran +30% over five days, Applied Materials +25%, Intel +24%, SanDisk +26%. Teradyne, Western Digital, Seagate, and all posted high single to low double-digit five-day gains. The names that printed the worst returns into Friday’s prior selloff printed the best returns out of it.

The break last week was in software. was the single worst name at roughly -27% over five days. Adobe fell about 19% after reporting on Thursday. dropped 17% and Autodesk 15%. The money rotated out of software and back into hardware. Two weeks ago, it ran from semis to soap. This week, it ran from software back to silicon. The leadership is volatile and rotating quickly, which is what a high-correlation tape does to a concentrated index.

MARKET STRUCTURE: THE ANCHOR POINT

SPX closed Friday at 7,431. The gamma flip sits at 7,432. The market is operating one point below the line in negative gamma. One point.

For 8 weeks, this line was support, dealers long gamma, buying weakness, and selling strength, and the index rode it from 6,275 to 7,580. In the last report, the line broke and became resistant. Last week, the market climbed all the way back to it, poked above it intraday Friday, and closed right underneath.

Until the S&P 500 closes back above 7,432 and holds it, dealers are short gamma, and every move gets amplified. Wednesday’s drop to 7,267 and the two-day rip back to the flip are both that mechanic at work. The market did not calm down last week. It moved hard in both directions and netted out at the line, as expected in a negative-gamma environment.

WEEKLY EXPECTED MOVE

This week’s expected move runs from an upside of 7,577 (+1.96%) to a downside of 7,286 (-1.95%), with a 2-sigma floor at 7,141. The bands widened from last week as more uncertainty entered the market.

VOLATILITY REGIME

Wednesday’s CPI drop helped push 1-month above 3-month. The inversion that protected the tape for the entire 8-week run is gone, and the realized vol signal downgraded from Bullish to Neutral on Friday.

The cross is one day old, and the spread is four hundredths of a point, so this is the threshold, not a blowout, which is a good sign.

SYSTEMATIC FUND FLOWS

CTAs are net sellers on the z-score over the trailing ten days, Bearish, in a downtrend. The daily prints matter more than the ten-day total here.

Vol-control is louder and slower to turn. Net seller of $12.3 billion over ten days, Bearish, downtrend. The single -$10.1 billion sell I flagged last week was the Friday before. Last week, they sold another $4.5 billion on the CPI print Wednesday and $1.1 billion Thursday, then paused Friday with a token +$0.2 billion. The absolute allocation level kept grinding lower, now near $190 billion, down from $198.4 billion a week ago.

Vol-control stopped selling. The deleveraging formula keeps the foot off the gas as long as 1-month realized vol stays elevated, and 1-month just crossed above 3-month, so the mechanical bid does not return until vol comes back in. CTAs turned first because they trade trends. Vol-control turns last because it trades vol, and vol is the signal that just deteriorated.

SYSTEMATIC POSITIONING INDEX

The combined z-score collapsed from +2 sigma at the start of June (Extreme Long) all the way back to roughly zero. The crowded systematic long that powered the run is now unwinding. Positioning is neutral, not extreme.

This removes the fuel I have been flagging for weeks. When the index was pinned at +2 sigma, the downside risk was a mechanical waterfall if momentum stalled. Momentum stalled, the waterfall came, and the de-grossing is largely done. This is the one piece of the report that argues the worst of the selling pressure has already cleared.

MARKET BREADTH

60.6% of S&P 500 members are above their 200-day moving average as of Friday’s close. Optimism.

The line that matters for a regime shift is 40%, and breadth is nowhere near it. This remains a price and volatility event, not a breadth event. Breadth is arguing that the structural damage is contained at the index level and has not spread to the broader market.

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

Gamma remains Bearish; price is below the flip. Realized Volatility downgraded from Bullish to Neutral as the 1-month crossed above the 3-month. Flow upgraded from Bearish to Neutral as CTAs exhausted their selling and turned. Breadth stays Neutral, though it is accelerating into Optimism. The Weighted Composite holds Neutral. The Composite Regime holds Neutral.

The model did not flinch this week. The RV deterioration would have pushed the composite toward Risk-Off on its own.

The regime shifts to Risk-Off from here if one of three develops:

1. breadth breaks below 40%, which is far off and moving the wrong way for the bears;

2. 1-month RV holds above 3-month on a sustained basis, which just started and is the live risk; or the systematic flows re-deepen, which would require vol-control to resume selling and CTAs to roll back over.

3. The flows are improving. The single domino still standing is realized vol, and it is balanced on the edge.

TACTICAL ALLOCATION PERFORMANCE

The weekly portfolio recovered to 24.16% YTD, while the S&P 500 gained 0.72 points to 9.15%. The daily portfolio sits at 14.26%. Both sleeves are still off their high watermark for the year.

The defensive rotation did not cost much on the bounce because the model still holds 50% , and caught the semiconductor-led recovery. SPLV anchored the other half through the chop. The model went neutral two weeks ago, the market bounced this week, and the weekly portfolio still outpaced the index on the recovery because high beta cut both ways, and this last week was the way up. The model is fully invested in equities at all times and holds no cash. Direct comparisons of returns to the index do not capture its purpose as a market-structure barometer of equity beta.

FOMC Wednesday is the next test, and it lands with the market sitting one point under the flip. A reclaim and hold above 7,432 puts dealers back in positive gamma and reopens the path back to Risk-On. A rejection here, with the realized vol signal already neutralized, leaves the composite one downgrade from Risk-Off. The market spent this entire week fighting back to the decision line and stopped one point short of crossing it. Wednesday afternoon, in negative gamma, the Fed gets to break the tie, and dealers amplify whichever way it breaks.

And remember - The one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

And remember - The one fact pertaining to all conditions is that they will change.

Follow me on X for more updates.

Best regards,

-Kurt

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

The RiskSignal Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hil, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.

One up day belonged to Bitcoin, up 1.54% on Friday, while everything else sold off. Nasdaq took the worst of it, down 4.18% on the day. Emerging Markets dropped 6.53%. Russell 2000 off 3.47%. The S&P 500 lost 2.64%. WTI Crude is still the year’s standout at +57.68% YTD. Gold gave back 2.47% on the day but remains slightly positive for the year. Friday’s price action was risk-off, the first sign that something is breaking under the surface.

IMPLIED CORRELATION: THE DISPERSION SIGNAL

COR1M is at 14.52. Regime: Elevated. Down 34.6% year over year but sitting at the 58th percentile of the two-year range. One week ago, this chart was at 6.33 in the 3rd percentile. It more than doubled into Friday’s selloff.

Last week, I wrote that the signal to worry about is not low correlation; it is when the purple line starts moving back toward 8 with a high rate of change, because that means a macro surprise is about to override fundamentals. NFP was the macro surprise. Correlation broke 8 to the upside and kept going. Stocks stopped trading on their own and started moving together.

When correlation rises this quickly, the dispersion that protects the tape disappears.

The stock-picker’s market ended on Friday. For now, this is a macro tape.

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

SPX IV at the front expiration is 17.23. The term structure slopes higher across the curve, with the heaviest premium sitting on Wednesday’s CPI and the 6/11 jobless claims and PPI cluster. The near-term expected move is ±94 points. The market is no longer treating this week as quiet.

Tuesday, June 9: Trade Balance for May, medium impact. SPX IV at this expiration is 17.23, implying ±1.28%.

Wednesday, June 10: CPI for May, estimated at 0.4% month-over-month, high impact. Core CPI estimated at 0.4%, high impact. SPX IV is 17.79, implying ±1.61%. NFP already did its damage. CPI is the second leg. I expect headline CPI to print north of 4%.

Thursday, June 11: Initial Jobless Claims for the week ending 6/6, estimated 225K versus a prior of 225K, medium impact. PPI for May is estimated at 0.4% versus a prior of 1.0%, medium impact. SPX IV is implying a ±1.95% move. This is the highest single-expiration IV reading on the near-term curve.

Friday, June 12: Michigan Consumer Sentiment, estimated at 46.0 versus a prior of 44.8, medium impact. SPX IV is 18.12, implying ±2.12%.

EARNINGS

A light week with SpaceX IPO on Friday.

Monday, June 8: FuelCell Energy (FCEL) and Campbell’s (CPB) before the open.

Tuesday, June 9: Uranium Energy (UEC), J.M. Smucker (SJM), and SailPoint (SAIL) before the open. After the close: Casey’s General Stores (CASY).

Wednesday, June 10: Chewy (CHWY) before the open. After the close: Oracle (ORCL).

Thursday, June 11: Lovesac (LOVE) before the open. After the close: Adobe (ADBE), Lennar (LEN), and RH (RH).

Friday, June 12: No earnings. SpaceX IPO.

MOMENTUM PULSE CHECK

Technology (XLK) was the worst sector on the board, down roughly 6.7% on the day and 5.6% over five days, sitting alone in the bottom-left corner. One week ago, XLK was the lone sector in the upper-right quadrant, the leadership name reclaiming the tape at all-time highs. This week it is the single worst performer on both axes. That is the full round-trip of leadership in five sessions, and it is the cleanest picture of what a correlation spike does to a concentrated tape.

The momentum universe collapsed to the left side of the chart. Nearly every name printed a negative one-day return. The semiconductors took the worst of it: Micron (MU) down roughly 11%, Qualcomm (QCOM) down 13%, Broadcom (AVGO) down 13% over five days. Coinbase (COIN) was the single worst name at roughly -20%.

The only names holding the right side were defensives and insurers: Cooper Companies (COO), W.R. Berkley (WRB), Progressive (PGR), Allstate (ALL), Clorox (CLX), Kimberly-Clark (KMB), Procter & Gamble (PG), Coca-Cola (KO). When the money rotates from semis to soap, the tape is playing defense.

MARKET STRUCTURE: THE ANCHOR POINT

SPX closed Friday at 7,383.74. The gamma flip sits at 7,503. Dealers are operating 119 points below the flip in negative gamma territory.

For eight weeks, dealers were long gamma, buying weakness and selling strength, giving us that smooth and Khushi up trend. That mechanical support is gone. In negative gamma, dealers hedge with the move. They sell into weakness and buy into strength, which amplifies volatility in both directions. Friday’s 2.64% single-day drop is what that looks like in practice.

I called this line for eight straight weeks as the structural anchor for the entire move from 6,275 to 7,580. The anchor held until Friday. Now the same line that supported the rally becomes resistance. The market has to climb back above 7,503 to put dealers back in positive gamma. Until it does, the path of least resistance runs with volatility.

This week’s expected move has an upside of 7,524 (+1.90%) and a downside of 7,243 (-1.90%). The GEX flip at 7,503 is the level that matters. A reclaim above it flips the regime back. A failure to reclaim, with CPI hitting on Wednesday, keeps the vol throttle going.

VOLATILITY REGIME

The spread between 1-month and 3-month stays inverted in the bullish direction at 1.85 points, down from 4.27 a week ago. The realized vol signal still reads Bullish because the absolute level remains low by historical standards. But this is the signal most at risk of flipping next. One more session like Friday, and the 1-month crosses above the 3-month, which is one of the named conditions for a full regime shift. Watch the 1-month.

SYSTEMATIC FUND FLOWS

Last week, CTAs were net buyers at +0.098 on the z-score, Bullish at +10.3%, in an uptrend. That reversed hard.

CTAs are now net sellers over the five-day window. Friday alone printed a SHORT at -0.140.

This is the mechanical response I warned about last week. Friday delivered both a trend break and a vol spike, so they SELL.

Vol-control tells the same story, louder.

Vol-control funds were net sellers of $7.9 billion over the five-day window. The absolute allocation level dropped to $198.4 billion from $206.4 billion a week ago. Friday’s single-day flow was a SELL of $10.1 billion. That is the largest one-day mechanical sell I have flagged in this report. When realized vol jumps, the vol-control allocation formula forces deleveraging, and Friday’s three-point move in the 1-month RV pulled the trigger.

Both systematic strategies flipped to net selling in the same week. That is one of the explicit conditions I laid out last week for the regime to shift to happen. It is no longer hypothetical.

SYSTEMATIC POSITIONING INDEX

The combined CTA plus vol-control z-score rolled over. The rate of change is the tell. This is not a drift lower. It is a sharp unwind of crowded systematic longs, and it tracked the SPX lower in near-lockstep.

The systematic bid that helped carry the index to its highs reversed. When positioning is unwinding from extreme long at this speed, the supply is mechanical and price-insensitive. It does not stop because the market has gotten cheaper. It stops when the trend and vol signals stabilize, and neither has yet.

MARKET BREADTH

58.3% of S&P 500 members are trading above their 200-day moving average as of Friday’s close.

The index dropped 2.59% on the week, and the percentage of names above their 200-day held flat.

The line to watch remains 40%. Breadth breaking below that is one of the named regime-shift conditions, and it is nowhere close. The trend damage on Friday was a price and volatility event, not yet a breadth event.

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

Two signals flipped in a single week. Gamma went Bearish when the price closed below the flip. Flow went Bearish when both CTAs and vol-control turned net sellers simultaneously. The only thing holding the composite at Neutral rather than Risk-Off is the realized vol signal, which is Bullish on absolute level alone and is itself the next domino at risk.

The regime shifts to Risk-Off if any of these develop from here: breadth breaks below 40%, 1-month RV crosses above the 3-month on a sustained basis, or the systematic flows deepen from where they sit Friday. The first is far off. The second is one bad session away.

TACTICAL ALLOCATION PERFORMANCE

Both tactical sleeves gave back a chunk on Friday because they were positioned in higher-beta equities going into the print.

The composite flipped to Neutral, and the model changed allocation for the first time in eight weeks. New allocation: SPLV 50% / SPHB 50%. The move is out of SPXL entirely and into SPLV, rotating half the book from leveraged high-beta into low-volatility equity. The model is reducing beta into a negative-gamma, rising-correlation tape. It is not going to cash. This model is fully invested in equities at all times. It does not hold cash or bonds. The rotation from SPXL/SPHB into SPLV/SPHB is how it plays defense within an all-equity mandate.

The outperformance over the prior eight weeks came from leaning into beta during a sustained positive-gamma, low-vol, Risk-On regime. That regime ended Friday.

CPI on Wednesday is the next “live test.” If it confirms Friday’s macro signal, the negative-gamma regime will continue and the realized vol signal is the one to watch for the next trigger of the model’s response. If CPI comes in soft and the market reclaims 7,503, the gamma signal flips back, and the conversation looks different by next week.

And remember - The one fact pertaining to all conditions is that they will change.

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

The Gamma Report is published by Ivory Hill, LLC. All opinions and views expressed in this report reflect our analysis as of the date of publication and are subject to change without notice. The information contained herein is for informational and educational purposes only and should not be considered specific investment advice or a recommendation to buy or sell any security.

The data, models, and tactical allocations discussed in this report are designed to illustrate market structure and positioning trends and may differ from portfolio decisions made by Ivory Hill, LLC or its affiliates. Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results.

Ivory Hill, LLC, and its members, officers, directors, and employees expressly disclaim any and all liability for actions taken based on the information contained in this report.