The Handoff

Jerome Powell’s tenure as Federal Reserve Chair ended today. Eight years. A pandemic. The fastest hiking cycle in four decades. And a policy error that will be debated for a generation.

When COVID hit in March 2020, the Fed panicked. Rates went to zero. Asset purchases hit $120 billion a month. By the time that program finally ended in spring 2022, the balance sheet had nearly doubled from $4.2 trillion to almost $9 trillion. The M2 money supply grew by $6.4 trillion in just 22 months, a 42% expansion that was the largest in American history, bigger than the response to World War II and bigger than anything the Fed did after 2008. When inflation started climbing in spring 2021, the Fed called it transitory and kept the foot on the gas. They did not hike until March 2022, by which point CPI was already at 7.9%, and inflation had been running above target for over a year. It peaked at 9.1% in June 2022, three months after the first hike. Late by a mile. From there, Powell did what had to be done: 525 basis points in 16 months, the most aggressive tightening cycle since Volcker. He got inflation down. But the sequence of events is the record. Print $6 trillion. Call it transitory, without ever defining how long transitory is. Wait too long. Then slam the brakes. That is the tenure Kevin Warsh inherits, and it is exactly why he is standing in this building today calling it a regime that needs to change.

Kevin Warsh is now the 17th chair of the Federal Reserve. He was confirmed on Wednesday by the Senate in a 54-45 vote, the closest spread in the modern era. Only one Democrat, Pennsylvania Senator John Fetterman, crossed the aisle. Every other Democrat voted no, primarily on concerns about Fed independence under a president who has made no secret of what he expects from his hand-picked central banker.

Warsh takes over at exactly the wrong moment for an easy entry. Inflation sits at 3.8% year-over-year as of April 2026, driven higher by energy costs tied to the ongoing Iran war. Wholesale prices came in at 6% in April. The 30-year Treasury yield crossed 5% this week. And the FOMC that Warsh inherits just posted the highest level of internal dissent since 1992, with four of twelve voting members breaking from the majority at the April meeting.

Markets noticed. The S&P 500 and Nasdaq climbed to new all-time highs on confirmation day. The Dow lagged. Investors are not waiting on policy clarity before positioning.

Who Warsh Is and What He Believes

The biographical case for Warsh is strong. He joined the Fed Board of Governors in 2006 at 35, the youngest person ever appointed to that role. Before that: Morgan Stanley VP of Mergers and Acquisitions, then economic advisor to President George W. Bush. He sat at the table for every major decision of the 2008 financial crisis, voting alongside Ben Bernanke as the system nearly came apart.

He left the Board in 2011. His reason matters: Warsh disagreed with the direction of Fed policy. He believed the institution was holding rates too low, expanding its balance sheet too freely, and stretching beyond its core mandate. He walked out on principle, not on convenience. That resignation is the most important data point in understanding what he might do now.

The Balance Sheet Problem

Warsh returns to a Fed carrying a balance sheet 51.8% larger than when Powell started. That is not a rounding error. That balance sheet is the product of two rounds of quantitative easing, pandemic-era emergency purchases, and years of slow drawdown that left the Fed deeply embedded in financial markets in ways Warsh has consistently criticized.

He has publicly argued that the Fed’s bond-buying programs undermine institutional independence because they amount to backstopping government borrowing. He wants the balance sheet reduced. The question is pace and sequencing, both of which carry significant market implications. Any aggressive balance sheet reduction that tightens financial conditions faster than rate moves alone would be a meaningful regime shift.

The Inflation Framework Shift

Warsh has signaled he wants to change the Fed’s preferred inflation gauge. The Fed has used Core PCE, which excludes food and energy, as its benchmark since 2000. Warsh favors Trimmed Mean PCE, which removes the most extreme price movements each month instead of excluding whole categories. The practical difference: Trimmed Mean PCE currently reads 2.36%, well below the 3.20% reading on Core PCE. Depending on which measure the Fed follows, the case for rate cuts looks very different.

This is not a minor procedural change. The metric the Fed uses to gauge inflation directly determines when it judges the economy to be at target. If Warsh moves the committee toward Trimmed Mean PCE, he is mathematically moving the Fed closer to a declared victory on inflation, which creates runway for rate cuts even as headline readings stay elevated. You’d think with 400+ Ph.D. economists and 500+ researchers on the payroll, the Fed would run the most sophisticated macro forecasting operation on the planet, leaving Bloomberg and every major hedge fund in the dust. Not even close. When the data doesn’t cooperate, just change the data. Same thing I saw in the Army when time or weather worked against leadership, and we would quietly move the goalposts rather than admit the standard couldn’t be met. Can you tell why I didn’t stick around for the full 20 years?

Less Communication, More Volatility

Warsh has also indicated he may not hold press conferences after every FOMC meeting. He said during his confirmation hearing that truth-seeking matters more than repetition. That is a pointed departure from the Powell era, where post-meeting press conferences became a fixture of market communication and the primary mechanism through which the Fed managed expectations in real time.

Markets spent the last several years trading heavily on Fed communication. Every word choice in a statement, every pause in a press conference, every shift from “patient” to “attentive” moved asset prices. If Warsh removes that communication pipeline, FOMC meeting days become higher-volatility events by design. Traders and AI quants who have built positioning strategies around parsing Fed language will need to adjust.

What the Markets Are Pricing

FedWatch probabilities as of this week show a 57% chance that rates remain unchanged through the December 2026 FOMC meeting, with roughly 34% pricing in one cut to 375-400 basis points and about 7% pricing in two cuts to 400-425. The probability of a rate hike has risen to approximately 20-30% by year-end on some measures, driven by the persistent inflation data and geopolitical energy risk.

That is not a rate-cut market. That is a hold-with-upside-risk-to-hikes market. Investors who entered 2026 expecting multiple cuts are being asked to reprice that view against an incoming chair who is hawkish by record, inheriting an inflation problem complicated by war.

The yield curve has normalized after 783 days of inversion. The 10-2-year Treasury spread returned to positive territory in August 2024 and currently sits at 0.48%. Short-duration instruments are earning competitive yields today, but that yield resets as rates move. If Warsh holds longer than the market expects, short-term rates stay higher for longer, and the reinvestment calculus for fixed-income ladders changes.

The 30-year yield crossing 5% on confirmation day was the bond market sending a message. Long-duration borrowing costs are rising. That has direct consequences for mortgage rates, corporate debt refinancing, and valuations on any asset priced on a long-duration discount rate, including equities with long earnings runways.

Is Warsh a Sock Puppet for Trump?

This is the question that defined his confirmation fight, and it deserves a direct answer rather than a diplomatic one.

Senator Elizabeth Warren called him a “sock puppet” for Trump during his confirmation hearing. Republican Senator John Kennedy of Louisiana, in a moment of unvarnished directness, asked Warsh himself: “Are you going to be the president’s human sock puppet?” Warsh pushed back on both. He testified that he is committed to ensuring the conduct of monetary policy remains strictly independent and that independence is up to the Fed.

The skeptic’s case is not crazy. Trump nominated Warsh after more than a year of publicly attacking Powell for not cutting rates fast enough. The Wall Street Journal reported that Warsh spent the past year building a case for rate cuts that aligned closely with what the administration wanted. The DOJ opened a criminal investigation into the Fed’s building renovations during this period, a probe widely viewed as political pressure on the institution. That investigation was dropped in April, clearing the path for Warsh’s confirmation. Trump has already joked that he would sue Warsh if he does not cut rates.

The confirmation vote itself was the most partisan in Fed history. That does not happen in a vacuum. It reflects genuine concern that Warsh is a vehicle for executive influence over monetary policy, not an independent actor.

The Case He Is Not

Here is what cuts against the puppet narrative.

Warsh’s record is hawkish. He resigned from the Fed in 2011 specifically because he thought policy was too loose. His criticism of QE, his concern about the balance sheet, his focus on inflation credibility over near-term stimulus, these are the positions of someone who has historically wanted tighter policy, not easier. That is the opposite of what Trump wants.

Finance industry veterans tend to maintain hawkish instincts even under political pressure. Powell himself was a Trump appointee in the first term and resisted sustained pressure to cut rates. The pattern of Fed chairs ultimately governing with more independence than their appointments suggested is well established.

Warsh also faces a divided FOMC. He controls the agenda. He does not control the votes. Four members dissented at the April meeting. He cannot simply announce rate cuts and have the committee comply. Building consensus on a committee with serious inflation concerns and a history of recent dissent will require him to govern on the data, not on presidential preference.

The most direct framing is this: Warsh and Trump want the same near-term outcome, lower rates, but for structurally different reasons. Trump wants lower rates to stimulate the economy politically. Warsh wants a framework that justifies lower rates through a different inflation lens. If inflation stays elevated due to energy shocks and tariffs, their interests diverge. That is the moment that will define whether the independence concern was real.

The Volcker Precedent

Reagan pressured Paul Volcker to cut rates in 1982 as unemployment neared 11%. Volcker held firm and let the data drive decisions. Inflation collapsed. The economy stabilized for the remainder of the decade. That episode remains the benchmark case for why Fed independence produces better long-run outcomes than politically convenient monetary policy.

Warsh knows that history. He has cited it. Whether he lives it when Trump is in his ear with rate-cut demands in Q3 is the bet investors are being asked to make right now.

What History Says About Fed Transitions

Every new Fed chair has stepped into uncertainty. The data is worth revisiting without the emotional filter of the current moment.

Paul “Raised Rates to 20%” Volcker served 1979-1987. His six-month maximum drawdown was -10.3%. His one-year return was +16.5%. His end-of-tenure S&P 500 return: +219.6%. The man who raised rates to 20% to kill inflation delivered generational equity returns over his tenure.

Alan "Irrational Exuberance" Greenspan ran 1987-2006. His six-month max drawdown was -33.5%, which includes the dot-com collapse. His one-year return was -21.2%. His end-of-tenure return was +284.0%. The volatility was real and severe, but the long end was strongly positive.

Ben "Too Big To Fail" Bernanke served through the 2008 financial crisis. His three-year return was -35.6%, a genuine catastrophe by any measure. His end-of-tenure return was +35.8%. He navigated the worst financial crisis since the Great Depression and the market still recovered.

Janet "The Consumer is Strong"Yellen’s tenure was the cleanest of the modern era. A -4.0% six-month max drawdown, a +17.7% one-year return, +31.9% over three years, +58.6% at end of tenure. Low volatility, methodical policy.

Jerome “It’s Transitory” Powell: -7.3% six-month drawdown, +3.4% one-year return, +46.7% three-year return, +183.2% end-of-tenure return despite a pandemic, 40-year inflation spike, and historic rate-hiking cycle.

Since Volcker took the chair in 1979, the S&P 500 has returned over 3,840% through multiple recessions, bear markets, crises, and transitions. The noise of a chair change has never been the signal to abandon a disciplined investment strategy.

What Investors Should Take Away

The Rate Path Is Not Warsh’s Alone to Set

The Fed Chair sets the agenda. He does not set the rate. Twelve voting members of the FOMC decide, and Warsh inherits a committee with the most internal dissent in 34 years. Any meaningful shift in rate policy requires coalition-building, not declaration. Warsh’s first FOMC meeting as chair is June 16-17. Watch the statement language, the dissent count, and the press conference tone, if he holds one.

The Inflation Framework Shift Is the Most Consequential Variable

If Warsh successfully moves the Fed toward Trimmed Mean PCE as its benchmark gauge, he is changing the goalposts. At 2.36% versus Core PCE at 3.20%, that shift alone materially changes the rate-cut calculus. This is a policy change that does not require a vote. It requires persuasion and framework review. Watch for any language in FOMC communications signaling a review of the inflation measurement methodology.

Fixed Income Duration Risk Is Real

Short-duration instruments are earning competitive yields today, but yield resets with rate movements. If Warsh holds longer than market consensus expects, and the data suggest he might, the reinvestment risk on short-duration ladders matters. Advisors with clients heavily positioned in money markets and short T-bills should revisit duration assumptions in the context of a potentially extended hold.

The Long-End Warning

The 30-year Treasury at 5% is not a neutral signal. Elevated long-end yields tighten financial conditions, increase mortgage costs, raise the cost of corporate debt refinancing, and put pressure on equity valuations in rate-sensitive sectors. This does not require a rate hike to create tightening pressure. Watch the 10-year yield as the primary indicator of how markets are processing Warsh’s expected policy path.

The Transition Itself Is Not the Risk

Fed transitions have happened sixteen times since the institution was founded. Markets have processed every one of them. The uncertainty of a new chair is not structural risk; it is episodic noise. Investors who reposition dramatically based on leadership change rather than actual policy outcomes have historically given up returns they could not recover. The playbook is clear: monitor, adjust at the margin as the data develops, and resist the narrative that this time is categorically different.

The Bottom Line

Warsh is not Powell. He has sharper inflation instincts, different communication preferences, a balance sheet agenda, and a political patron who has publicly defined success as rate cuts. The tension between those last two facts is the dominant risk of his tenure. If inflation stays elevated, Trump wants cuts, and the data argues against them. That is where independence is either real or it is not.

The historical record says bet on independence. The structural record says the Fed Chair is one voice among twelve. The data record says Fed transitions do not determine long-run portfolio outcomes.

What Warsh does with the inflation framework, the balance sheet, and the first real test from the White House will answer the sock puppet question better than any confirmation hearing could.

The June meeting is the first real data point. Until then, the thesis is watch and stay disciplined.

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.

CPI drops on Tuesday. The options market is pricing a ±1.05% move. That is the event that can either confirm the bull case or reintroduce volatility that the market is not pricing. Everything else this week fills in around it.

THIS WEEK’S GAME PLAN

Risk-On for the fifth consecutive week. The allocation stays 75% SPHB / 25% SPXL.

The S&P 500 closed Friday, May 8 at 7,399. The gamma flip sits at 7,270. Dealers are operating in positive gamma territory, 129 points above the flip. That cushion keeps dealer hedging flows stabilizing rather than amplifying price moves. Realized volatility has collapsed. The 1-month RV printed 10.61. The 3-month is 14.76. Both readings place us firmly in a low-vol regime. Systematic funds added to long exposure all week. Breadth sits at 55% of S&P 500 members above their 200-day moving average. Neutral territory, but trending in the right direction.

The composite regime is Risk-On. The tactical allocation is unchanged.

TACTICAL ALLOCATION PERFORMANCE

Year-to-date through May 8, 2026:

• Weekly Tactical Allocation: +21.09%

• Daily Tactical Allocation: +11.44%

• S&P 500 Total Return: +8.52%

The weekly strategy is leaving both the daily strategy and the S&P 500 in the dust since the April low. The alpha gap between the weekly allocation and the S&P 500 TR now stands at 12.57%. The daily portfolio, which weathered deeper drawdowns during the February through March volatility period, has recovered to 2.92% above the index.

Both portfolios were positioned defensively as the market deteriorated. Both rotated into risk when the regime was confirmed. The performance difference is the output of that process.

The other reason this model has moved so quickly is that the macro environment has been playing directly in favor of SPHB. Look at the chart. SPLV has actually declined since the signal stack flipped Risk-On. SPHB has fit the macro picture better and outperformed SPLV recently due to a risk-on environment, strength in cyclical and growth stocks, and a broad rotation out of defensive equities.

The macro has not favored low volatility at all. The dominance of AI-related names is evidence. Getting the regime signal right is only part of the work. What you deploy capital into matters more. You can have a perfect signal and still underperform if you are not investing it properly. Even within a universe of index ETFs like SPHB and SPLV, the difference in outcome over a five-week Risk-On streak is nearly 19 percentage points. Same signal, different instrument. If the model had been sitting in a neutral allocation through this period, it would be roughly in line with the S&P 500, not ahead of it like it is today. The position selection has mattered as much as the regime signal itself.

I built this live from Issue 1. I got a few emails from advisors and clients asking about the process, which pushed me to start publishing the report. I wrote the signals into a spreadsheet, expecting to completely overhaul it after the first month. No backtesting. The fact that regime consistency has held gives me confidence to start refining it now.

MARKET STRUCTURE: THE ANCHOR POINT

SPX closed Friday at 7,399. The gamma flip is at 7,270. Dealers sit in positive gamma. When dealers are net long gamma, they sell strength and buy weakness. That mechanical behavior suppresses intraday swings and creates the low-volatility, grinding price action we have seen throughout this recovery.

The weekly expected move, defines the trading range for the week of May 11: upside to 7,511 (+1.54%), downside to 7,287 (-1.48%). The -1σ downside level and the gamma flip are sitting nearly on top of each other. A breach of 7,287 on a closing basis would put the market back near the flip and shift dealer hedging dynamics from stabilizing to amplifying. Watch that level.

Dealers are positioned in a way that naturally keeps volatility low and price swings contained. As long as SPX holds above 7,270, that buffer stays intact.

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

Spot SPX IV is 9.97% as of May 10th. The term structure steps up sharply from there. The market is pricing risk into specific event dates rather than distributing it evenly over time.

The key events this week:

Tuesday, May 12, CPI (April) and Core CPI (April): Both carry high-impact classifications. The estimate is 0.5% month-over-month, against a prior reading of 0.9%. The options market is pricing a ±1.05% SPX move for the CPI expiration. Put IV at 13.02 is running notably above call IV at 10.06. The skew tells you the market is paying more for downside protection into this print than upside participation. CPI is the linchpin. A hot number reintroduces the stagflation narrative and pushes vol higher across the curve. A cool number confirms disinflation and gives the bull case room to breathe.

The market consensus has shifted toward a 3.0%-3.5% year-over-year range for April CPI, with the prior consensus of 2.8% largely abandoned after the energy and geopolitical repricing earlier this spring.

Wednesday, May 13, PPI (April): Medium impact. The SPX IV for that expiration is 11.93, implying a ±1.25% expected move. Put IV is running above call IV (13.25 vs 10.60), same as CPI the day before. Two consecutive high-impact expirations with the same skew is the options market telling you it is more worried about a downside surprise than excited about an upside one.

Thursday, May 14, Retail Sales (April): High impact. SPX IV steps up to 12.87 at that expiration, implying ±1.51%. Retail sales measures consumer spending directly. Weak spending means slower growth expectations, the Fed has room to cut, and bonds and equities potentially rally. Strong spending means the consumer is holding up, less urgency to cut rates, and higher-for-longer risk remains. The chain reaction runs through rate expectations, dollar direction, and risk appetite simultaneously.

Options traders are pricing more risk into this week’s economic calendar than current spot vol suggests. CPI on Tuesday is the market-structure event of the week.

EARNINGS: WEEK OF MAY 11

The earnings calendar is active this week. Key names by day:

Monday, May 11: Lighter slate. HIMS, ASTS, ACHR, MARA after the close. SPG and ABCL also report. Existing Home Sales at 9:00 AM.

Tuesday, May 12: CPI day dominates the macro tape. Pre-market earnings include QBTS (D-Wave Quantum), JD.com, Under Armour (UA), and TME. After the close: OKLO, NXT, DNN.

Wednesday, May 13: PPI in the morning. Before the open: Alibaba (BABA), WIX, and GLBE. After the close: Cisco (CSCO). Cisco is the notable one. A large-cap bellwether with enterprise IT spending exposure that matters for the XLK narrative heading into the back half of the week.

Thursday, May 14: Retail Sales, Initial Jobless Claims, and Import/Export Prices all drop before the open at 7:30 AM. Earnings before the open include Intuitive Machines (LUNR), YETI, Brookfield (BN), and BTDR. After the close: Applied Materials (AMAT). AMAT reports semiconductor equipment demand. Given the XLK leadership this week, the AMAT print is a late-session risk event with the potential to move the sector Friday morning.

Friday, May 15: Light on earnings. DVLT before the open.

MOMENTUM PULSE CHECK

The momentum universe shows a well-dispersed field with a clear leadership cluster. FTNT led the 5-day return at +32%, followed by GLW and CRWD. The technology and cybersecurity names are dominating the right side of the chart. CSCO and AVGO also showed strong 5-day momentum with solid 1-day follow-through. On the weak side, APH, PODD, and AXON lagged on both timeframes.

The sector rotation map tells the same story at the macro level. XLK (Technology) is the clear outlier, up roughly 8.3% on a 5-day basis and adding another 3.5% on Friday alone. Every other sector sits in a tighter cluster near flat to slightly negative on the 5-day window. The S&P 500 itself printed +0.84% Friday and +2.33% on the week. Notably, defensives like healthcare, financials, and utilities are lagging on the week.

The breadth of sector participation is getting narrower. Technology is doing the work. That is a concentration risk worth monitoring. If XLK pauses or pulls back, the market will drop.

VOLATILITY REGIME

The 1-month realized vol printed 10.61. The 3-month is 14.76. Short-dated vol has collapsed faster than the longer window can catch up, which is what you see after a sharp dislocation event transitions into a trending low-vol recovery. The regime tag is LOW-VOL.

Vol-control funds care about this directly. Their equity allocation formula is driven by realized vol. When RV is low, the formula pushes them toward higher equity exposure. When RV rises, they de-risk mechanically. At 10.61 on the 1-month, the math is pointing them toward maximum allocation territory. That is a structural tailwind for equities until the vol regime shifts.

SYSTEMATIC FUND FLOWS

CTA Positioning

CTAs were net buyers over the past five days, adding +0.131 to their z-score. The baseline on May 4 was 0.778. By May 8, the score had climbed to approximately 0.909, with the largest single-day addition coming Friday (+0.077). The trend is classified as Bullish and Uptrend.

The longer-term picture confirms the shift. CTAs went from deeply negative positioning in late March and early April, levels not seen since the 2022 bear market, to aggressively rebuilding long exposure. The speed of that rotation, paired with a rising SPX, is the textbook pattern for a systematic-driven momentum rally. CTAs are not chasing reluctantly. They are adding what little cash they have left into strength.

Vol-Control Positioning

Vol-control funds were net buyers of $4.9 billion over the past five days. The week was not linear. May 6 saw a $3.1 billion sell. May 7 followed with a $2.3 billion buy. May 8 posted the largest single-day addition at $5.6 billion. The net result is an allocation level near $204 billion against the estimated $300 billion AUM cap, roughly 68% of cash has been deployed.

The longer view shows that vol-control exposure remains well below peak levels seen in 2021 and again in early 2024. There is structural room to add if volatility continues to fall. That dry powder is a latent tailwind.

Systematic Positioning Index

The combined CTA + vol-control z-score sits between +1σ (Bullish) and +2σ (Extreme Long) on the 20-day rolling basis. The index bottomed near -3σ (Capitulation) around April 1, which aligned almost exactly with the S&P 500’s intraday low during that period. The subsequent rebound in systematic positioning has tracked the SPX recovery step for step. We are not at crowded extremes anymore, but we are approaching the zone where incremental buying pressure from this cohort begins to slow.

MARKET BREADTH

55% of S&P 500 members trade above their 200-day moving average. The signal reads Neutral. The 60% threshold is the dividing line between neutral and optimism. The 40% line is pessimism.

We were well below 40% at the April lows. A recovery from deep pessimism to the neutral zone in five weeks is meaningful. But 55% also means that 45% of the index has not yet reclaimed its long-term trend line. The breadth recovery is not yet complete. All the soldiers need to march with the generals.

The composite signal remains Neutral on breadth, which is why the weighted composite scores Neutral even as three of four inputs (gamma, RV, flows) score Bullish. The regime stays Risk-On because the composite framework allows it, but breadth is the variable to watch as the week progresses.

DEALER GAMMA DASHBOARD

Tactical Allocation: 75% SPHB / 25% SPXL

Three of four inputs are Bullish. Breadth is the lone Neutral. The weighted composite lands Neutral, but the regime framework reads Risk-On. This is the fifth consecutive week at Risk-On. The allocation remains unchanged.

The conditions that would shift the regime: a sustained breadth deterioration back below 40%, a vol spike that breaks the 1-month RV above the 3-month, a gamma flip breach on a closing basis, or systematic fund flows reversing to net selling. None of those are present today.

Watch CPI Tuesday. The rest follows from there.

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 market is overbought and a pullback is coming. Patience here is not a bad idea. Our S&P 500 target of 7,700 is close.

The S&P 500, Nasdaq, and Russell 2000 all pushed to fresh record highs this week. Crude fell below $100 on U.S.-Iran deal hopes before bouncing hard off Thursday’s lows near $90. Chips and AI names led again but took real hits Thursday while software staged a comeback. Treasury yields finished the week higher after a choppy ride in both directions.

The Nasdaq 100 trend line since March 30th is sitting at 70 degrees. That is not a typo. Up 28% in 42 days. The only other thing I can think of that moves at 70 degrees is a Navy fighter pilot leaving a carrier deck in an F/A-18. At some point, this thing has to come back to earth. Literally.

Systematic flows are paused and tilted slightly to the downside. But dealers are still in positive gamma, and that limits how far any selling can run. There is no obvious air pocket here as long as that holds.

The wildcard is the weekend. A few #TrumpTapeBombs would change this setup fast.

My base case is that if this market is going to let some air out, it will happen in the next week or so, and most likely following next week’s options expiration. Once front-month gamma rolls off, volatility has more room to move. That is when the setup gets interesting. The CPI report could also be the start of a volatility spike.

For now, on positioning alone, a significant drawdown is not my base case.

April CPI drops Tuesday, May 12 at 8:30 a.m. ET.

The last read was March CPI at 3.3% year-over-year, with a big 0.9% month-over-month jump driven almost entirely by a 21.2% spike in gasoline prices.

For April, the setup is more complicated. The U.S.-Iran ceasefire sent Brent crude down roughly 22% in early April, which a lot of people think will logically pull headline lower. But offsetting that, airfares were running up 10-15% for April-May travel, and used vehicle prices jumped 6.2% year-over-year on the Manheim index as the auto tariff pushed buyers out of new cars and into the used market.

The market consensus has shifted toward a 3.0%-3.5% year-over-year range for April CPI, with the prior consensus of 2.8% largely abandoned after the energy and geopolitical repricing earlier this spring.

I think the market is completely wrong on this month’s CPI print. I think 3.5% is the floor, and the high end of the range is closer to 3.80%, so my base case would be ~3.65% year-over-year on the headline.

Micron is breaking out, and I think this stock is still deeply undervalued here. You’re getting 190% YoY revenue growth and 57% net margins at 11x forward P/E. That’s a mispricing. Fully committed 2026 HBM capacity and leadership in SOCAMM2 and HBM4 put Micron at the center of structural AI memory demand, and the multiple has no business being this low.

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 WEEK’S GAME PLAN

The Battlefield: Economic Events & Short-Term Vol Structure

The Economic Event Calendar with Short-Dated Vol Term Structure is your early warning system. When implied volatility around a specific event is low relative to what the market can actually move, surprises hurt more. When it’s already priced high, the hedgers have done their panicking ahead of time, and there is nobody left to panic.

S&P 500 implied volatility (IV) sits at 10.78% as of May 2. The term structure slopes up from there: 11.77% by May 5, 12.49% by the Initial Jobless Claims print on May 7, and 13.67% by Average Hourly Earnings on May 8. Put IV runs above Call IV across every expiration shown.

The skew is elevated but orderly. Traders have already paid for protection around payrolls. That front-loaded hedging is a stabilizing force for the market.

This week’s key events and what the options market is pricing:

Monday, May 4 (today): Durable Goods Orders and Factory Orders, with ±0.80% expected move priced. Low near-term vol. Low structural impact, but a significant miss could nudge short-dated vol higher into Tuesday’s heavier prints.

Tuesday, May 5: ISM Services PMI (high impact) and JOLTS Job Openings (high impact), both in the May 5 expiration pricing ±1.07% expected move. ISM estimate is 53.8 vs 54.0 prior. JOLTS estimate 6.9M vs 6.9M prior. Both are consensus prints. A miss on ISM Services would be the week’s first surprise risk.

Wednesday, May 6: ADP Employment Change, with ±1.27% expected move priced. Estimate 79K vs 62K prior. The beat expectation is high here.

Thursday, May 7: Initial Jobless Claims, with ±1.46% expected move priced. Estimate 199K vs 189K prior.

Friday, May 8: Average Hourly Earnings (high impact), with ±1.75% expected move priced. Estimate +0.3% vs +0.2% prior. This is the week’s highest-vol expiration and the number that matters most for the Fed’s wage inflation read.

Your tactical edge: Near-term vol is low. Today’s Durable Goods and Factory Orders carry minimal pricing. The ISM Services and JOLTS prints on Tuesday carry the most surprise potential before payroll noise dominates Thursday and Friday.

MOMENTUM PULSE CHECK

The momentum universe shows healthy dispersion as of May 1. Seagate Technology Holdings PLC is the standout in the top-right quadrant with strong 5-day and 1-day returns.

is holding 5-day gains. and are positioned well. On the other side, and have underperformed on both timeframes. The S&P 500 itself showed +0.29% on the day and +1.42% over five days.

This is not a momentum universe chasing one theme. Broad dispersion across names is the signature of rotation, not exhaustion.

EARNINGS: THE WEEKLY STRESS TEST

This is a heavy earnings week. Key names by index impact:

Monday, May 4 (after close): Palantir (PLTR). Momentum name with a retail following and a tendency to move the tape on sentiment. A beat with strong guidance keeps the risk-on tone intact heading into Tuesday’s macro prints.

Tuesday, May 5: , PayPal , Ferrari Shopify , Pfizer . carries the most systematic weight. A guide-down here would hit the broader tech complex.

Wednesday, May 6: Uber, Disney , , Fortinet , Axon , Coca-Cola . Disney and ARM are the names with the most cross-sector read-through.

Thursday, May 7: McDonald’s , Datadog , Zoetis , Shift4 , CoreWeave , The Trade Desk , Cloudflare , Coinbase , Airbnb . Coinbase and Airbnb report after the close, as consumer sentiment reads.

Friday, May 8: Brookfield , Enbridge .

The key risk this week is AMD on Tuesday. A negative guide hits breadth before Thursday’s macro prints even land.

MARKET STRUCTURE: YOUR FOUNDATION

Gamma Positioning: The Anchor Point

The S&P 500 closed May 1 at 7,247. The gamma flip line sits at 7,107. Spot is 140 points above the flip, in positive gamma territory. Above the flip, dealers sell into strength and buy into weakness. That mechanical behavior is what keeps intraday ranges contained.

The flip line itself is rising. It was 6,983 on April 27. It is 7,107 on May 1. That 124-point move in the flip over one week means dealer positioning is anchoring at progressively higher levels. The structure is not just intact. It is improving.

Weekly expected moves for the week of May 4th.

1-sigma range: 7,109 to 7,351, roughly ±1.67% in either direction. 2-sigma range: 6,989 to 7,471, roughly ±3.3% in either direction.

The GEX flip for the week sits at 7,065. That is your structural floor. A close below 7,065 on volume flips dealer hedging mechanics from supportive to amplifying. Stay above it, and positive gamma remains your shock absorber.

REALIZED VOLATILITY: THE VOL-CONTROL LOCK

30-day realized volatility: 11.60. 90-day realized volatility: 15.22. The model is reading LOW-VOL REGIME.

Last week, 30-day vol was running at 17.80. It has dropped sharply as the post-April spike rolls off the lookback window. The 30-day is now well below the 90-day. That inversion is the mechanical trigger for vol-control funds. When short-dated vol runs below long-dated vol, these algorithms increase equity exposure systematically.

Vol-control implied notional equity exposure has been rising off the lows, but it remains well below the $225-$300 billion range that characterized late 2024 and early 2025. The dry powder is still there, but the buying is fading.

The vol-control trend signal flipped to Flat on May 1. The directional improvement has paused. Exposure has been rebuilding, but the pace has leveled off. That does not mean exposure has rolled over. The exposure level itself remains supportive. Watch for the trend to re-engage Rising if realized vol stays suppressed through the week.

SYSTEMATIC FLOWS: THE MOMENTUM BEHIND THE MOMENTUM

CTA trend signal: Flat. CTAs flipped from bearish to bullish positioning over a two-week window and are now sitting extended. The easy repositioning move has been made.

The Systematic Positioning Index Z-score has moved to approximately +3, into extreme-long territory above the +2 sigma threshold. A week ago, it was recovering from near -2.5. That swing captured the CTA repositioning cycle in real time.

At +3 sigma, CTAs are not a source of incremental buying. They are positioned. The next catalyst for their flows is either a volatility spike that forces deleveraging or a vol decline that allows vol-control funds to take the baton.

The flow signal reads Neutral. That is the correct read. CTAs are done buying. Vol-control funds are rebuilding but have paused their trend. Net systematic positioning is supportive of the market staying up, not a source of new fuel to push it higher from here.

BREADTH: THE PARTICIPATION READ

59% of S&P 500 components are trading above their 200-day moving average as of May 1. The model tags this Neutral, below the 60% optimism threshold.

One percentage point from the threshold. That number has been climbing from below 50% just weeks ago. The trend is in the right direction. Breadth has not confirmed a full broad-based bull signal yet, but it is knocking on the door.

Narrow rallies fail. This one has been broadening. 59% participation heading into a heavy earnings week is a structure that can survive a bad print from one sector without collapsing the whole tape.

COMPOSITE SIGNAL: RISK-ON

Tactical Allocation: 75% SPHB / 25% SPXL

Two signals are Bullish, two are Neutral. The Weighted Composite lands Neutral, but the composite regime reads Risk-On because the gamma and vol signals carry more structural weight than flow and breadth at this stage of the cycle.

TACTICAL ALLOCATION PERFORMANCE

Through May 1, 2026:

Weekly portfolio: +14.10% YTD Daily portfolio: +5.00% YTD S&P 500 Total Return: +6.02% YTD

The weekly-rebalanced portfolio is running more than 800 basis points ahead of the benchmark. The daily model has recovered meaningfully from its March trough and is now running in line with the index. The alpha gap between the two models reflects the precision of regime entry timing.

BOTTOM LINE

Risk-On holds for the fourth consecutive week. The structure that got you here is intact.

Dealer gamma is positive. The flip line is at 7,107 and rising. Realized vol has dropped to 11.60, LOW-VOL REGIME, and vol-control funds are mechanically rebuilding exposure. CTAs are positioned and extended. Breadth is at 59%, one point from confirming a full broad-based signal.

The week’s risks are concentrated: AMD earnings on Tuesday, ISM Services and JOLTS on Tuesday morning, and Average Hourly Earnings on Friday. Any one of those can spike short-dated vol. A sustained vol spike is the mechanical trigger for vol-control deleveraging and the one event that changes the regime.

Stay disciplined. You are managing momentum, not chasing it.

What can break this setup:

1. Close below 7,065 (GEX flip; dealer mechanics shift)

2. Realized vol spike above 20% (vol-control deleveraging trigger)

3. AMD guide-down Tuesday (breadth reversal risk before macro prints land)

4. Average Hourly Earnings beat Friday (wage inflation re-pricing risk)

What to monitor:

1. ISM Services PMI on Tuesday, a low-vol event that can surprise

2. AMD after-close Tuesday, index-weight earnings with systematic read-through

3. Vol-control trend signal, watch for re-engagement to Rising if vol stays suppressed

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 holds Risk-On for the third consecutive week. The structure is clean. Momentum is still strong. Vol-control funds remain on the sidelines with $75-150 billion in dry powder. Your job this week is to stay disciplined while the market tests new highs.

THIS WEEK’S GAME PLAN

The Battlefield: Economic Events & Short-Term Vol Structure

Master this concept: The Economic Event Calendar with Short-Dated Vol Term Structure is your early warning system. When implied volatility around specific events is low relative to realized moves, surprises hurt more. When it’s high, the market has already priced in potential shocks.

This is a chart of the SPX short-dated vol term structure, which is just a fancy way of saying how much traders expect the market to move on each upcoming date. Each dot on the blue line represents a different future expiration, with today on the far left and about three weeks out on the right. A low dot means traders think the market will be calm on that date. A high dot means they expect bigger swings. The red dotted lines mark big economic events like FOMC, CPI, and Core PCE. Look at the shape today. The first dot sits at 11.97, then it rockets up to 13.62 by FOMC, jumps to 16.45 by Core PCE, and stays around 15 to 16 for the rest of the month. That tells you traders feel calm right now but are paying up for protection on every date after. They are buying insurance for a storm they think is coming, and they think FOMC and Core PCE are where it hits. Now here is the part that trips people up. When traders are already loaded up on insurance, the storm usually does not show up. The people who were going to panic already did their panicking quietly, by hedging. There is nobody left to surprise the market with a sudden rush for the exits. That is why a short-dated vol term structure shaped like this one, sloping up and to the right, is a green light for stocks, not a warning. The chart you actually want to fear is the opposite. If today’s dot was the highest on the chart and every future dot was lower, that would mean traders are scrambling for protection right now because they got caught off guard. That is when we see downside air pockets. So when you pull up the short-dated vol term structure, look at the slope. Up and to the right, like today, means the crowd is already nervous, and you can stay long. Flat or sloping down from left to right means the panic is happening in real time, and it is time to get defensive.

This week’s key battles:

• Monday 04/27: Consumer Confidence (high impact) - Market pricing ±1.18% expected move

• Tuesday 04/28: Building Permits, Durable Goods, Housing Starts (medium impact cluster)

• Wednesday 04/29: FOMC Decision (high impact) - Market pricing ±1.93% expected move

• Thursday 04/30: Core PCE, Employment Cost Index, GDP (high impact triple threat)

Your tactical edge: The options market is pricing low volatility around everything except the FOMC decision. Consumer Confidence on Monday could catch the market off guard if it misses significantly. Thursday's data dump has three high-impact prints in one session - any coordinated miss could spark the volatility expansion that vol-control funds are waiting for.

Momentum Pulse Check

The momentum picture remains constructive. continues to lead the pack with a 15% move over the past five days. The broader momentum universe shows dispersion - the hallmark of a healthy rotation rather than blind momentum chasing.

Key momentum names to watch:

• Thursday: - These carry real index weight

• Friday: - Energy sector representation

Earnings: The Weekly Stress Test

LLY, MA, CAT, and the energy names on Friday carry the most index impact. Single-print changes rarely trigger regime shifts, but dispersion means sector rotation could accelerate depending on which groups outperform.

MARKET STRUCTURE: YOUR FOUNDATION

Gamma Positioning - The Anchor Point

The S&P 500 sits at 7,165 against a gamma flip line of 7,040. That 124-point cushion is the widest since late January. Above the flip, dealers sell strength and buy weakness. The flip line itself is rising - dealer positioning is stabilizing at progressively higher ground.

Weekly Expected Moves from the dashboard:

• 1-sigma range: 7,000 to 7,331 (roughly 2.3% either direction)

• 2-sigma range: 6,834 to 7,496 (roughly 4.6% either direction)

The line that matters: 7,000. That’s your 1-sigma lower band. Lose 7,000 this week, and you’re testing the structural support zone.

Realized Volatility - The Vol-Control Lock

The realized volatility signal is bullish. 30-day vol at 17.80 still runs above 90-day vol at 15.10. That spread is narrowing but has not inverted. When the 30-day falls below the 90-day, vol-control funds start buying mechanically.

Look at the blue line. Vol-control exposure sits near $150 billion. In late 2024 and most of 2025, that line ranged between $225 and $300 billion. The S&P 500 is at its high. Vol-control exposure is not. This market could absolutely have legs from here.

I have seen a lot of chatter about CTAs. First of all, CTAs were done buying a week ago, and second, they control two or three hundred billion. Vol control funds control over a trillion in assets. So, yes, this market can still go higher.

Edge: Recent systematic fund flows show vol-control funds are actively buying. Just four days ago, systematic funds drove an $86 billion equity buying spree, with volatility-targeting strategies as key drivers. As realized volatility declines from current levels, these algos will continue to buy stocks. The $75-150 billion gap represents some of the upside potential as these funds rebuild exposure.

SYSTEMATIC FLOWS: THE MOMENTUM BEHIND THE MOMENTUM

The Systematic Positioning Index made a two-standard-deviation swing in one week. A week ago it sat at -1 (bearish territory). Today it’s near +1 (threshold of crowded long). CTAs are most likely done buying for now.

Positioning context: CTAs have exhausted their selling - the easy money was made catching that flip from bearish to bullish positioning. Any rally from here still has systematic support underneath it from vol-control funds, as long as realized vol continues to drop.

The Flow Signal Reality

The flow signal holds Bullish. The positioning data confirms this. CTA trend-following signals have been rising for the last 12 consecutive trading days. Vol-control trend signals have gradually begun to turn up over the last week. The directional momentum is in place with fresh fuel from systematic flows.

BREADTH: THE FOUNDATION BROADENS

Breadth upgraded to Bullish. A few weeks ago, fewer than half of the S&P 500 components traded above their long-term trend. Today, 57% do. Participation is close to clearing the optimism threshold.

Why this matters: Narrow rallies fail. Broad rallies compound. This move is starting to broaden, but the speed has me watching for divergences.

COMPOSITE SIGNAL: RISK-ON

Current Regime: Risk-On (third consecutive week) Tactical Allocation: 75% SPHB / 25% SPXL

Your allocation reflects where the structure actually sits, not where headlines say it should be.

The weekly-rebalanced allocation is running ahead of the S&P 500 year-to-date at +12.01% vs +5.05%. The daily version lagged through March but is now recovering, up 3.08%.

YOUR WEEKLY CHECKLIST

What can break this setup:

1. A close below 7,000 with force (1-sigma support level)

2. Spike in realized volatility above 20% (triggers vol-control deleveraging)

3. Broad-based earnings disappointments (reverses breadth momentum)

4. FOMC hawkish surprise Wednesday (event priced for volatility expansion)

What to monitor:

1. Monday’s Consumer Confidence - Low-vol event that could surprise

2. Thursday’s LLY/MA/CAT cluster - Index-weight earnings that matter for breadth

3. Friday’s energy earnings (XOM/CVX) - Sector rotation catalyst

4. Vol-control buying pace - Watch for acceleration on any vol decline

Your tactical stance:

• Gamma is positive with a 123-point cushion above flip

• Breadth has 57% participation above 200-day MA

• Systematic flows are net supportive (CTAs done selling, vol-control buying)

• Market structure is clean.

Stay disciplined. You’re no longer buying the dip. You’re managing momentum.

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.

Was the sell signal a head fake? Sure looks like it.

The last head fake was in 2023, when conditions were worse than today. That one got us back in to catch the uptrend.

This is exactly why I do not believe in going to 100% cash.

The market bounces and turns up before you can blink. You get caught completely offsides. I would rather digest some of the drawdown to capture the turn than miss it entirely.

Look, the signal is not going to call every top and every bottom. It is specifically designed not to. False signals are part of rules-based investing. Expect them and do not be surprised when they happen.

The only manager I know who called every top and every bottom perfectly for decades was Bernie Madoff. We all know how that ended.

Here is another nuance worth understanding. If you run money on a risk-on / risk-off signal, meaning you are either 100% invested or 100% cash, you need a plan for what happens when the signal stubs its toe. Our signal always flips green after the bottom is in, so we dial up portfolio beta to catch back up to the market when the signal heads fake, as it just did. Otherwise, you are playing a losing game against time.

If you are using our signal or anything like it on an off-the-shelf passive 60/40, this does not work. What you could do is shift from 100% aggressive to a 60/40 when the signal turns red, then back to 100% equities when it turns green.

The same logic applies to how I think about client portfolio construction in general. Not putting all your eggs in one asset class is obvious. But no investor should put 100% of their capital into a single strategy either. I am a big proponent of blending strategies that offset each other, meaning different strategies that zig when the others zag. Why? Because it is very hard to be wrong when you do it right.

The only major portfolio changes we made from this were in the momentum models. And they are fully invested as of last week.

The core equity models are still holding 40-59% in short-term T-Bills. The only real change was adding BTC through IBIT, and that is not a major buy since the models have been holding Ethereum since last month.

The drawdown had little impact on the core equity models because they still carry very little US exposure. Our entire exposure to US stocks is 3-6% in RSP, 3-6% in SMH, and 3-6% in XLB. Total US equity exposure 9%-18%. That’s it.

The market has now recovered 100% of the drawdown from the Iran War and is sitting at new all-time highs.

Versus the S&P 500, Utility stocks are handily underperforming.

Utilities are historically the most “bond-like” sector of the US equity market, and there's a structural reason for it. Utes are regulated monopolies. State public utility commissions set the rates they can charge, which locks in a predictable allowed return on equity. Demand for electricity and gas is also inelastic, meaning people pay their power bill in recessions and bull markets alike. That combination produces earnings streams that look less like a cyclical business and more like a coupon payment, which is why the sector trades on duration and rates rather than on growth.

Fun fact: Back in the 1920s, utility stocks were the dominant growth story of the equity market. They were basically what the Mag 7 is today before Washington broke up the holding company pyramids and handed rate-setting authority to state regulators in 1935. That single piece of legislation is what turned utilities from the growth darlings of their era into the bond proxy they are now.

When the XLU/SPY ratio rises, utilities outperform the broader market, suggesting traders are getting defensive under the surface and that we can expect short-term volatility. When the ratio is falling as it is today, traders are moving from defense to offense. This suggests lower volatility in the short term, which is a good sign for stocks.

The useful part of this ratio is that it typically leads the tape (with a lag), so you can front-run volatility by watching where utes are trading before the S&P 500 confirms the move.

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.

Momentum is strong, but the systematic bid could change direction on any major downside. The market structure is cleanish. The question now is whether it stays that way.

What the Market Is Pricing This Week

Retail Sales Tuesday is the high-impact print. The options market is pricing a ±0.92% expected move.

The rest of the week fills in around it. Jobless claims Thursday at ±1.48%. Michigan sentiment Friday at ±1.80%. Individually, none of them moves the structure. Stacked together, they create multiple windows in which a surprise print could reintroduce volatility that the options market is clearly not pricing in. Right now, I think the market is much more focused on Iran.

This is a heavy week. Roughly a quarter of the S&P 500 by market cap reports between Tuesday and Thursday.

The names that can move the tape:

• Wednesday after close

• Thursday after close

• Industrials on Tuesday:

• Healthcare on Tuesday:

• Financials throughout the week:

Single prints rarely change regime. A sector-wide miss across industrials or healthcare could shift breadth readings quickly, and breadth is the signal currently doing the most work.

Dealer Gamma and Market Structure

The S&P 500 is sitting comfortably above the gamma flip line. The cushion is the widest it has been since late January.

Above the flip, dealers sell strength and buy weakness.

The flip line itself is rising. A rising flip with price holding above it means dealer positioning is stabilizing at progressively higher ground. That is how a durable regime gets built.

The expected moves for the week are on the above chart.

The 1-sigma (68% probability) band runs from 6,935 on the downside to 7,317 on the upside. That is roughly 2.7% in either direction. A move inside that band, up or down, is not a surprise.

The 2-sigma (95% probability) band runs from 6,744 to 7,508. That is roughly 5.4% in either direction. A move to those levels is rare, but we are in rare times, and this is what the market considers a statistically plausible week.

The line that actually matters is 6,935. That is the 1-sigma lower band, and it sits right on top of the gamma flip at 6,909. If SPX loses 6,935 this week, we are mechanically back in negative gamma territory, and the regime flips.

Realized Volatility and Vol Control

The realized volatility signal is Neutral. Short-term vol is still running above long-term vol. That spread has been narrowing, but it has not inverted yet.

That inversion is what unlocks vol control funds. When 30-day realized vol falls below 90-day realized vol, Vol Control funds start buying. Until that line crosses, they sit on their hands.

Look at the blue line on this chart. That is the implied equity allocation of vol-control funds. It is sitting near $150 billion. In late 2024 and through most of 2025, that same line was running between $225 and $300 billion. SPX is back near the highs. Vol-control exposure is not.

There is roughly $75 to $150 billion of dry powder sitting on the sidelines waiting for the 30-day to roll under the 90-day. When it does, that money does not trickle in. It comes back mechanically and all at once.

CTAs flipping from sellers to buyers is what we are watching now. The real tailwind shows up when vol-control turns into a buyer. That has not happened yet.

The setup is there. The trigger is not.

Systematic Fund Flows

The flow signal downgraded from Bullish to Neutral. The positioning data tells a different story.

The Systematic Positioning Index made a two-standard-deviation swing in a single week. A week ago it sat at -1, in bearish territory. Today it is near +1, at the threshold of crowded long.

Any rally from here still has systematic support underneath it. What is missing is fresh fuel.

Breadth and Participation

Breadth upgraded to Bullish.

A few weeks ago, fewer than half of the S&P 500 components were trading above their long-term trend. Today, the majority is. Participation has cleared the optimism threshold.

Narrow rallies fail. Broad rallies compound. This one is starting to broaden. But the speed at which this move has been made has me skeptical.

Composite Signal and Regime

The composite regime stays Risk-On for the second consecutive week. The allocation holds at 75% SPHB / 25% SPXL.

That is the trade-off the model accepts when gamma is positive, breadth is broad, and systematic positioning is no longer defensive.

The weekly-rebalanced allocation is running ahead of the S&P 500 year to date. The daily version lagged through the March drawdown and is now recovering.

Both models are fully invested at all times. It is a regime-aware allocation that holds defensive exposure when the structure says to, and cyclical exposure when it says to.

Bottom Line

Gamma is positive and rising. Breadth is broad. Systematic positioning has swung from defensive to neutral-plus. The structure is the cleanest it has been since January.

What can still break this: a close back below the flip line, a re-expansion in realized volatility, or a macro surprise the options market is not pricing.

Tuesday’s Retail Sales print could be a minor test. Wednesday’s TSLA call is something to keep an eye on as well.

For now, the allocation reflects where the structure actually sits. Not where the headlines say it should be.

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.

– Bob Farrel

The S&P 500 has fully erased every point it lost from the U.S./Iran war. As of yesterday, the index is sitting 1% above where it was on February 27, the day before the first strike on Iran. Less than 1% from an all-time high.

We have done a full round trip in just 10 trading days.

And I’ll be direct, if you’re only looking at equity markets right now, this looks like a clean bill of health. The war started, market drops, then the market recovers, everyone moves on. Except that’s not what’s actually happening when you look at the full picture.

The bond market hasn’t confirmed this rally.

Oil hasn’t confirmed this rally.

And when two of the most important markets in the world are telling a different story than equities, that’s not something you just ignore.

What stocks are pricing in right now

For the S&P 500 to be sitting above pre-war levels, you have to believe all of this simultaneously:

• Oil at these levels isn’t high enough to slow the consumer down in any real way.

• The Fed is going to look past hot inflation prints and cut rates anyway.

• Higher input and transportation costs won’t show up in corporate margins.

• And the Middle East conflict is close enough to being resolved that none of this matters in six months.

Maybe that’s how it plays out. I’m not saying it’s impossible. But that is an aggressive set of assumptions, and right now, the data coming out of bonds and oil is not backing any of it up.

Based on fundamentals, stocks are priced for perfection.

Let’s talk about the actual numbers

February 27. The day before the war. Here’s where things closed:

• 10-year Treasury yield: 3.95%. Yesterday it closed at 4.25%. That’s 30 basis points higher than pre-war.

• WTI crude: $67.02. Oil is sitting roughly 37% above that level right now.

• 2-year Treasury yield: 3.38%. Yesterday it closed at 3.75%. That’s nearly 40 basis points higher than before any of this started.

Now, let’s work through what each of those actually means.

The 10-year yield doesn’t rise 30 basis points after a war starts because the bond market is feeling good about growth. Consumer sentiment is down. Confidence is weak. That move is the bond market pricing in inflation without making headlines. It’s saying higher oil is going to feed through into prices, and the Fed may not have as much flexibility as the equity market is assuming.

Oil up 37% in 6 weeks is not what a market looks like when it believes a real, lasting deal between the U.S. and Iran is coming. If traders were genuinely confident in a durable ceasefire, oil would already be back in the high $70s and moving lower. It isn't. It's still elevated, which means the oil market is not pricing in the same resolution stocks appear to be.

And the 2-year yield sitting 40 basis points above pre-war levels is a direct challenge to the Fed cut narrative. The 2-year is the most rate-sensitive instrument we have to look at. It tracks Fed expectations more closely than anything else. Right now, it's saying the Fed has less room than you think, and that matters for every valuation argument supporting this equity rally.

So who has it right?

Stocks could be right. I want to be fair about that. Bond yields could drop fast if we get a real ceasefire announcement. Oil could fall hard on any credible supply resolution. It wouldn’t be the first time equities led and everything else caught up.

But there’s another explanation that I think deserves more attention than it’s getting right now. A lot of this rally isn’t fundamentals-driven. It’s momentum-driven. Traders do not want to be short into strength. That kind of buying can keep a rally going for longer than it should, but it doesn’t change what’s underneath, and what’s underneath is still a market carrying elevated oil, rising yields, and a Fed with less room to cut than the bulls need.

Rallies driven by fundamentals tend to be more durable. Rallies driven by momentum tend to be weaker and more short-lived. The difference matters a lot when you’re deciding whether to add exposure near all-time highs. And as the market multiples chart shows above, stocks are priced for absolute perfection.

Where I actually stand

The situation has improved over the past 10 days. I’m not going to pretend otherwise, and I’m not in the business of being bearish for no reason.

But the gap between what stocks are priced at and what bonds and oil are priced at is something I am watching closely, and it has not closed. Stocks are at the optimistic end of the range right now. Bonds and oil are somewhere in the middle, still reflecting a world where inflation is a problem, the Fed has less room than people think, and the conflict isn't fully resolved. That gap has to close eventually, and it only closes one of two ways. Either we get a real ceasefire, oil falls back toward $70, and the Fed gets clear room to cut rates, and stocks turn out to be right. Or none of that happens, and stocks fall back down to where bonds and oil have been sitting this whole time. Right now bonds and oil are not moving toward stocks. It looks more like stocks have to come down to meet them.

The next inflation report drops on May 12th. If my estimates are right and CPI comes in north of 3.5%, the rate cut narrative is effectively dead for 2026.

If you’re adding exposure up here, you’re making a bet that everything breaks right. The war wraps up cleanly with no Trump Tape Bombs. Inflation stays contained. The Fed cuts on schedule. Earnings hold up. That’s four things that all have to go your way at once.

One real disappointment with any of them, and this market doesn’t have much cushion before the move lower gets fast and ugly.

I’d rather be patient here than chase something that two major asset classes are quietly telling me isn’t as solid as it looks.

If our long-term signal tells us to buy, then we will mechanically add more exposure.

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.

– Charles Dow, 1900

The S&P 500 closed the week at 6,817. The gamma flip sits at 6,783. Positive gamma territory by 63 points.

Last week, SPX was at 6,583, sitting 68 points below the flip in negative gamma. The index rallied 234 points, reclaimed the flip line mid-week, and held it through Friday’s close. That is the first sustained reclaim of positive gamma territory since February.

The model shifted from Risk-Off to Neutral to Risk-On last week. The allocation moved from 75% SPLV / 25% BTAL to 50% SPHB / 50% SPLV to 75% SPHB / 25% SPXL. Three of the four signals improved. That does not happen often.

Do not confuse a regime change with an all-clear. Realized volatility is still elevated. Breadth is still below the optimism threshold. The market structure has improved but it has not fully healed.

What the Market Is Pricing This Week

PPI lands Tuesday, April 14. The options market is pricing a ±1.61% expected move around that print. Put/call skew indicates that traders are paying significantly more for downside protection than for upside exposure.

Retail Sales (March) on April 21 is the high-impact event this cycle. The market is pricing a ±2.94% expected move with a put/call ratio of 0.19. That is one of the widest expected moves on the calendar.

The rest of the week fills in around the edges. Initial Jobless Claims (April 16, ±2.00%), Philly Fed Manufacturing (April 16, ±2.00%), Housing Starts and Building Permits (April 17, ±2.07%). All medium impact. None of them individually changes the structure, but stacked together, they create multiple windows where a surprise print could move the tape.

What this means in plain language: The options market is telling you that traders expect moves of 1.5% to 3% around each of these data releases. In a calm market, expected moves around mid-tier economic data run closer to 0.5% to 1%. The premiums are elevated because realized volatility has been elevated. Traders are paying up for protection because the market has been delivering larger volatility swings than it has in the past. If you see the S&P 500 move 1-2% on a PPI print or a jobless claims number, that is not a surprise.

Dealer Gamma and Market Structure

SPX: 6,845. Gamma Flip: 6,783. Positive Gamma: +63 points.

The flip was reclaimed on Wednesday, April 8. SPX jumped from 6,616 on Tuesday to 6,782, crossing above the gamma flip line at 6,677. It held above the flip through Thursday (6,824, flip at 6,730) and Friday (6,817, flip at 6,742). The flip line itself has been rising, from 6,677 on Wednesday to 6,783 as of today. This means dealer positioning is stabilizing at higher levels.

Above the flip line, dealers are long gamma. They buy dips and sell rips. That suppresses volatility. Intraday ranges get tighter. Reversals get absorbed instead of amplified.

From the 15-minute chart, SPX is trading at 6,848 with a weekly expected move at 6,851.79 and a low from the prior week cycle of 6,316.91.

Key levels from the chart:

• Gamma Flip: 6,783

• Weekly Expected Move Upper: 7,004.59

• Weekly Expected Move Lower: 6,629.19

What this means: For the past eight weeks, dealers were short gamma. That meant every drop got worse and every bounce got sold into. The market was mechanically wired to amplify volatility in both directions. That changed last week. Dealers flipped to long gamma, which means they are now working against the move instead of with it. The key number is 6,783. As long as SPX stays above that level, this stabilizing effect remains in place. If it drops back below, the volatility amplification returns.

Realized Volatility and Vol Control

1-Month RV: 19.08. 3-Month RV: 15.08. HIGH-VOL REGIME.

Short-term volatility is still running 4 points above long-term volatility. That spread has not closed. Last week it was 18.32 vs. 14.29. The 1-month number rose through the week before settling at 19.08 on today's reading. The 3-month measure moved from 14.29 to 15.08.

The RV signal remains Neutral. The threshold for a bearish reading has not been triggered, but the spread between short-term and long-term volatility is still wide enough to keep vol-control funds on a leash.

Vol-control implied notional equity exposure remains depressed. The chart shows the implied allocation sitting near $150 billion, well below the $225 billion+ levels from late 2024 and early 2025. The sharp decline that started in early 2025 has not reversed. These funds cut exposure as realized volatility spiked, and they have not added it back.

What this means: Vol-control funds are the autopilot of the stock market. They manage roughly $300 billion and make one simple decision: when the market is calm, buy more stocks; when it gets volatile, sell. For the past several months, realized volatility was rising, so these funds were selling. They took their equity exposure from over $225 billion down to roughly $150 billion. That selling has paused. The trend label flipped to Rising, which means these funds are no longer actively cutting. But the exposure level is still low. Think of it as a car that was decelerating hard and has now taken its foot off the brake. It has not hit the gas yet. The headwind is gone. The tailwind has not arrived.

Systematic Fund Flows

CTAs follow price trends. The trend broke in March. They sold. Now the short-term trend filters are turning positive. The CTA positioning chart shows the signal rising from deep negative territory, approaching the zero line. That is not a full reversal. It is the early stage of one. CTAs are covering short positions and beginning to add long exposure as the 20-day and 50-day trend filters turn.

The Systematic Positioning Index sits near -1 as of today’s chart, up from approximately -2 over the past couple of weeks. That is still bearish territory, but the direction is what matters. When the index was near -2, systematic funds were near maximum short-side crowding. That crowding is now unwinding. The remaining selling pressure from these funds is thinner than it was a week ago.

What this means in plain language: There are two types of large systematic funds that move the market mechanically. Trend-following funds (CTAs) buy when prices are rising and sell when prices are falling. Volatility-targeting funds buy when the market is calm and sell when it is not. Both were selling aggressively through March and into early April. Both have now reversed or paused direction. They are not yet fully positioned on the long side. Think of it as a fire hose spraying selling pressure on the market. The hose has been turned off. It has not yet been pointed in the other direction with full force, but the selling is done for now. Any rally from here is likely supported by CTA flows going forward.

Breadth and Participation

53% of S&P 500 constituents are trading above their 200-day moving average. Last week that number was 49%, which triggered a bearish reading. The recovery to 53% lifts the signal to Neutral.

The 60% level is the optimism threshold. Above 60%, breadth confirms a broad-based advance. Below 40%, every comparable period in recent history was associated with a recession or major correction. We are in the middle. Not broken, not confirmed.

What this means in plain language: Breadth measures how many stocks are participating in the market’s move. If the S&P 500 is going up but only a handful of large tech stocks are driving it, breadth is narrow, and the rally is weak. If most stocks are going up together, breadth is wide, and the rally has a stronger foundation. Right now, 53% of stocks are above their long-term trend line. That is not great, but it is better than last week’s 49%. The model needs to see 60% before it calls breadth bullish. Think of it this way: a little more than half the market is in an uptrend. That is enough to keep the floor from falling out, but not enough to suggest the rally has broad conviction behind it.

Composite Signal and Regime

Last week: Gamma Bearish, RV Neutral, Flow Bearish, Breadth Bearish, Regime Risk-Off.

Three signals improved. Gamma went from Bearish to Bullish. The flow went from Bearish to Bullish. Breadth went from Bearish to Neutral. The weighted composite moved from -0.9 to +0.8. That is the largest single-week improvement since the model began tracking.

Bottom Line

The structure improved. That is the story this week. Gamma flipped positive for the first time in eight weeks. Now we need it to hold. CTAs reversed from selling to buying. Breadth recovered from bearish to neutral. The model moved from Risk-Off to Risk-On and reallocated accordingly.

That said, realized volatility is still elevated. The 1-month/3-month spread has not closed. Breadth is at 53%, still below the 60% optimism threshold. The regime improved on momentum, not on confirmation. If SPX drops back below 6,783 and stays there, the gamma signal flips back to bearish and the whole calculus changes. With all the Trump Tape Bombs going on over the last month, anything is possible.

What holds the allocation here: positive gamma territory, rising systematic flows, and improving breadth. What threatens it: another volatility spike that pushes 1-month RV further above 3-month, or a loss of the gamma flip level.

The market earned a regime upgrade this week. Now it has to hold it, or I think we stay range-bound for a little while longer.

In all probability, I think the markets have put in a short-term bottom, but the violent volatility has not. The trend is working hard to firm up, which could happen any day now.

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, SPX was at 6,369, 310 points below the flip. Price recovered. The gap narrowed. That is the first constructive thing the structure has shown in weeks. It is not enough. Three signals are still bearish. The allocation has not moved.

The S&P 500 could be up or down 5% this week, and you are not allowed to be surprised because I am telling you now.

Looking at futures right now, the conditions are there for a setup to squeeze the shorts this week, then turn around and punish the bulls next week, after Friday’s CPI print. But none of that noise matters. The only thing that matters is whether volatility is trending and in which direction.

What the Market Is Pricing This Week

CPI lands Friday, April 10. That is the print that matters this week.

Traders are paying more to protect against a downside surprise than they are betting on an upside one. When positioning is that balanced, the realized move tends to be larger than implied vol suggests.

If CPI comes in hot (basically guaranteed at this point), the Fed stays on hold. A slowing economy with the Fed unable to cut is the worst setup for this market right now. Either way, below the flip, whatever direction the price moves after that print gets amplified.

This is the environment we are in. Stop worrying about it. This is the market, and you are going to have to accept it. Turn off the news. Close social media. Go spend time with your family or work on your meditation. Hyperventilating is not a risk management strategy. Again, the market could be up or down 3-5%, and you should not be surprised.

Dealer Gamma and Market Structure

SPX: 6,583. Gamma Flip: 6,651. Negative Gamma: -68 points.

Above the flip line, dealers buy dips and sell rips, which makes the market less volatile. Below it, they sell when the market falls and buy when it bounces. This amplifies moves. Every swing gets bigger than it otherwise would be.

We have been below that line for seven weeks. Price closed 68 points short of it Friday. If SPX pushes through 6,651 and holds it over multiple sessions, the market's mechanical character changes. Until that happens, every bounce is a bounce inside a broken structure.

Realized Volatility

1-Month RV: 18.32. 3-Month RV: 14.29. HIGH-VOL REGIME.

Short-term volatility is running nearly 4 points above long-term volatility. That forces vol-control funds to mechanically cut equity exposure. Their mandate says when 1-month vol exceeds 3-month vol, reduce stocks. That condition has been in place for weeks and does not resolve until the spread closes and stays closed.

At the start of this year, the 1-month RV was near 8-9%. It is now 18.32. These funds have been selling into that entire move, while that selling might let up this week, they are not done.

Systematic Fund Flows

CTA Trend: Falling. Vol-Control Trend: Falling. Flow Signal: Bearish.

CTAs follow price trends. The trend broke. They sold. Vol-control funds follow volatility. Volatility rose. They sold. Both are still in selling mode.

The Systematic Positioning Index is approaching -2. That is near extreme short-side crowding. The more crowded that gets, the thinner the remaining selling pressure becomes. When it runs out, the reversal will be fast. That has not happened yet.

Breadth and Participation

Breadth: 49%. Breadth Signal: Bearish.

49% of S&P 500 companies are trading above their 200-day moving average. More than half the index is already in a downtrend beneath the surface.

Six weeks ago, this reading was 68%. It fell every week since, recovering slightly this week alongside the price bounce. 49% still triggers a bearish signal. The model needs a breadth above 60% to change that.

The level to watch on the downside is 40%. Below that, every comparable period in recent history, 2018, 2020, 2022, was associated with a recession or major correction. Last week, breadth touched 44%. It is back to 49%. The cushion is thin.

Composite Signal and Regime

Three bearish signals. One neutral. Regime: Risk-Off.

Three things change the allocation. SPX reclaims 6,651 and holds it. Short-term RV falls back below long-term and stays there. Breadth recovers above 60%. Breadth ticked up this week. The gap to the flip narrowed. Neither condition is met yet.

Tactical Allocation

75% SPLV / 25% BTAL. Unchanged.

SPLV owns the lowest-volatility stocks in the S&P 500.

BTAL goes long low-volatility stocks and short high-volatility stocks simultaneously. When high-beta names are getting hit hardest, BTAL generates positive returns.

The model is fully invested at all times. It does not go to cash. It rotates among equity risk profiles based on the structure.

Bottom Line

Gamma is negative. Realized volatility is elevated. Systematic funds are still selling. Breadth is still below every threshold that matters. Three conditions must be met before the allocation can move. We are not even close.

Nothing changes until the structure changes.

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.

What the Market Is Pricing This Week

JOLTS Tuesday. Every month, the government counts how many job openings exist across the entire U.S. economy. Expectations are for around 7.6 million open positions. Why this report matters: When businesses post jobs, they believe the future will be good enough to continue growing their businesses. When those postings start disappearing, the chain reaction starts. Fewer jobs means fewer paychecks. Fewer paychecks means less money spent at restaurants, bars, car dealerships, and home improvement stores. Less spending means weaker business revenues. Weaker revenues means weaker corporate earnings. Weaker earnings means lower stock prices. A soft JOLTS number is not just a data point. It can be an early warning that the economic engine is cooling. In negative gamma, that kind of print does not get absorbed quietly. It gets amplified hard in both directions.

ISM Manufacturing Wednesday. Every month, purchasing managers at American factories get asked one simple question: Is business getting better or getting worse right now? These are the people who are actually placing large orders, managing large inventories, and deciding whether to ramp up or slow down their spending. We are talking about the purchasing manager at a mid-size auto parts manufacturer who controls $50 to $100 million in annual spending, or the equivalent at a Caterpillar or 3M where that number runs into the billions. When they say things are getting worse, they are already slowing down orders, stretching out delivery timelines, and telling suppliers to hold shipments. That is real economic activity stopping in real time. And when that happens, factories produce less, order fewer raw materials, and start cutting worker hours or headcount. That feeds directly back into the jobs market, corporate profits, and eventually your 401k balance. Expectations are for a reading around 49.5, which means the people running American factories still think things are getting worse. The options market is pricing a bigger move around ISM than JOLTS. Wednesday has more potential to move prices than Tuesday.

Payrolls Friday. This is the one everyone watches. The government releases three numbers at once: how many jobs were added, what unemployment looks like, and whether wages are rising. Expectations are for around 140,000 jobs added, with unemployment holding at 4.1%. If job growth disappoints, it confirms what JOLTS and ISM were already warning about. The economy is slowing. But if wages come in hot at the same time, the Fed is stuck. Rising wages don’t help when inflation is rising, because they put more pressure on the Fed, which won’t be able to cut rates to help a slowing economy, even if it wanted to. A slowing economy with no Fed relief on the way is the scenario the market fears most right now. The biggest expected move of the week, but we won’t see this reaction until Monday because the market is closed on Friday.

Dealer Gamma and Market Structure

The options market has a specific price level where dealer behavior flips. Above that level, dealers naturally buy when the market dips and sell when it rallies, which keeps things calm and contained. Below it, they do the opposite. They sell when the market drops and buy when it bounces. That means every move gets bigger than it otherwise would be. Right now, we are below that level and have been for weeks. Dealers are not stabilizing this market. They are amplifying it.

The amount of negative positioning in the options market right now is the largest it has been in months.

SPX Live Price and Key Gamma Levels

Key levels to start the week:

Gamma Flip: 6,679

Weekly Expected Move upper: 6,611

Weekly Expected Move lower: 6,127

Monday Expected Move upper: 6,490

Monday Expected Move lower: 6,248

Notice that both the daily (green lines) and weekly (orange lines) expected moves sit below the flip line (yellow line). The options market is telling you it does not expect the S&P 500 to reclaim that level this week. Until it does, this is a grinding, low-conviction tape that chops in both directions.

Realized Volatility

1-month RV: 14.69. 3-month RV: 12.92. HIGH-VOL REGIME.

Short-term volatility (blue line) is running hotter than long-term volatility (orange line). That is important because a specific group of large institutional funds, called vol-control funds, is required by their own rules to automatically sell their stock holdings when short-term volatility exceeds long-term volatility. They are not making a judgment call on the economy or earnings. They are following a computer program. And right now that formula is telling them to sell. Until short-term volatility cools back down below the long-term reading and stays there, those funds keep reducing exposure. That is a persistent mechanical headwind for this market.

The RV signal is Neutral by definition of the model. The direction it is moving is not.

Flows

CTA trend: Falling. Vol-control trend: Falling. Flow Signal: Bearish.

Two large groups of systematic funds drive this signal. CTAs are trend-following funds. When markets rise, they buy. When markets fall, they sell. Simple as that. They have been selling for weeks. Two weeks ago, they briefly slowed down, and the signal ticked to Neutral for one week. Last week, they went straight back to Bearish. That pause did not produce a bid. It produced a head fake for the bulls. Vol-control funds are covered above. Both sets of rules currently tell these funds to reduce their stock exposure.

Short-side crowding keeps building. That is not a reason to buy today. It is a reason to know that when this regime turns, it will turn fast.

Breadth and Participation

Breadth: 45.1%. Breadth Signal: Bearish.

This measures how many stocks inside the S&P 500 are actually in uptrends versus downtrends. Right now, only 43% of S&P 500 companies are trading above their own long-term average price. That means the majority of the index is already deteriorating beneath the surface. Healthy markets have broad participation. This one does not.

Six weeks ago, this reading was 68%. It has fallen every single week since. That is not rotation into different sectors. That is the market getting weaker underneath.

The level to watch is 40%. That is the threshold historically associated with recessions and major corrections. 2018. 2020. 2022. We are getting very close.

Composite Signal and Regime

Gamma: Bearish. Realized Volatility: Neutral. Flows: Bearish. Breadth: Bearish. Weighted Composite: Neutral. Regime: Risk-Off.

Three Bearish. One Neutral. Zero Bullish. Allocation unchanged: 75% SPLV / 25% BTAL.

Three things change this allocation. The S&P 500 reclaims 6,678 and holds it. Short-term realized volatility falls back below long-term and stays there. Breadth recovers above 60%. Zero out of three are moving in the right direction.

Performance

Weekly rebalance: -3.63% YTD. S&P 500: -6.68%. Daily rebalance: -11.61%.

Down 3.63% against an index that is down 6.68% in a pretty volatile start to the year. The defensive posture is doing its job. The model is fully invested at all times to reflect market structure.

Bottom Line

Negative gamma is the deepest it has been in months. Short-term volatility is still running above long-term. Systematic funds are still selling. Breadth is still deteriorating. Three Bearish signals.

JOLTS Tuesday. ISM Wednesday. Payrolls Friday. In negative gamma, whatever the tape delivers gets amplified, in both directions. So your job is to monitor the market, and as long as it stays within the weekly expected move box, you have no reason to allow your emotions to get the best of you.

Nothing has changed for the better. Several things have gotten worse. The allocation stays where it is until the structure says otherwise.

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.

Every major US equity index is now in correction territory.

Nasdaq is down 12.19% from its all-time high. Dow down 10.01%. Russell 2000 off 9.90%. The S&P 500 “holding up” at -8.74% is not a flex; it’s just last in line.

Let’s start with oil, because everything else flows from it.

WTI was in a multi-year downtrend heading into 2026, bottoming near $55 a barrel. Declining oil was a gift to the Fed, to inflation, to the consumer. If oil goes down, so does everything else. When oil goes up, so does everything else.

WTI is pressing $100, with a measured-move target of $120, driven entirely by a war-related supply disruption that has lasted longer than anyone expected. The front-month contract is trading at a premium to deferred contracts, that is, backwardation, and backwardation tells you the physical market is very tight right now. This is now a real supply problem.

The Fed entered 2026 with a very manageable task. Hold rates just above neutral, let core inflation drift back to 2%, don’t break anything. Most policymakers were describing the current rate as “mildly” or “moderately” restrictive. That framing made sense before Crude started ripping everyone’s face off. It is not defensible with oil approaching $100 and the 5-Year Breakeven Inflation Rate matching a three-year high. The 400+ Ph.D. economists at the Fed will tell you inflation expectations remain well-anchored, and technically, they are not wrong. The Fed doesn’t look forward; it only looks backward.

I fully expect the April 10th CPI print to come in north of 3%. The betting markets agree with me.

The best-case scenario for the Fed requires three things simultaneously: oil corrects hard and fast, the labor market holds despite mixed data since December, and there is no second inflation wave reminiscent of the 1970s. Every week crude stays elevated, that scenario gets less likely. If one or more of those conditions break down, the Fed is forced to raise rates, because the ghost of Arthur Burns still haunts that building. Nobody there is cutting prematurely before inflation is contained.

And remember, this is the same Fed that waited until inflation was printing at 7% to raise rates. After the government panic-printed $10-12 trillion dollars. The Fed will always be late. It has always been late. That is not an opinion, it is an institutional track record.

The 2-year Treasury is back to testing 4% this week. The bond market isn’t pricing cuts anymore. It’s pricing higher for longer, with a tail risk of hikes most people are still too reluctant to say out loud.

The equity market is reflecting all of that in real time. The S&P 500 futures hourly chart is not subtle about it. Price has been grinding lower, and every rally attempt has been rejected at the upper boundary, the 21-period EMA sloping straight down and functioning as a reliable ceiling on bounces. The RSI is at 31 and in its own downtrend.

Oversold does not mean bottom. It means the selling has been persistent, and buyers have not shown up. Resistance is stacked above at $6,555, $6,638, $6,688, and $6,808. None of those levels has been reclaimed with any conviction. Until one is reclaimed, this is a downtrend and should be treated as one.

The VIX at 31 is firmly in the chop. The spike to 52 last April was a genuine crisis. This is something different, a sustained volatility regime with an intact 2026 uptrend, higher lows on each pullback, and an RSI at 64 that still has room to run before reaching an exhaustion point.

The VIX is saying this market has not found its footing, and the people pricing volatility are not in a hurry to sell it down.

The April-May VIX calendar spread makes that point more forcefully. It has collapsed from +0.55 to -1.95, with a key support level already broken. Options traders are paying significantly more to hedge May risk than April risk. They are not pricing a near-term resolution for Iran. Watch for a reclaim of -0.96 as the first sign that term structure is starting to normalize. Until then, the institutional hedgers are still worried, and that is the group worth listening to right now.

One more chart that is not getting enough attention. The 3-month Treasury yield sits at 3.73%, declining from its 2023-2024 peak above 5%. That is a cyclical peak in the 3-month yield followed by a rollover, which has preceded every major recession on this chart going back to 2001. The signal is not a sell signal in isolation, and the 10-year spread is still positive at 0.69%. But in an environment where consumer spending is already showing cracks and the labor market data has been mixed for months, the direction of travel deserves our respect. This is not a “recession is here” signal. It is a “pay attention” signal.

The Market Had Problems Before Iran. It Still Does.

Now, here is what the Iran war coverage has drowned out. There were two other distinct headwinds building in this market before the conflict began, and neither one has improved while everyone has been watching crude and ceasefire negotiations.

Private credit stress is still getting worse. This week, Apollo capped withdrawals on its $25 billion private credit fund after redemption requests hit 11% of total shares.

Ares capped withdrawals on its $10.7 billion private credit fund after investors rushed for the exits, pushing redemption requests to nearly 12%.

Blackstone injected $400 million of its own capital to stabilize one of its private credit funds.

These are massive firms. This does not threaten their solvency. But the headline cycle is self-fulfilling: fear drives redemptions, redemptions drive more fear, repeat.

If your advisor still has you locked in an illiquid private credit product in this environment, that’s a you problem with an easy fix. Find a new advisor.

The writing has been on the wall in this space for years, so if you are still invested, your guy is not paying attention.

That feedback loop is starting to turn, in the background, exactly the way these things tend to build before anyone decides it is worth worrying about. The Baa credit spread is at 1.79%, and the relative stability of BX, APO, and ARES on a week-over-week basis tells you the market is registering this as elevated stress, not a five-alarm fire, yet. The keyword there is yet. But the direction of the headlines is getting worse, and this is not a story that resolves on its own.

Then there is AI anxiety, which never actually went away; it just got pushed off the front page. The structural fear that AI could impair or eventually replace the SaaS business model was a genuine headwind in Q1, and the IGV chart tells you it still is.

Here’s my honest take on the “AI kills software” narrative: it’s dead wrong.

I’ve built my own software. Cut thousands in monthly subscription costs using AI and low-cost APIs. Was it effortless? Absolutely not. The internet wants you to believe 14-year-olds are running $100 million companies from their parents’ basement with a wall of Mac Minis and a fleet of AI agents. What nobody talks about is the API token costs, the verification time, and the mistakes you have to catch. I still spend an hour or two a day double and triple-checking that things are running properly. Now, I have created systems that are exactly what I want and only for me. Normal people do not decide to take on a project like that.

Here is what the market is missing. People do not do hard things when easy things are available. Said another way, it is easier not to do things than it is to do them. That is human nature. Why would anyone cancel a software subscription when a ready-made solution already exists? The market pricing in a world where everyone and their grandma becomes a software developer overnight is going to look very silly in hindsight.

AI is a tool, not a replacement for everything on the planet. When that finally sinks in, this chart turns around.

One more thought: I think 2026-2027 will be the years we actually start seeing measurable efficiency gains and real profit attribution tied directly to AI. They will still have to figure out the unsustainable capex spending, but that is tomorrow’s problem.

IGV peaked near $118 and has shed more than 32% from those highs, closing Thursday at $79.75, barely above the February low of $76.26.

What makes that concerning is not what happened, but what did not happen. Adobe, Workday, and Salesforce all reported broadly okay earnings. No new AI news justified another leg lower. And yet IGV cannot hold a rally. It bounced to $88 and sellers stepped right back in.

A sector that cannot find its footing on neutral news is under structural selling pressure.

The $76.26 low is the line. If it breaks, that is a negative signal for software and the broader market.

So here is where we actually are. Oil started a chain reaction that has not resolved, and the longer it stays elevated, the harder the Fed’s path gets. The equity market is in a downtrend with no technical evidence of a bottom. Volatility is elevated and trending higher. Private credit stress is building slowly and consistently in the background. And software cannot get off the mat even when there is no fresh bad news to justify the weakness.

None of these are individually catastrophic in a vacuum. But all of them together, at the same time, in the same market? That is how things break. Not from one thing. From everything piling up at once, while nobody was paying attention, with maximum market uncertainty.

The path keeps getting narrower. The only question is whether you are paying attention before it matters, or after.

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.

The S&P 500 dropped another 126 points last week. Closed Friday at 6,506. The flip line is at 6,693. That is 187 points between here and a market that starts behaving itself. Three weeks ago, the distance was 116. It is not getting smaller.

Breadth is at 45%. Five points from structural bear market territory. Conditions are not improving at all.

What the Market Is Pricing This Week?

Three high-impact events this week. Consumer Confidence Tuesday. GDP Q4 Final Estimate Thursday. PCE Price Index Friday.

The options market is already pricing in the risk. Expected move by Thursday’s expiration is ±2.83%. Put/call ratios sit above 1.0 all week, meaning the hedging crowd is larger than the betting-on-a-rally crowd into every major print. SPX IV steps up from 19.06 Monday to 24.20 by Thursday as each event adds another layer of uncertainty.

Consumer Confidence lands Tuesday with a ±2.07% expected move. In a negative gamma environment, a bad number does not get absorbed quietly. It gets amplified.

GDP Q4 Final and PCE close the week back-to-back. These are the two data points the Fed watches most closely right now. The market knows it. That is why implied vol keeps climbing as the week goes on.

Here is the plain version: the market is already nervous. Dealers are set up to make big moves bigger. And this week hands the market three separate chances to spook itself. And Iran isn’t even on the calendar. You do not need to predict which way it goes. You need to know the moves will be larger than they normally would be.

Dealer Gamma and Market Structure

Every point between here and the flip line is negative gamma. Dealers are feeding volatility right now.

When the price drops, they sell. When it bounces, they buy into it. Both directions get amplified. That is not sentiment. That is the mechanical reality of sitting 187 points below the flip line in a market with $23 billion of negative gamma at the current price.

The weekly expected move is 6,860 upper, 6,353 lower. The S&P 500 closed near the bottom of that range. Getting back above 6,693 and holding it requires a lot of buyers with a lot of discretionary capital to bid against months of systematic computer selling. That has not materialized and is highly unlikely at this point in time.

The flip line itself continues to drift lower as open interest repositions. The target is moving. Reclaiming it requires a price to recover and the options structure that sets it to move at the same time.

Realized Volatility

The spread between short and long-dated realized volatility was 0.7 last week. Now it is 1.27. The one week of narrowing did not hold. Vol-control funds do not rebuild equity exposure until the 1-month falls back below the 3-month and stays there. That has not happened. The mechanical selling is still running on the kitchen floor.

Flows

CTA trend: Falling. Vol-control trend: Falling. Flow Signal: Bearish.

The week prior, CTAs slowed down enough to move the flow signal from Bearish to Neutral. Last week they went right back to Bearish. The pause did not produce a bid. It produced a head fake.

Vol-control funds are doing what they always do when realized vol is elevated: selling!

They do not care about the narrative or your feelings. They respond to the math. The math says sell.

The combined Z-score is still negative. Short-side crowding is building. That is not a reason to buy today. It is a reason to know that when this turns, it turns fast.

Breadth and Participation

45% of S&P 500 stocks are above their 200-day moving average. Breadth Signal: Bearish.

Six weeks ago, breadth was 68%. It has fallen every week since. Three weeks ago, 57.6%. Two weeks ago, 49.8%. Last week, 45.1%. Twelve and a half percentage points gone in three weeks. This is not a rotation. This is breadth deterioration.

The 40% level is where bear markets live. Recessions. Major market corrections. 2018. 2020. 2022. Five points away.

Composite Signal and Regime

Gamma: Bearish. Realized Volatility: Neutral. Flows: Bearish. Breadth: Bearish. Weighted Composite: Neutral. Regime: Risk-Off.

Three Bearish. One Neutral. Zero Bullish. Third consecutive week of Risk-Off.

Three things change the allocation. The S&P 500 reclaims 6,693 and holds it. Realized volatility flattens and 1-month falls back below 3-month. Breadth recovers above 60%. Zero out of three right now. Not trending toward any of them.

Performance

Weekly rebalance: -3.58% YTD. S&P 500: -4.68%. Daily rebalance: -11.71%.

The daily portfolio got chopped up by the intraday noise. The weekly portfolio was updated once a week (on Fridays) when the signal was clear, and avoided most of it. That difference is the whole point of the process.

Down 3.58% while the index is down 4.68% in one of the most volatile starts to a year in recent memory. The posture is working.

A note on performance: this model is fully invested at all times. That is by design. The goal is not to beat the index; it is to stay aligned with market structure and manage equity beta exposure accordingly. The ETF constraints are not how this works in practice. That is something I have learned building this process in real time. A raw return comparison does not capture that. Going forward, the performance visual will evolve into something that better reflects what the model is actually telling you about equity risk in the current regime. I’ll keep posting it until that project is done.

Bottom Line

187 points below the flip. Three Bearish signals. Breadth five points from structural bear market territory. Realized vol widened again. Flows back to Bearish after one week of false hope.

Nothing has changed for the better, but conditions have gotten worse.

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.

Technicals were already weakening before the signal change, so we front-ran the signal by raising cash earlier in the week. Core equity models are now sitting at 40-51% in short-term T-bills.

Oversold markets can bounce. But any rally while the RiskSIGNAL™ is red is a selling opportunity.

The chart says it all. We’re rolling over. The signal agrees.

Three Forces Are Driving This Market. None of Them Are Resolved.

The Strait of Hormuz is effectively closed, and Trump is threatening to bomb Iran’s power grid within the next 24 hours if they don’t open it back up. Nearly 20% of global daily oil production is trapped while the Strait is closed. That is not a headline risk anymore. This is a live military and economic event happening before our eyes. And markets have not fully priced what comes next if he follows through.

If we take out Iran’s power grid. The short-term market reaction will likely be:

Oil spikes hard. Strait stays closed longer, maybe indefinitely in the short term. $100 oil becomes the floor. Energy stocks rip. Everything else gets hit.

Gold goes up. Treasuries could see a flight-to-safety bid. The dollar strengthens, continuing its uptrend.

Global equities sell off fast. The market hates open-ended military conflict with no clear exit.

The weekly expected move for the S&P 500 this week is 245 points in either direction from Friday’s close of 6,506. That puts the upside target at 6,751 and the downside at 6,261.

The options market is also pricing in a wider 2 sigma range of 6,860 on the upside and 6,353 on the downside.

And none of that accounts for Iran. If Trump follows through on the bombing threat, 6,261 is not the floor; you could easily blow through the downside level fast.

Private credit is cracking quietly. Redemption gates are going up at alternative asset managers. If it spreads to banks and larger institutions, we’re having a very different conversation. One that rhymes with 2008.

And then there’s AI. The spending is massive. The ROI is still unproven. Good headlines remind investors why it matters. Bad ones make people question whether any of this capex ever pays off.

These three forces drive earnings. And earnings drive where this market lands.

If things get worse, earnings estimates haven’t even started to reflect the damage. Multiples compress. That support zone in the low 5000s on the chart becomes the destination. That is a 20% drop from current levels. It is not a crazy outcome if all three of these risks go the wrong way at the same time.

If things get better, the picture flips. Hormuz opens. Private credit stress stays contained. AI capex starts showing real returns. Earnings hold up, and multiples can support a move back toward the highs. That path exists, too.

Right now, neither case is off the table.

The RiskSIGNAL™ is red. We are not guessing which way this resolves. We are protecting capital until it does.

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.

The S&P 500 fell another 70 points. The distance between the S&P 500 and the gamma flip line grew to 174 points. Six weeks ago, it was six. Breadth crossed into Bearish territory for the first time this year. Two Bearish signals. Two Neutral. Zero Bullish. Same allocation.

Dealer Gamma and Market Structure

The S&P 500 closed Friday at 6,632. The gamma flip line is at 6,805. As of this morning the S&P 500 is trading at 6,714, above Friday’s close but still 91 points below the flip line.

The weekly expected move sets the boundaries for this week at 6,892 on the upside and 6,453 on the downside. The S&P 500 is currently trading in the middle of that range, well below the gamma flip line and well above the downside boundary. Until the S&P 500 closes above 6,805 and holds it, none of that changes.

Below that line, dealers hedge with price, not against it...

Below that line, dealers hedge with price, not against it. The S&P 500 drops, they sell. It bounces, they buy into it. Every move in both directions gets amplified. That is why this tape feels more violent than the point moves suggest. That is mechanics, not sentiment.

The weekly expected move is 6,892 upper and 6,453 lower. Getting the S&P 500 back above 6,806 requires a sustained multi-session bid from discretionary buyers competing against six straight weeks of systematic selling.

Realized Volatility and Vol Control

1-month realized volatility: HIGH-VOL REGIME.

The spread between the two narrowed from 2.6 points to 0.7 this week. First time in six weeks it has not widened. Vol-control funds do not start rebuilding equity exposure on one week of improvement. They need 1-month realized volatility to fall back below the 3-month reading and stay there. That has not happened. The mechanical selling continues.

Flows

CTAs have been selling for six consecutive weeks. Every failed rally below the gamma flip line and below trend triggers another round of unwinding.

The combined flow signal moved from Bearish to Neutral this week. The selling slowed. Buying has not started. Any rally that holds has to come from discretionary buyers, without systematic support. That is a structurally weaker setup.

Breadth and Participation

50% of S&P 500 stocks are above their 200-day moving average. Breadth Signal: Bearish.

Three weeks ago, this was 68%. Two weeks ago, 67%. Last week, 57%. Eighteen points in three weeks. The 3/9 report noted a 7-point buffer to the Bearish threshold. That buffer is gone.

The next level to watch is 40%. Structural bear market territory. Ten points away.

Composite Signal and Regime

Two Bearish. Two Neutral. Zero Bullish. Risk-Off. Second consecutive week.

Allocation unchanged: 75% SPLV / 25% BTAL. SPLV anchors the downside. BTAL is long quality, short beta. Built for exactly this environment.

Three things change the allocation. The S&P 500 reclaims 6,806 and holds it. Realized volatility flattens, and the 1-month/3-month spread turns negative. Breadth recovers above 60%. Zero out of three right now.

Performance

The weekly rebalance is down 0.39% year-to-date. The S&P 500 is down 2.86%. While the index has been selling off hard since late February, the weekly portfolio held its ground. That is what a defensive posture in a deteriorating market is supposed to do.

The daily rebalance is down 9.41%. That is the cost of reacting to every session in a tape this volatile. Whipsaws in both directions have punished anything that tried to keep up with intraday moves. The weekly rebalance sidesteps that by updating once a week when the signal is clear, not every day when the noise is loudest.

The process is about alignment, not outcome over any single week. At some point, this entire framework will shift to an indicator to further prove this point.

Bottom Line

The S&P 500 is at 6,632, 174 points below the gamma flip line. Dealers are amplifying every move. Realized volatility is in HIGH-VOL REGIME, though the 1-month/3-month spread narrowed for the first time in six weeks. CTA and vol-control flows ticked from Bearish to Neutral, but systematic buying has not resumed. Breadth dropped from 57% to 50%, crossing into Bearish territory.

Two Bearish. Two Neutral. Composite Neutral. Regime Risk-Off. Allocation 75% SPLV / 25% BTAL.

The S&P 500 needs to reclaim 6,806, volatility needs to flatten, and breadth needs to recover above 60%. None of those conditions are met yet.

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®

Fiduciary 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.

Markets pulled back again this week, and emotions are running hot. I fielded more client calls this week than usual, all asking some version of the same question: what is going on with everything going on? In my experience, for every one client who picks up the phone, there are ten more thinking the same thing. So this week’s note is dedicated entirely to answering those client questions.

There is a lot of noise right now. War in the Middle East. Oil spiking. Stagflation warnings. Is the Fed possibly hiking rates? Private credit is blowing up. AI trade is unraveling just as AI is proving itself. The stock market hit new year-to-date lows yesterday.

Most of what you are reading in the news is either incomplete, late, or engineered to keep you coming back for more stress. I know this from personal experience. Every time I post a high-conviction take on X, my engagement goes through the roof (like 20-50X) compared to a more thoughtful post. The news works the same way as your social media feed. They need eyeballs, and extreme headlines, whether wildly bullish or wildly bearish, get clicks. The sky is always falling somewhere. That drives advertiser dollars. Said another way, reporting the facts clearly and concisely does not make the network’s money because you won’t watch it.

Most people still treat mainstream news like it’s some sacred institution dedicated to truth. It’s not.

Believe it or not, my younger clients in their 20s-30s filter through the noise significantly better than my clients who are in their 50-60s. Because they don’t watch the news. They get their news from Substack, social media, and independent research.

CNN is owned by Warner Bros. Discovery, the same company behind the Bachelor franchise. NBC News is a division of Comcast’s NBCUniversal, a corporation that makes its real money from theme parks and streaming subscriptions. ABC News belongs to The Walt Disney Company, a business built on fairy tales and the Backelor franchise. Fox News operates under Fox Corporation, which also runs Fox Entertainment. These aren’t journalism companies with entertainment side hustles. They’re entertainment conglomerates with news divisions bolted on because outrage and fear generate reliable ratings. In financial markets, every single one of these parent companies is classified under “Communication Services” or “Media & Entertainment,” not under some special journalism category, because no such category exists. The FCC’s Fairness Doctrine, the one regulatory guardrail that once required broadcasters to present issues honestly and with balance, was killed in 1987, and nothing replaced it. Cable news was never subject to it in the first place. So when you watch a primetime news anchor work a story into an emotional frenzy, understand that you’re not watching journalism. You’re watching a product, designed by an entertainment company, engineered to keep you glued to the screen long enough to sell you a pharmaceutical ad. The sooner people internalize that reality, the sooner they’ll start thinking for themselves instead of outsourcing their opinions to a teleprompter reader in a $3,000 suit and $500 haircut.​​​​​​​​​​​​​​​​

So the incentive is never to give you the full picture. It is to give you the most alarming version of it, as fast as possible.

One more thought on the CNBC FOMO factory.

I genuinely cannot believe people who call themselves serious investors take anything on that network at face value. If you spend five minutes actually listening and doing basic research, the conclusion is obvious: it's a TV show. That's it. Just like Landman and Everybody Loves Raymond. The difference is, you're actually better off watching those shows, because at least you won't emotionally react your way into an irreversible financial mistake.

Take The Halftime Report on CNBC. Every single day, Josh Brown from Ritholtz Wealth Management sits down and drops a new stock pick. Fresh conviction. Fresh enthusiasm. New ticker, new story. And then tomorrow, a new one. He does this 252 days a year.

Josh Brown runs a $4B+ RIA. Client assets pour through the door every week, and the credibility that drives new business to his firm is manufactured directly by his daily appearances on CNBC. He is being positioned as an elite stock picker, a market authority, a guy you should listen to. But nobody is keeping score. There is no win/loss ratio. No batting average. No scoreboard. He and the other talking heads say “I like this stock” on national television, and it disappears into the air. No follow-up. No accountability. You could pull SpongeBob SquarePants out of Bikini Bottom, sit him behind that desk, and the segment runs the same way. “I’m bullish on Krabby Patties.” Brilliant call, Sponge. Same conviction, same follow-up, same accountability. Absolutely none.

That is professional and intellectual dishonesty. Because the average investor watching at home has no idea that’s how the game works.

And here’s the part that should really convince you: last time I checked, Josh Brown’s firm doesn’t even use individual stocks in their model portfolios. They use ETFs and mutual funds. The guy who built a national reputation as a stock picker doesn’t run stocks in his own client book. How stupid is that?

So you have someone pumping individual names on television every day to millions of viewers, collecting the credibility that comes with it, growing a $4 billion business off that credibility, and not even using those ideas himself. Connect those dots however you want.

Bottom line: CNBC is a joke. And sadly, most of the free institutional research is as well. Build your own framework, do your own research, or pay someone you trust and read their research. I am happy to make recommendations.

Here is my actual read on every major worry in the market right now, in plain language.

Worry #1: The U.S.-Iran War Is Going to Crash the Market

Maybe. But probably not the way you think, and I want to push back on some of the fear being generated around this.

The war itself is not what matters to your portfolio. What matters is one body of water: the Strait of Hormuz. That chokepoint carries roughly 20% of global daily oil consumption. It is effectively shut right now. That is why oil went from $60/bbl in early 2026 to a high of $120 this week before pulling back to around $94 today.

If the Strait reopens, this selloff reverses fast and hard. If it stays closed for another 30 days, we test the November lows on the S&P 500 around 6,534. That is it. That is the whole equation. Everything else, the missiles, the rhetoric, Trump’s press conferences, Iran’s new Supreme Leader, is noise unless it directly affects oil moving through that Strait.

I want to be direct about something. I believe the conflict in the Middle East should be seen more as a buying opportunity than as a reason to run for the hills. Some are drawing comparisons to the Iraq war in 2003 or Russia’s invasion of Ukraine in 2022, suggesting this could drag on for years rather than weeks. That comparison adds real weight to the uncertainty, and I get it. The mind hates not knowing the outcome. We want immediate resolution, especially in a world where we expect answers in seconds.

But think back to the Iraq war. Markets moved sharply at times. Oil prices spiked. There were stretches of deep uncertainty. Yet over the full span of that conflict, the U.S. economy continued to grow. Businesses continued to operate. Long-term investors who stayed disciplined were not destroyed. The same dynamic played out when Russia invaded Ukraine in 2022. Oil spiked above $130, markets sold off hard, and investors who panicked locked in losses right before the recovery.

History is not a guarantee. But it is data, and the data says that geopolitical conflicts, even prolonged ones, rarely end bull markets on their own.

The market has also been playing a pattern called TACO, Trump Always Chickens Out, where every scary geopolitical headline eventually gets walked back, and stocks bounce. It has worked reliably for the past year. The problem this time is that war is not a domestic policy you can reverse with a social media post. Even a U.S. ceasefire does not guarantee that Iranian factions will stop harassing tankers.

There is another factor worth naming directly: unpredictability. The Trump administration has shown repeatedly that tone and policy can change in literally five seconds. None of this should be a surprise. That back-and-forth feels destabilizing in the moment. But it also means that any legitimate good news, a ceasefire signal, a credible Strait reopening, even a softer presidential comment, should send stocks sharply higher and oil sharply lower. The same volatility that is hurting you on the way down will work in your favor on the way up. If you are holding an oil trade, move your stops up. This can unwind just as fast as it was built.

My read: a ceasefire likely brings oil back to $70-75, not $60. Stocks rally hard on that news, but probably do not make new highs immediately. The more dangerous scenario is oil holding above $90 for another month, which starts to do real economic damage.

Worry #2: Stagflation Is Back, and It Is Going to Be the 1970s Again

This one is real, but it is not inevitable, and most people explaining it do not actually understand what makes stagflation dangerous.

Stagflation is not just “inflation is high.” It is inflation running hot while growth is stalling at the same time. The reason it destroys portfolios is that it removes the hedge. Normally, when stocks fall, bonds rally because growth slows and the Fed cuts rates. In stagflation, both fall together. There is nowhere to hide in a traditional 60/40 portfolio. We saw this in 2022. Stocks fell 30% while 20-year Treasuries fell 40%. No offset. No relief. Just losses on both sides of the portfolio simultaneously. This is where hiding in cash makes sense. Not yet, though.

Here is where we actually stand today. On the growth side, February payrolls came in at -92K versus an expectation of +60K. Unemployment rose to 4.4%. Continuing claims jumped 46K in a single week. On the inflation side, Core PCE is at 3.0%, the highest since April 2024, and that is before a single barrel of $90+ oil shows up in the data. The March inflation numbers will not be released until mid-April, and they will be ugly. I expect an acceleration in headline inflation to +2.85% y/y, and it could push closer to 3%.

The Fed is now paralyzed again. The market went from pricing in three rate cuts this year to pricing in zero in a matter of weeks. Today, the odds of even one cut in 2026 fell below 100%. Rate hikes are now being discussed, and the rumors are spreading. The ECB and Bank of England are already pricing them in.

But here is what I want you to understand: one bad jobs report is not a trend. The ISM Services Index hit a multi-year high of 56.1 in early March. ADP showed +63K private payrolls the same week. Initial jobless claims were solid. The economy is not in recession. The stagflation risk is real and rising, but it is not confirmed. If March payrolls also come in negative, the calculus changes completely and this becomes my base case. Until then it is an elevated risk, not a certainty.

Worry #3: The Fed Is Going to Hike Rates and Destroy Everything

This is the newest and most alarming headline making the rounds, and I want to address it directly because it is being badly mischaracterized.

Yes, rate hike expectations are being discussed in markets for the first time in years. Yes, the 2-year Treasury yield spiked to a seven-month high of 3.75% yesterday. Yes, the bond market is pricing in a harder Fed path. But here is the context that is getting lost: the Fed does not hike into a weakening labor market. Full stop. That would be an extraordinary and historically unprecedented policy error. What the bond market is actually pricing is that cuts are off the table for now, not that hikes are coming.

The real risk is a Fed that is frozen, unable to cut because inflation is rising from oil, and unable to hike because the labor market is showing cracks. That paralysis is itself a headwind for stocks because it removes the safety net that investors have relied on for the better part of two years. The Fed cannot ride to the rescue this time. That changes the risk calculus even if hikes never actually materialize.

Worry #4: Private Credit Is Going to Blow Up the Financial System

This one is being dramatically underreported, and I think that is actually more concerning than if it were getting the coverage it deserves.

Blue Owl has stopped redemptions on one of its private credit funds. JPMorgan is writing down the value of private credit collateral. A significant portion of these loans were made to software companies at valuations that assumed continued revenue growth. AI disruption and a slowing economy put those assumptions at risk. When fund marks have to come down, it hits earnings at financial institutions holding these assets.

Is this 2008? No. The scale is different. The contagion pathways are different. But the pattern, opaque assets with illiquid redemption terms getting marked down in a risk-off environment, is one that has caused problems before. The financial sector has been quietly underperforming for this reason. Junk bond yields hit a three-month high of 7.34% last week. Credit spreads are in an early 2026 uptrend.

This is not a sell everything signal (yet). It is a know what you own signal. If you hold alternative credit funds or BDCs, now is the time to read the fine print on redemption terms and understand the underlying loan portfolios. Well, actually, before you invested in it, it was time to read the fine print. I got all of my clients out of private credit in 2022, following the headline news on BREIT limiting investor redemptions, forcing them to sell their casinos in Las Vegas. This does not end markets. But it adds another leg to the stool of things that could go wrong simultaneously. And that list is getting longer.

Worry #5: AI Is a Bubble, and It Is Popping

The OpenAI and Oracle data center cancellation headline from last week hit the market hard and reignited every concern that has been simmering since DeepSeek rattled tech stocks in January 2025. And those concerns were legitimate. That is a real problem for the stocks trading at the valuations that assume it will.

But here is what is getting lost. AVGO and ORCL both reported solid earnings last week with strong guidance. The software ETF IGV has bounced meaningfully off its February 24 low of $76.26. OpenAI’s latest model release with “extreme reasoning” capabilities generated genuine enthusiasm. The AI trade is not dead. It is digesting a lot of uncertainty about ROI timelines and competitive dynamics. I think this year is the year for AI to prove itself.

The line in the sand technically is $76.26 on IGV. That is the level the entire AI trade pivots around right now. If geopolitical volatility and growth fears drag it back through that level, AI anxiety is re-accelerating and tech leads the market lower. If it holds, the AI trade is in a consolidation, not a collapse.

Worry #6: The Stock Market Is Crashing

Let me give you the honest numbers as of Friday, March 13, 2026.

The S&P 500 closed at 6,632, down about ~3.3% year to date and approximately 4.3% off the all-time intraday high of 7,000 reached on January 28, 2026. The Dow closed at 46,548, down 0.28% on the day and now down over 4% from its February high above 48,500. The market has broken below its 50-day, 100-day, and 13-week moving averages. The S&P 500 has been trading below its 50-day moving average since February 27. The index closed out its third straight week of losses.

There are four technical similarities right now to early March 2025, which preceded last spring’s sharp selloff. That is not something to dismiss. The threat of a 20-25% correction is as elevated as it has been in almost exactly one year.

But here is the honest counterpoint. Fair value on the S&P 500 right now, using $305 in 2026 earnings estimates at a 21.5x multiple, is approximately 6,558. We are not far from fair value. The worst case scenario, using $280 EPS at an 18x-19x multiple, puts the floor around 5,040-5,320. That is real downside. But it requires multiple things to go wrong simultaneously: the Strait stays closed for months, stagflation is confirmed, and private credit stress spreads to major banks. That is a lot of dominoes.

The bull case, Hormuz resolves, AI stabilizes, growth holds: $6,930 on the S&P with a short-squeeze potential to 7,350 if we clear 7,000.

This is not a crash. It is a correction in the context of a bull market that has serious headwinds piling up at the same time. The difference matters enormously for how you should be positioned.

What I Am Actually Doing

Trimming overweight positions in high-multiple tech. Not selling tech entirely, trimming where we were overweight.

Holding energy oil stocks and commodities as a direct hedge against oil staying elevated. Energy equities did not fall hard even when oil dropped 18% intraday on Monday. That tells you the equity market does not believe oil is going back to $60.

Adding to our gold position. It is up 19.6% this year. It is the cleanest expression of two separate trades simultaneously: a geopolitical fear bid and a long-term currency debasement trade. Both of those stories have legs beyond this conflict.

Staying short duration on bonds. The 10-year at 4.26% is not yet in the danger zone, but there is no reason to reach for long bonds when the Fed is paralyzed and oil is actively inflationary. This is exactly where the 60/40 portfolio breaks down. Long bonds do not behave like a safe haven in this environment. They trade like stocks, and right now that is the last thing you want on the other side of your equity exposure.

Holding cash. Not a lot. But some. Because the best outcome here is that things get worse before they get better and you want the ability to buy quality at better prices.

Not panicking. Because the data does not support panic. It supports caution, selectivity, and knowing exactly what you own.

The market is pricing in a ceasefire. If it gets one, we rally. If it does not, we go lower. Everything else is a sideshow around that one variable 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 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.

Last week breadth was the one thing keeping this model out of Risk-Off. 67% of S&P 500 stocks above their 200-day MA.

This week it dropped to 57%. Below the 60% threshold. Breadth flipped from Bullish to Neutral. The model flipped to Risk-Off. First time in 2026.

Two Bearish signals. Two Neutral. Zero Bullish. That is where we are.

Dealer Gamma and Market Structure

SPX is at 6,702. The gamma flip is at 6,859. That is 157 points of separation.

Six weeks ago, it was six points. Then 69. Now 157. The bulls are not just failing to reclaim the flip. They are getting dragged away from it.

The rising trendline from the August lows is broken. The bearish RSI divergence that was building for weeks has just been confirmed. There is no nearby technical support that means anything right now.

The gap has widened every week. The bulls have not just failed to reclaim the flip. They have lost ground. The tape has moved from drifting below the line to getting dragged away from it.

Look at the chart. The 21-day EMA is at 6,853. That is a ceiling, not a floor. RSI sits at 36.36. That is not oversold. That is a deteriorating market printing lower lows on momentum. The bearish RSI divergence that was building for weeks has now confirmed. The rising trendline from the August lows is broken. Price is in open air below multiple layers of structural support.

The weekly expected move for this week is 6,920 upper and 6,527 lower. The implied move is 1.72%. The market has room to move in either direction. But the structure says the path of least resistance is not up.

In negative gamma, dealers hedge WITH price. Market drops, they sell. Market bounces, they buy into strength. They are an accelerant on every move in both directions. That is why this tape feels unstable. That is not an opinion. That is the mechanical reality of where spot sits relative to the flip.

Getting back to the flip line from here is not a one-day trade. It requires a sustained multi-session bid from discretionary buyers. Those buyers are currently competing against a wall of systematic selling. More on that in a moment.

Realized Volatility (RV) and Vol Control

1-month RV: 13.8. 3-month RV: 11.2. Spread: 2.6 points. Five consecutive weeks of widening.

The RV signal is still technically Neutral. But the trajectory has not reversed. It has accelerated. And vol-control funds do not care about thresholds. They care about the number. The number keeps going up. They keep reducing equity exposure.

Look at the VTS implied allocation chart. Compare January to today. That decline is algorithmic. Mechanical. It does not stop until realized vol flattens. Realized vol has not flattened.

CTAs are doing the same thing.

The CTA signal has been falling in a straight line since early February. Five consecutive weeks. Every failed rally below the flip triggers another round of selling.

Combined flow signal: Bearish. Still.

Any rally has to overpower this selling with discretionary buying. You are rowing against the current.

Breadth and Participation

57% of S&P 500 stocks are above their 200-day MA. Breadth Signal: Neutral.

Three weeks ago, this was 68%. Two weeks ago, 67%. Now 57%. Ten points in two weeks. That drop cost the model its only remaining bullish signal and flipped the regime.

The 50% level is the next line to watch. That is the boundary between Neutral and Bearish. You now have a 7-point buffer. Last week, you had 7 points between breadth and neutral. The week before that, it was fine. Things can move fast.

Composite Signal and Regime

First Risk-Off reading of 2026.

This is not a prediction of a crash. It is a statement about what the evidence shows right now. Two of four signals are Bearish. Neither neutral signal is trending toward Bullish. The model does not support offensive positioning.

Tactical Allocation

Risk-Off. Allocation:

75% SPLV 25% BTAL

SPLV anchors the downside. BTAL is long quality, short beta. It is built for a tape where risk appetite is deteriorating and systematic flows are a headwind. This allocation is not a zero-equity call. It is the model doing exactly what it is designed to do.

What changes it: SPX reclaims 6,838 and holds it. Realized vol flattens, and the spread starts compressing. Breadth recovers above 60%. All three need to move in the right direction. Right now, none of them are.

Performance

Weekly rebalance: +1.27% YTD. S&P 500 Total Return: -1.32% YTD.

While the index went negative for the year, the weekly rebalance remained positive because it maintained a defensive posture as the structure deteriorated. That is the entire point of a process-driven framework.

Discipline over activity. Every time.

Bottom Line

Risk-Off. First time in 2026. Here is what got us here.

SPX is below the gamma flip. Dealers are amplifying every move. Realized vol is in a HIGH-VOL REGIME with a widening 1M/3M spread. CTA and vol-control flows have been Bearish for five straight weeks. Breadth dropped from 67% to 57% and crossed below the Optimism threshold.

Two Bearish. Two Neutral. Composite Neutral. Regime Risk-Off. Allocation 75% SPLV / 25% BTAL.

The market is not broken. But it has earned a defensive posture. The bulls need to reclaim 6,838, flatten vol, and rebuild breadth above 60%. Until all three happen, nothing changes.

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®

Fiduciary 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.

That is the entire margin between this market and a structural regime change. SPX at 6,882. Gamma flip at 6,888. Six points of separation after four consecutive weeks of failure below the line.

You know what that is? That is not progress. That is the market bleeding toward the flip without earning it. There is a difference between drifting up to resistance and reclaiming it. This tape has not reclaimed anything. It has just gotten closer to the line it keeps failing to hold.

Four weeks below the flip. Four weeks of failed recovery attempts. The bulls keep pointing at the price. The structure keeps saying no (for now).

Dealer Gamma and Market Structure

Let me be clear about what negative gamma means because people keep getting this wrong. This is not a prediction. This is not an opinion. This is mechanics. Below the flip, dealers hedge WITH price movement. Market goes down, they sell. Market goes up, they buy. They are gasoline on every move. That is why this tape feels unstable. That is why you get these fat intraday ranges and fast reversals. That is the structure doing exactly what it is supposed to do.

Now look at the futures chart. Price rejected hard off 7,015 in January. The 21-day EMA is at 6,910, sitting above the market like a ceiling. RSI is in a bearish divergence pattern that has been building for weeks. The rising trendline from the August lows and the 6,785 horizontal support are meeting directly below the current price.

The market is coiling. That is not a bullish statement. Coils resolve. The question is which direction. Right now the weight of the evidence says the burden of proof is on the bulls. Get above 6,888 and hold it. Until then, nothing has changed.

Realized Volatility and Vol Control

Here is what the volatility bulls are missing. It is not the level that matters. It is the direction. Last week 1M was 12.3 against 11.7. Now it is 12.9 against 10.8. The spread is widening. Every week that 1M RV creeps higher while 3M holds steady is another week that vol-control funds are mechanically reducing equity exposure. They are not reading your favorite newsletter written by influencers who don’t actually run money for a living. They are not watching the Fed speakers. They are responding to a single input: realized volatility. And realized volatility is telling them to sell.

The RV signal is still Neutral. But neutral with a worsening trajectory is not the same as neutral with a stable one. This signal is one bad week away from flipping Bearish. If it does, the flow picture gets significantly worse in a hurry.

The market needs a quiet week. It has not had one in over a month.

Flows: CTA and Vol Control

CTAs: Falling. Four consecutive weeks. This is not a fluke.

Look at that cumulative signal chart. It has been a one-way street lower since early February. Every failed attempt to hold above the flip line is another trigger for systematic selling. CTAs do not care about your fundamental thesis. They only care about the trend. The trend is down. They are selling into every bounce. Period.

Vol-control is doing the same thing. Exposure is softening. These strategies are mechanically reducing equity exposure as realized vol rises. That is algorithmic. And it has been working against this tape for four straight weeks.

Combined flow signal: Bearish.

Any rally from here has to be carried by discretionary buyers stepping in and overpowering the systematic selling. That is a much harder lift than a tape where vol-control and CTA flows are adding exposure. You are rowing against the current. And that matters.

Breadth and Participation

67% of S&P 500 constituents are trading above their 200-day moving average. The breadth signal is Bullish.

This is the one signal the bears cannot fully claim. Two-thirds of the index is still trading above its long-term trend line. The pullback from the January highs has been orderly, not indiscriminate. The underlying trend structure has not broken.

67% is above the 60% Optimism threshold. Readings above 60% confirm broad healthy participation in the bull trend. This is not a market where the index is being carried by five stocks while everything else rolls over. The participation is real.

But context matters. Breadth has been fading from its highs. Watch the 60% level closely. That is the line between Bullish and Neutral. If breadth slips below 60%, the one remaining bullish signal in the model loses its edge. We are not there yet. But with gamma negative, vol rising, and CTA flows bearish for four straight weeks, breadth is the only thing keeping this composite from flipping Risk-Off. And if we were risk-off, we would be getting chopped up. This is why we have multiple signals in the model.

The NYSE Advance-Decline Line continues its long-term uptrend. The multi-year structure is intact. Right now, breadth is the floor. Do not take it for granted.

Composite Signal and Regime

Two Bearish. Two Neutral. Composite: Neutral. Regime: Neutral.

Four weeks at Neutral. That is the model doing its job. This is not a broken market. It is a structurally impaired one. There is a difference. Broken markets make new lows every week. Impaired markets chop, frustrate, and eventually force a decision.

That decision is coming. The compression cannot last forever.

Tactical Allocation

Model stays Neutral:

• 50% SPLV

• 50% SPHB

This is the right posture for a market that has not earned a directional bet in either direction. SPLV is the anchor if this thing breaks lower. SPHB participates if the bulls finally reclaim the flip and hold it.

The flip to Risk-On requires three things. SPX above 6,888 and holding. Realized vol flattening or declining. Breadth stabilizing above 50%. None of those three conditions is currently met. SPX is 6 points away from the first one. Being close is not the same as being there.

The flip to Risk-Off requires breadth breaking below 50%, the RV signal going Bearish, and price failing 6,785. Not there yet either.

Stay balanced. Do not force it.

Performance

• Tactical Allocation: Weekly Rebalance: +4.12% YTD

• Tactical Allocation: Daily Rebalance: -3.59%

• S&P 500 Total Return: +1.10% YTD

Three hundred basis points of outperformance in a market that has been grinding sideways and whipsawing daily. That gap exists because the weekly rebalance does not chase every intraday regime flip. It holds the signal and lets the structure work. Discipline over activity. Every time.

Past performance is not indicative of future results.

Bottom Line

Six points below the gamma flip. Fourth consecutive week below it. The tape is drifting toward the line it has failed to hold three times already.

Here is what the data says right now:

• Gamma is negative. Every move gets amplified, not suppressed.

• Realized vol is rising. The spread between 1M and 3M is widening.

• CTA flows are bearish for the fourth consecutive week. Systematic selling is not done.

• Breadth is Bullish at 67% above 200DMA and holding the 60% Optimism threshold, but it is the only bullish signal left in the model. If it fades, the composite shifts.

The model is Neutral. The allocation is 50% SPLV, 50% SPHB.

Close above 6,888 and hold it. That is the only thing that changes the structural picture. A failure there and a break of 6,785 opens the door to 6,610 in a hurry. This market is not broken. But the model is putting it on notice.

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®

Fiduciary 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.

Technical Structure: Trend Intact, Conviction Fading

On the daily timeframe, the primary long-term uptrend in S&P 500 futures remains intact, but price action continues to lose structural quality. After breaking below the near-term moving average earlier last week, futures attempted to stabilize and have since drifted back above it. Instead of impulsive continuation higher, the market is now chopping sideways in a tight range beneath the 7,015 resistance level.

Rallies are lacking expansion and momentum confirmation. Each bounce has been met with selling pressure before reclaiming prior highs, while the downside is toward the 6,785 support zone, which continues to attract meaningful participation. The pattern is no longer a clean trend acceleration; it is rotational and indecisive.

Momentum reflects that deterioration. Daily RSI has recovered modestly from last week’s sub-50 breakdown but remains well below prior overbought readings and continues to show a clear bearish divergence versus price. Higher highs in price have not been confirmed by higher highs in momentum. That divergence remains unresolved.

In short, the trend has not broken, but the structure has weakened. The market is holding up, not breaking out or breaking down. As long as 7,015 caps the upside and RSI fails to expand, the burden of proof remains on the bulls.

Perfection is priced in. Protection is not at all priced in.

The Equity Risk Premium Has Collapsed

At the core of any disciplined investment process is a simple question: What am I being paid to take risk? Or said another way, right now, should I stay in Treasuries or buy stocks?

The equity risk premium calculation helps answer that.

The equity risk premium measures the additional return investors receive for owning stocks instead of “risk-free” U.S. Treasuries. It is one of the cleanest gauges of risk-reward in the broader market. When the premium is wide, investors are being compensated for volatility, drawdowns, and economic uncertainty. When it is narrow, they are assuming those risks with little incremental reward.

How It’s Calculated

There are variations in methodology, but the concept is consistent:

1. Calculate the earnings yield of the S&P 500.
   This is the total reported earnings divided by the current index level.

2. Subtract the yield on the 10-Year Treasury Note.

The result is the equity risk premium.

Using current reported earnings, not forward estimates:

• Reported S&P 500 EPS: $294

• S&P 500 index level: 6,940

• Earnings yield: 4.24%

At the same time, the 10-Year Treasury yield is 4.17%.

That leaves an equity risk premium of just 0.07%.

Seven basis points.

Seven.

Essentially nothing.

In other words, investors are receiving virtually no excess yield for accepting equity volatility, recession risk, earnings risk, valuation risk, policy uncertainty, and geopolitical risk, rather than owning highly liquid, guaranteed U.S. government bonds yielding just under 4.20%.

That is historically very thin compensation for risk.

What This Implies

This does not mean stocks are going to fall tomorrow. Markets can remain elevated if earnings growth continues to deliver. Over the past three years, strong earnings follow-through justified elevated valuations and produced index returns of 17.9%, 25%, and 26.3%.

But today’s pricing leaves very little margin for error.

At an earnings yield near 4%, equities are not cheap relative to fixed income. With Treasury yields a rounding error away from 4.00%, the relative valuation argument for aggressive equity exposure is at best weak.

Current index levels are being supported by:

• Elevated multiples

• Confidence in continued earnings resilience

• Assumptions that inflation does not re-accelerate

• Expectations that policy remains supportive

A near-zero equity risk premium means those assumptions need to hold, or we will most likely have some downside.

Why It Matters Now

When the equity risk premium is this thin:

• Even modest upside surprises do not create much valuation expansion.

• Small disappointments can trigger outsized repricing and irrational moves to the downside.

• Rising bond yields immediately pressure multiples.

• Slowing earnings momentum quickly becomes a problem.

You do not need a catastrophe at these levels for markets to sell off. You only need expectations to be slightly too optimistic.

I am not arguing for abandoning US equities. I am arguing for investor awareness. On that, I should note that YTD we have carried our lowest exposure to US stocks in 5 years.

Broad index exposure today is not a deep value trade. It never was. It is a continuation trade.

With earnings yields compressed and volatility elevated since the late-January highs, downside risk relative to safe alternatives is meaningfully higher than it was when the equity risk premium was wider.

Here is my message:

If you are buying stocks at these levels, you are taking on maximum risk.

You are receiving very little incremental yield.

A lot needs to go right in 2026 for that to feel comfortable for anyone.

Let’s transition into where the fundamentals are today.

Market Expectations: Multiple Risk Is the Real Risk

The S&P 500 is effectively trading near 22x earnings.

The current baseline scenario assumes roughly $310 in 2025 EPS and supports an index level near 6,665. A better scenario, using 22x on $320 in earnings, implies 7,040. A worse scenario, using 19.5x on $280, implies 5,460.

That downside scenario is not fantasy math. It’s simply what happens when earnings expectations fall, and multiples shrink at the same time.

Right now, the market is priced for perfection. There is no downside priced in right now.

February Market Expectations Table: A New Dominant Influence

The February Market Multiple table highlights two critical changes:

1. AI Anxiety has replaced AI Enthusiasm as the dominant market influence.

2. This represents the first material narrative threat to the bull market in three years.

For the first time in this cycle, AI headlines are acting as a headwind instead of a tailwind. Concerns about heavy capex spending, uncertain ROI, and potential overinvestment have introduced volatility across the top 7 stocks.

This matters because multiples above 22x were largely tolerated due to expectations that AI would drive a multi-year earnings acceleration. Expected S&P 500 earnings moved above $300 per share largely on the back of that thesis.

If AI Anxiety grows, it impacts markets in two ways:

• It pressures the multiple lower.

• It reduces forward earnings expectations.

That combination is what creates downside asymmetry.

Importantly, that outcome has not materialized yet. The market is still trading around 22x. Economic data remains broadly Goldilocks. Inflation has cooled. ISM and jobs data have been stable. The Fed, despite the Warsh nomination introducing uncertainty, is still expected to cut in June or July.

So this is not a realized risk. It is an emerging threat.

The Three Pathways From Here

Conditions Improve If:

• AI Anxiety fades, and capex spending shows credible ROI.

• Economic data remains Goldilocks.

• Warsh confirms a dovish bias and June/July cuts remain intact.

In that scenario, volatility falls, multiples hold, and earnings growth drives price higher.

Conditions Deteriorate If:

• AI concerns spread to more sectors.

• Growth slows or inflation firms.

• The Fed turns more hawkish than expected.

That combo pressures earnings expectations and simultaneously shrinks the multiple. In that environment, a 20% to 30% decline would not be surprising. Not because of panic, but because valuation math resets. No one cares about fundamentals until they are down money.

This is one of many reasons we are underweight U.S. equities and reallocating capital to markets with more favorable valuations and momentum, including Latin America, Japan, Canada, and South Korea.

Read more about this in my February 8th post below.

Bottom Line

The long-term trend remains intact.

The technical structure is weakening.

The equity risk premium is near zero.

The market multiple is elevated and dependent on execution.

AI has shifted from a tailwind to a headwind.

Economic data and Fed expectations are still supportive, but they must remain so.

When compensation for risk is this thin, small disappointments can havea huge impact. And when expectations are high, price becomes fragile.

That is where we stand today!

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 is not a tape for high-conviction directional bets. It is a tape for discipline.

Dealer Gamma and Market Structure

SPX closed Monday at 6,838. The gamma flip line sits at 6,914. That puts spot 76 points below the threshold, firmly in negative gamma territory.

Below the flip, dealer hedging works with the move, not against it. When the price falls, dealers sell into weakness. When price rallies, dealers buy into strength. The result is fat intraday ranges, fast reversals, and moves that feel larger than whatever headline is driving them. This is why you want to use the expected moves as your range.

Key levels from the chart:

• Gamma Flip: 6,914

• Upper Expected Move: 7,046

• Lower Expected Move: 6,773

• Call Wall: 7,000

• Put Wall: 6,800

• Implied move: ~1.32%

The market remains pinned between Put Wall support and Gamma Flip resistance. Until price can reclaim and hold 6,914, the structural picture stays unchanged.

Realized Volatility and Vol Control

30-day realized volatility (RV) sits at 12.3%. 90-day realized volatility is 11.7%. The 1M reading is running above the 3M reading, a condition that mechanically pressures vol-control funds to reduce equity exposure.

The directional trend matters more than the level. 30-day RV has been rising since early February. Short-term volatility is still above longer-term volatility, a condition that pressures vol-control funds to reduce exposure.

The RV signal remains Neutral. The threshold for a Bearish reading has not been triggered, but the current trajectory is not giving us hope. If 30-day RV continues to climb while 90-day holds steady, the signal will flip. For now, vol-control funds are not providing a tailwind.

Flows: CTA and Vol Control

CTAs are in a Falling trend. The failure to hold above the flip line and the subsequent pullback to 6,838 have put CTAs into reduction mode. This is the third consecutive week with bearish CTA readings.

Vol-control exposure is also softening. With 30-day realized vol rising, these strategies are mechanically reducing equity allocation. That flow has been working against the tape, but it could flip back to buying if NVDA follows through on earnings tomorrow.

The combined flow signal reads Neutral this week, as Vol-Control exposure has stabilized enough from its recent lows to pull the reading back from last week’s Bearish. However, the underlying message is the same: systematic demand is not supporting this market. Any rally from here has to come from discretionary buyers, not mechanical flows. That is a structurally weaker setup than one in which systematic flows do the lifting.

Breadth and Participation

66% of S&P 500 constituents are trading above their 200-day moving average. The breadth signal remains Bullish. The Optimism threshold is 60%, and the market is holding above it.

This is the one signal the bears cannot fully claim. Two-thirds of the index is still trading above its 200-day moving average, which means the pullback from January has been orderly rather than indiscriminate. The underlying trend structure has not broken. That is not a green light, but it is a meaningful distinction.

However, context matters. Breadth has been slowly fading from the mid-to-high 60s range it held through late January. A market that is pulling back with stable breadth is in a different position than a market pulling back with breadth diverging lower. Right now, breadth is providing a floor, not a ceiling. Watch the 60% level closely. If breadth slips toward that threshold, the one remaining bullish signal in the model loses its edge.

Composite Signal and Regime

The composite signal remains Neutral. The inputs:

• Gamma Signal: Bearish — SPX below the gamma flip, negative gamma territory

• RV Signal: Neutral — 1M RV above 3M RV, High-Vol Regime, at the threshold

• Flow Signal: Neutral — CTA and vol-control softening, but not in full unwind

• Breadth Signal: Bullish — 66% above 200DMA, holding the Optimism zone

Three of four signals are Neutral or Bearish. The weighted composite resolves to Neutral, and the Composite Regime is Neutral.

The pattern from the past three weeks has been consistent: push above the flip line, get a few days of positive gamma calm, give it back. Until the market can hold positive gamma territory for more than a few sessions, the structural picture remains unconvincing. For the model to shift to Risk-On, two things need to happen:

1. SPX must reclaim and hold above 6,914

2. Realized volatility must stop rising and begin to fall

Tactical Allocation

As of the close on Friday, February 20, 2026, the model remains Neutral:

• 50% SPLV

• 50% SPHB

The Neutral allocation is designed to participate if markets recover while providing downside protection if deterioration continues. SPLV provides defensiveness against a negative gamma acceleration. SPHB preserves exposure to the upside if price reclaims the flip line and holds.

The model is not forecasting a direction. It is positioning for the regime. Forcing a conviction bet in either direction is not what the signals are saying. The job right now is to stay balanced and avoid forcing exposure.

Performance

Year-to-date performance as of February 20, 2026:

• Tactical Allocation — Weekly Rebalance: +4.12%

• S&P 500 Total Return: +1.10%

• Tactical Allocation — Daily Rebalance: -3.84%

The weekly rebalance portfolio continues to outperform meaningfully. In a market that has been straddling the gamma flip line on a near-daily basis, weekly rebalancing avoids the friction and whipsaw cost of chasing each regime shift in real time. The performance gap between the daily and weekly approaches is a live illustration of why regime stability matters. When signals shift multiple times in a week, daily rebalancing pays a cost each time. Weekly rebalancing holds the regime and lets the structural signal play out. This is exactly why I decided to run this model on two different timelines.

Bottom Line

This is a market where price can look stable while the structure gets tighter.

• Gamma is negative, and the price is below the flip. Vol spikes hard in both directions.

• Realized volatility is rising. The systematic bid from vol-control is softening.

• CTAs are reducing. Trend-following flows are not a tailwind.

• Breadth is holding, but fading. The one constructive signal is not getting stronger.

The model stays Neutral. If the tape earns a Risk-On reading by reclaiming 6,914, sustaining it, and allowing realized volatility to fall, the model will shift. Until then, the discipline is the edge.

The process is about alignment, not prediction.

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

Feel free to use me as a sounding board.

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Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary 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.