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

ASSET PERFORMANCE

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

THE ECONOMIC CALENDAR AND VOL TERM STRUCTURE

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

EARNINGS

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

MOMENTUM PULSE CHECK

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

WEEKLY EXPECTED MOVE

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

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

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

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

VOLATILITY REGIME

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

SYSTEMATIC FUND FLOWS

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

SYSTEMATIC POSITIONING INDEX

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

MARKET BREADTH

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

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

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

ASSET PERFORMANCE

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

THE ECONOMIC CALENDAR AND VOL TERM STRUCTURE

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

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

EARNINGS

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

MOMENTUM PULSE CHECK

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

WEEKLY EXPECTED MOVE

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

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

VOLATILITY REGIME

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

SYSTEMATIC FUND FLOWS

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

SYSTEMATIC POSITIONING INDEX

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

MARKET BREADTH

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

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

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

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

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

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

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

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

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

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

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

EARNINGS

Pretty boring week for earnings.

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

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

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

MOMENTUM PULSE CHECK

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

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

WEEKLY EXPECTED MOVE

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

VOLATILITY REGIME

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

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

SYSTEMATIC FUND FLOWS

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

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

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

SYSTEMATIC POSITIONING INDEX

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

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

MARKET BREADTH

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

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

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

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

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

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

Follow me on X for more updates.

Best regards,

-Kurt

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

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

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

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

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

EARNINGS

A light week with SpaceX IPO on Friday.

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

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

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

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

Friday, June 12: No earnings. SpaceX IPO.

MOMENTUM PULSE CHECK

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

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

VOLATILITY REGIME

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

SYSTEMATIC FUND FLOWS

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

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

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

Vol-control tells the same story, louder.

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

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

SYSTEMATIC POSITIONING INDEX

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

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

MARKET BREADTH

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

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

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

The S&P 500 closed Friday at 7,580, and tagged the upper bound of the weekly expected move that I posted in last week’s report.

IMPLIED CORRELATION: THE DISPERSION SIGNAL

COR1M is at 6.33. 3rd percentile of the two-year range. Down 69% year over year.

The purple line measures how closely the stocks in the S&P 500 move together on any given day. When it's high, everything is going up or down at the same time. When it's low, stocks are doing their own thing independently.

Below 8, stocks trade on fundamentals. Above 8, the market moves as one instrument on macro. Every spike above 8 on this chart lines up with a drawdown.

At 6.33, stocks are doing their own thing. IBM is up 17% because of IBM. BSX is down 15% because of BSX. They have nothing to do with each other. No single thread to pull that unravels the whole thing.

A crowded macro trade unwinds fast. Hundreds of uncorrelated single-stock moves do not. Inside positive gamma and 10.17 realized vol, this is anecdotal evidence that the structure is confirming itself.

When this reading is pinned to the floor, the risk is not a broad market selloff. The risk is being in the wrong stock. “It’s a stock picker’s market.” Your name selection is what either kills or makes your return. That is why breadth at 58.3% can coexist with SPX at all-time highs. The index doesn’t need everything to participate. It needs the right things to participate. Right now, they are.

The signal to worry about is not low correlation. The signal to worry about is when this line starts moving back toward 8 with a high rate of change. That means something macro is about to override fundamentals. NFP on Friday and CPI on June 10 are the two catalysts with enough weight to do it.

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

The term structure slopes upward through the back half of the week, with Friday’s payrolls print carrying the heaviest volatility premium in the short-term.

Monday, June 1 (today): ISM Manufacturing PMI for May, estimated 52.6 versus a prior of 52.7. S&P Global Manufacturing PMI is estimated at 55.3 versus a prior of 54.5. SPX IV at this expiration is 11.25, implying a move of ±1.02% in either direction. Two manufacturing prints on the same morning create a little divergence risk. ISM has been the weaker of the two surveys all year.

Tuesday, June 2: JOLTS Job Openings for April, estimated 6.8M versus a prior of 6.9M. SPX IV at this expiration is 11.51, implying ±1.20%.

Wednesday, June 3: ADP Employment Change estimated at 109K, matching the prior of 109K. ISM Services PMI is estimated at 53.6, matching the prior of 53.6. SPX IV is implying ±1.38%. ISM Services holding at 53.6 is the number to watch. A contraction in services changes the narrative heading into Friday.

Thursday, June 4: Initial Jobless Claims for the week ending May 30, prior 215K. SPX IV, implying ±1.55%.

Friday, June 5: Nonfarm Payrolls for May, estimated at 85K versus a prior of 115K. Average Hourly Earnings estimated at 0.3% versus a prior of 0.2%. Unemployment Rate prior to 4.3%. SPX IV, implying ±1.75%.

The 85K payroll estimate is the number to watch this week. A print at or below that confirms continued labor deceleration. A beat above last month’s 115K resets the narrative and likely pushes the S&P 500 index toward the weekly upper expected move of 7,676. The wage number matters equally. Earnings at 0.3% month-over-month, alongside a soft payroll print, are a stagflation-lite story that the market will not like.

EARNINGS

Last week’s earnings were among the heaviest of the quarter. This week is a little less noisy, but there are still a few names worth keeping an eye on.

Monday, June 1 (today): No earnings before the open. After the close: Hewlett Packard Enterprise (HPE), Credo Technology (CRDO), and Hive Digital Technologies (HIVE).

Tuesday, June 2: Dollar General (DG), Victoria’s Secret (VSCO), and Oddity Tech (ODD) before the open. After the close: Palo Alto Networks (PANW), GitLab (GTLB), and Ulta Beauty (ULTA).

Wednesday, June 3: Medtronic (MDT) and Macy’s (M) before the open. After the close: CrowdStrike (CRWD), Broadcom (AVGO), C3.ai (AI), Veeva Systems (VEEV), Five Below (FIVE), and ChargePoint (CHPT).

Thursday, June 4: Ciena (CIEN) before the open. After the close: Lululemon (LULU), Rubrik (RBRK), Planet Labs (PL), DocuSign (DOCU), Iotivity (IOT), and Agile Growth (AGX).

is the premium consumer health check to keep an eye on. The stock has been under pressure all year. Thursday’s print is either a stabilization signal or another leg lower for the stock.

Friday, June 5: No earnings. NFP dominates the morning headlines.

MOMENTUM PULSE CHECK

Last week showed Technology (XLK) as the lone sector in the upper-right quadrant, gaining roughly 2.3% over five days. Energy (XLE) was the weakest sector at -4.5%.

The defensive rotation that led last week, with Health Care (XLV) and Utilities (XLU) out front on the five-day, did not repeat. And that’s an important point when you see two defensive sectors outperforming alongside tech, which is typically nothing to worry about. Tech reclaiming leadership at S&P 500 all-time highs is a market that we have been used to over the last few years.

was the standout in the 99-name momentum universe. Roughly +14% on Friday and approximately +17% over five days. Oracle (ORCL) gained 9% on Friday. Palantir (PLTR) and CrowdStrike (CRWD) were both positive on the day and the week. Amphenol (APH) led the five-day window, up 20%.

At the bottom: Boston Scientific (BSX) lost 15% over five days. Walmart (WMT) dropped10%. Take-Two Interactive (TTWO) gave back roughly 8%.

Last week’s report showed VST leading the five-day at roughly +12%, with IBM and RL near +15%. This week, IBM held the top of the universe on both axes, while the consumer and defensive names that struggled two weeks ago continued lower.

MARKET STRUCTURE: THE ANCHOR POINT

SPX closed Friday at 7,580. The gamma flip is at 7,458. Dealers are operating 122 points above the flip in positive gamma territory with net GEX at $54.38 billion.

Dealers long gamma buy weakness and sell strength. That mechanical behavior smoothed out the intraday volatility throughout the week, even as Thursday front-loaded GDP, Core PCE, and a full cluster of secondary data, all simultaneously with the heaviest earnings night of the quarter.

The flip line has held consistently positive since April 13. The regime shift from negative to positive gamma on April 13 is the structural anchor for the entire rally. Since that date, the S&P 500 has moved from approximately 6,275 to 7,580, roughly 20.8%.

This week’s expected move has an upside of 7,676 (+1.26%). Downside to 7,484 (-1.27%). A close below 7,458 flips the regime. Friday’s NFP print could be the live test.

VOLATILITY REGIME

1-month RV printed 10.17 as of Friday’s close. 3-month RV is 14.44. Regime tag: LOW-VOL.

The spread between 1-month and 3-month RV remains inverted in the bullish direction. DOWN. The 4.27-point gap reflects the April drawdown still sitting inside the 3-month lookback period. As those sessions roll off over the next six to eight weeks, the 3-month RV will mechanically drift toward the 1-month, assuming vol stays anchored near current levels. That drift increases vol-control fund equity allocations systematically over time.

Bottom line: Low volatility forces vol-control funds to mechanically buy stocks. Their algos do not care about sentiment. At 10.17 on the 1-month, the signal is still long.

SYSTEMATIC FUND FLOWS

Last week I flagged CTAs as net sellers on four consecutive days with an absolute z-score near 0.95 and trending lower, calling it “a warning, not yet a reversal.” That reversal came. CTAs posted net buying of +0.098 on the z-score over the five-day window. The absolute level reached 1.054. Status: Bullish at +10.3%, in uptrend.

The Thursday macro cluster resolved without a vol spike. No vol spike means no systematic selling trigger. CTAs rotated from deceleration back into active buying once the trend signal held.

Vol-control funds posted net buying of $1.9 billion over the five-day window. The absolute allocation level stands at $206.4 billion. Status reads Neutral at +0.9%.

Last week, I described vol-control flow as unstable, with oscillation over three weeks, and the question of whether PCE would trigger mechanical selling. It did not. The trend flipped from flat to rising. That is the direct driver of the Flow Signal upgrade from Neutral to Bullish this week.

SYSTEMATIC POSITIONING INDEX

The combined CTA plus vol-control z-score is in the bullish zone between +1σ and +2σ on the 20-day rolling window. The z-score has recovered from the lower boundary of that band where it sat last week and is pushing back toward the upper boundary.

Last week, I warned that the next move lower on the z-score would cross into neutral territory and change the flow signal from tailwind to neutral. That did not happen. The z-score reversed. The regime remains Bullish on systematic flows with renewed momentum behind it.

MARKET BREADTH

58.3% of S&P 500 members are trading above their 200-day moving average as of Friday’s close. Signal: Neutral. Last week it was also 58.3%.

Last week, I noted the 6.6 percentage-point improvement in a single week and said, “At 60%, the breadth signal is Bullish. The rally could be getting wider.” The S&P 500 gained 1.43% this week, and breadth did not move. The index is making new highs on more concentrated leadership. I think this will become more of a theme in the 2nd half of 2026 than what we’ve seen in the 1st half.

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

Three Bullish, one Neutral. The composite reads Risk-On. The Flow Signal upgraded from Neutral to Bullish as vol-control flipped from flat to rising. This report carries three Bullish and one Neutral signal. The model’s conviction increased without a change in allocation.

The regime shifts if any of these conditions develop: breadth breaks back below 40%, 1-month RV crosses above the 3-month on a sustained basis, SPX closes below the gamma flip at 7,458, or CTA and vol-control flows both flip to net selling simultaneously. None are present as of Friday’s close.

TACTICAL ALLOCATION PERFORMANCE

The weekly portfolio set a new all-time high at 29.27% YTD, clearing the prior high of 24.38% set in last week’s report. The daily portfolio sits at +18.96% YTD, up from +13.61% last week. The S&P 500 Total Return sits at +11.27%, up from +9.69%.

This model is fully invested in equities at all times. It does not hold cash or bonds. A comparison to the S&P 500 Total Return is informative but incomplete. The model’s purpose is to navigate equity beta, not to outperform via asset-class diversification. The outperformance in this regime reflects structural positioning in higher-beta equities during a sustained positive gamma, low-vol, Risk-On environment.

Current allocation: SPHB 75% / SPXL 25%. No change.

The regime conditions support staying positioned through this week’s macro prints. Friday’s NFP is the primary variable. If payrolls clear the 85K estimate and breadth responds by pushing through 60%, the next report will face an upgraded composite.

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

The S&P 500 closed Friday at 7,473, up 0.86% on the week. Seven consecutive weeks of risk-on signal stack.

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

The term structure slopes upward as the macro calendar front-loads into the back half of the week.

Monday, May 25: Markets closed for Memorial Day.

Tuesday, May 26 (Consumer Confidence): First high-impact print of the week. SPX IV at this expiration is 11.30, implying a move of roughly ±0.84% in either direction. Consumer Confidence feeds directly into retail spending expectations.

A print below 90 at this level of equity positioning is a flashing yellow light.

Thursday, May 28: The heaviest macro day of the week by a wide margin. GDP preliminary (prior 2.0%), Core PCE (prior 0.7%), PCE Price Index (prior 0.7%), Initial Jobless Claims, Durable Goods Orders, Personal Income, Personal Spending, New Home Sales, and Building Permits all land the same morning. SPX IV at the May 28 expiration is 13.01, implying ±1.36%.

Core PCE is currently the Fed’s preferred inflation gauge (for now).

The chain reaction to watch for: a hot print above 0.3% m/m would reinforce the “higher-for-longer” narrative for the path for rates, and would put pressure on rate-sensitive sectors, as well as hand systematic funds a volatility spike that could trigger mechanical selling.

Friday, May 29: Trade Balance (prior -$60.3B) and Chicago PMI (estimate 49.5, prior 49.2). S&P 500 (SPX) implied volatility (IV) at 13.41, implying ±1.57% move in either direction.

EARNINGS

Tuesday, May 26: AutoZone (AZO) and Pony.ai (PONY) before the open. Zscaler (ZS), Semtech (SMTC), Modine (MOD), and AppLovin (APP) after the close.

ZS is the cybersecurity print this week.

Wednesday, May 27: PDD Holdings, Abercrombie & Fitch (ANF), and Dick’s Sporting Goods (DKS) before the open. After the close: Salesforce (CRM), Snowflake (SNOW), Marvell Technology (MRVL), Synopsys (SNPS), HP (HPQ), Nutanix (NTNX), Braze (BRZE), and Agilent (A).

Salesforce and Marvell are the dominant earnings to watch. Marvell is a direct read on AI chip demand downstream from NVIDIA’s Wednesday beat last week. If Marvell guides down, the NVIDIA halo trade will likely come off.

Thursday, May 28: Best Buy (BBY), Dollar Tree (DLTR), Kohl’s (KSS), Burlington (BURL), and XPEV before the open. After the close: Dell Technologies (DELL), Costco (COST), MongoDB (MDB), Okta (OKTA), Autodesk (ADSK), Elastic (ESTC), Asana (ASAN), Ambarella (AMBA), Gap (GAP), NetApp (NTAP), and American Eagle (AEO).

Costco is the best single earnings to watch on mass-market consumer health because 35-40% of the US population is a Costco cardholder. Dell is the enterprise hardware proxy for AI capex, translating into actual server demand. Thursday is also the heaviest macro day of the week, so earnings reactions will compete with GDP and PCE prints for control of the tape.

MOMENTUM PULSE CHECK

Last week’s sector rotation shows Health Care (XLV) and Utilities (XLU) leading in both timeframes, up roughly 3.3% each over the 5-day period. Technology (XLK) posted +2.32% for the week, a number earned on the front half after NVIDIA’s Wednesday print. Communication Services (XLC) was the lone sector to be negative on both axes, at -0.60% on the day and -0.56% on the week. The S&P 500 itself posted +0.37% on Friday and +0.88% for the week.

The defensive leadership in XLV and XLU is not a bearish signal in isolation. At SPX all-time highs with breadth expanding, some rotation into defensives is normal digestion. The tell would be if XLV and XLU lead while XLK and XLY break down. That did not happen last week.

VST led the momentum universe on the 5-day at roughly +12%, followed by CRWD and APH. IBM and Ralph Lauren (RL) were near +15% on the 5-day. NVDA was negative on both timeframes after post-earnings digestion, down roughly 3% on the day and 4% for the week. TTWO, IBKR, and WMT were the notable laggards. The broader universe is positive on the 5-day, with 1-day dispersion narrowing as price stabilizes near new highs.

MARKET STRUCTURE: THE ANCHOR POINT

SPX closed Friday at 7,473. The gamma flip is at 7,348. Dealers are operating 125 points above the flip in positive gamma territory with net GEX at $49.38 billion.

Dealers: long gamma buy weakness, and sell strength. That mechanical behavior smoothed intraday volatility through last week, even as NVIDIA digested its own earnings and macro headlines hit on Thursday and Friday. The flip line has risen steadily alongside SPX since early April, indicating the gamma cushion is structurally sound.

The net flip line has held consistently positive since April 13. The regime shift from negative to positive gamma on April 13 is the structural anchor for the entire rally so far. Since that date, the S&P 500 has moved from approximately 6,275 to 7,473, roughly 19%.

This week’s expected move is an upside to 7,574 (+1.36%), downside to 7,373 (-1.33%). The GEX flip sits at 7,348.

A close below 7,348 flips the regime. That level is closer to the spot price than it has been in recent weeks. Thursday’s PCE and GDP cluster will be the live test.

VOLATILITY REGIME

1-month RV printed 10.58 as of May 22. 3-month RV is 14.61. Regime tag: LOW-VOL.

The spread between 1-month and 3-month RV remains deeply inverted in a bullish direction. The 1-month has been grinding lower since the April spike. NVIDIA’s beat kept realized vol suppressed through the back half of last week.

The flip line condition for the vol signal: sustained 1-month RV above the 3-month. That will require multiple and consecutive days of large moves. A single bad PCE print on Thursday will likely not accomplish it alone.

SYSTEMATIC FUND FLOWS

CTAs were net sellers in positioning over the last 10 days. The flow direction: four consecutive short days, with the largest single-day reduction on May 19. The absolute z-score sits near 0.95, still in bullish territory but trending lower.

Over the longer term, CTAs have rebounded from near-2022 bear market lows in late March to a z-score above +2.8 by early May. That was the largest and fastest rebuild in the historical data. What the 10-day chart shows is natural deceleration at the top of an extended trend. CTAs do not reverse without a trend signal breaking. The downtrend in flow is a warning, not yet a reversal.

Positioning at these levels is the fuel for a sharp reversal if a trend break triggers systematic selling. It is not a problem until it is.

Vol-control funds were net buyers of $600 million over the last 10 days, but the flow pattern inside that window is not clean. The absolute allocation level sits near $200 billion.

Vol-control exposure has been oscillating over the past three weeks. If realized vol stays contained through the PCE week, the mechanical bid to add exposure will continue. If Thursday’s PCE produces a vol spike, the algos will sell automatically.

Against the historical baseline, roughly $75-$100 billion in potential allocation remains undeployed and enters mechanically only if realized vol continues lower.

SYSTEMATIC POSITIONING INDEX

The combined CTA plus vol-control z-score is in the bullish zone between +1σ and +2σ. The z-score is at the lower boundary of that band.

Last week, I flagged this deceleration as likely. That call proved correct. The regime remains Bullish on systematic flows, but marginal buying pressure has decelerated. The next move lower on the z-score crosses into neutral territory and changes the flow signal from tailwind to neutral. Thursday’s PCE window could be a live test.

MARKET BREADTH

58.3% of S&P 500 members are trading above their 200-day moving average as of May 22. Signal: Neutral. Last week it was 51.7%.

The 6.6% point improvement in a single week is the most constructive breadth improvement in several weeks. NVIDIA’s print broadened participation across Technology and adjacent names. At 60%, the breadth signal is Bullish. The rally could be getting wider.

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

Two Bullish, two Neutral. The composite reads Risk-On because the gamma and vol signals carry sufficient weight against the two neutral readings.

The regime shifts if any of these conditions develop:

• breadth breaks back below 40%,

• 1-month RV crosses above the 3-month on a sustained basis,

• SPX closes below the gamma flip at 7,348, or CTA and vol-control flows both shift to net selling simultaneously. None are present as of Friday’s close.

TACTICAL ALLOCATION PERFORMANCE

The weekly portfolio set an all-time high at 24.38% before pulling back to close at 23.45%. The daily portfolio recovered from its drawdown low of -11.78% in early April and is now +13.61% YTD. The S&P 500 Total Return sits at +9.69%.

This model is fully invested in equities at all times. It does not hold cash or bonds. The comparison to the S&P 500 Total Return is informative but incomplete. The model’s purpose is to navigate equity beta, not to outperform via asset-class diversification. The outperformance in this regime reflects structural positioning in higher-beta equities during a sustained positive gamma, low-vol, Risk-On environment.

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

The S&P 500 made new highs this week before Friday’s selloff pulled the market back to 7,409. The week finished up just 0.13%. SPX bounced right off of our +1σ weekly expected move (that was posted in last week’s report) at 7,511 on Thursday, then reversed hard on Friday, down 1.24% on the session. The signal has been risk-on for six consecutive weeks. NVIDIA reports after the close on Wednesday. Everything else this week fills in around it.

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

The SPX implied vol sits at 11.54% as of May 15. The term structure slopes upward as macro events accumulate across expirations.

Thursday, May 21: Building Permits, Housing Starts, Initial Jobless Claims (week ending May 16), and the Philadelphia Fed Manufacturing Survey. All four are medium impact. SPX IV for that expiration is 15.21, implying ±1.95%.

Friday, May 22: Michigan Consumer Sentiment. SPX IV steps to 15.24, implying ±2.11%. Reflecting less downside hedging at that event.

The first high-impact event on the visible calendar is Consumer Confidence, scheduled for May 26. SPX IV at that expiration is 13.98, implying ±2.43% move up or down.

The heaviest macro load lands next week, May 28: Core PCE, GDP, PCE Price Index, Durable Goods Orders, Personal Income, Personal Spending, and New Home Sales. SPX IV at the May 28 expiration is 14.81, implying ±2.79%.

The term structure is not pricing fear. It is pricing event risk in a measured, upward-sloping shape. That is the behavior of a market that sees risk ahead without having lost confidence in the current regime.

OpEx was on Friday, May 15

Monthly OpEx landed last week on Friday. An estimated $2.25 trillion in SPY/SPX open interest expired with it.

Here is how it works. Every options contract has an expiration date. As that date approaches, the gamma tied to those contracts peaks. The dealers who sold those options are delta-hedging continuously, buying dips and selling rips to stay neutral. This is a mandate. That mechanical hedging is what creates the pinning behavior you see into expiration. Price gravitates toward strikes with the heaviest open interest because dealer hedging flows are most concentrated there.

When those contracts expired on Friday, that gamma disappears. The hedges get unwound. The mechanical support evaporates. We are in the window to watch what is happening. What happened on Friday does not matter, but the days that follow. Post-OpEx, the market moves more freely with less structural influence from dealer hedging. Historically, that has produced a 3- to 5-day window of higher volatility and larger directional moves as investors rebuild their positioning from scratch.

The more important window is this week. Once expiration clears, gamma rolls off and the market moves more freely with less mechanical support from dealer hedging. That is when price discovery gets more honest.

EARNINGS: WEEK OF MAY 18th

Monday, May 18: BIDU and IQ before the open. CAVA, KEYS, and Toll Brothers (TOL) after the close. Keep your eye on CAVA earnings today.

Tuesday, May 19: Home Depot (HD) before the open. HD is the first major consumer read of the week. Strong results support the SPHB thesis through Consumer Discretionary. Weak results signal that the high-rate, high-cost environment is pinching the consumer. BILI and CAN also report before the open. Amer Sports (AS) after the close.

Wednesday, May 20: Crude Oil Inventories at 9:30 AM. Before the open: Target (TGT), Lowe’s (LOW), TJX Companies (TJX), Analog Devices (ADI), and ZIM. Three large-cap retailers in one session give you a comprehensive read on consumer spending, pricing power, and inventory dynamics. After the close: NVIDIA (NVDA), Intuit (INTU), and ELF Beauty (ELF). NVIDIA is the dominant event of the week. A strong print accelerates the XLK trade and supports SPHB’s Information Technology exposure. A miss or soft guidance introduces volatility into a rally that finished last week up just 0.13% on the index. As always, the market expects NVDA to deliver, so if they don’t, watch out below. NVDA is the stock market.

Thursday, May 21: Walmart (WMT), NIO, Deere (DE), BJ’s Wholesale (BJ), Advance Auto Parts (AAP), and ARQQ before the open. WMT is the best single proxy for mass-market consumer health. After the close: Workday (WDAY), Deckers (DECK), Copart (CPRT), Ross Stores (ROST), Zoom (ZM), and Take-Two Interactive (TTWO).

Friday, May 22: Michigan Consumer Sentiment at 7:30 AM. Booz Allen Hamilton (BAH) before the open.

MOMENTUM PULSE CHECK

led the 5-day return column near +25%, followed by and . Technology and cybersecurity names dominated the right side of the chart on the 5-day window. On the 1-day axis the picture reversed broadly. pulled back roughly 5%. was the weakest name in the universe on the day. The broad field tilted negative on Friday.

The names holding up best across both timeframes are CSCO, CRWD, and . CSCO’s earnings Wednesday night confirmed the enterprise IT spending story. Watch whether that leadership extends into NVIDIA’s print.

Energy was the dominant outlier on the week, posting roughly +6.7% on the 5-day window with a positive 1-day return near +2.1% on Friday while everything else sold off. That is a notable divergence. XLE held bid on a day when the rest of the market gave back ground.

was essentially flat on the week and down roughly 2% on Friday. The S&P 500 finished the week up just 0.13% with a 1-day loss of 1.24%. Every other sector posted a negative 1-day return.

That rotation, out of technology and into energy, is the story of Friday’s session and worth watching as the week opens.

It is also worth pointing out that utilities (XLU) lagged most of the week. That is not typically bearish.

If NVIDIA delivers on Wednesday, XLK reasserts leadership, and that rotation reverses. If NVIDIA disappoints, the rotation into energy and defensives has more room to run. In this regime it pays to be long both.

MARKET STRUCTURE: THE ANCHOR POINT

The S&P 500 closed Friday at 7,409. The gamma flip is at 7,309. Dealers are operating 100 points above the flip in positive gamma territory.

Dealers are long gamma when SPX sits above the flip. That posture means they sell into strength and buy into weakness, suppressing intraday swings and producing the grinding, low-volatility price action that has defined this recovery off the April lows.

Last week illustrated exactly why we track the expected move every week. The +1σ upside level was posted in Issue 31 at 7,511. SPX tagged that level on Thursday, May 14, then reversed and closed Friday at 7,409. The market did not blow through it. It stalled at the level where dealer hedging mechanics create the most resistance, where options sellers are most concentrated, and where dealers are most aggressively selling into strength to hedge their books.

The expected move is not a price target. It is a gravity band. Price tends to mean-revert from the edges because the options positioning that defines those levels creates real hedging flows in the opposite direction. Knowing that level in advance tells you where to expect the market to stall or reverse. When price reaches the +1σ or -1σ boundary and fails to close through it, the odds favor a return toward the middle. That is what happened Thursday into Friday. I use these as opportunities to trim winners and on the high end and incrementally add on the lower end.

The weekly expected move for the week of May 18: upside to 7,524 (+1.65%), downside to 7,293 (-1.48%).

A closing breach of 7,293 pushes SPX back into negative gamma and moves dealer hedging from stabilizing to amplifying. That is the level to watch this week. This is the first time in a while the flip line is inside the weekly expected move, so we could enter negative gamma this week following Friday’s OpEx.

VOLATILITY REGIME

The 1-month realized vol printed 11.35. The 3-month is 14.67. The regime tag is LOW-VOL.

Friday’s 1.24% decline nudged the 1-month RV higher from mid-week lows. One down day does not break a low-vol regime.

Vol-control funds respond directly to these inputs. Their equity allocation algo increases equity exposure mechanically as realized vol falls and sells it as vol rises. At 11.35 on the 1-month, the algo still points toward elevated equity exposure.

The conditions that flip the vol signal: a sustained move in the 1-month RV above the 3-month. That is not happening today.

SYSTEMATIC FUND FLOWS

CTA Positioning

CTAs were net buyers over the past five days, adding a cumulative +0.179 to their positioning level. The absolute level now sits at 1.145. Four consecutive buying days were followed by a near-flat pause on Friday (+0.001). That pause is digestion after a week of consistent buying.

The longer-term picture shows how far CTAs have traveled. From late March through early April, CTA positioning in US stocks collapsed to levels not seen since the 2022 bear market. The rebuild has been aggressive, tracking the SPX recovery almost step for step. CTAs are now positioned long and adding to strength. The pace of that adding will slow as positioning becomes more extended, but the direction has not changed.

Vol-Control Positioning

Vol-control funds were net buyers of $5.4 billion over the past ten days. The daily flow was not linear. May 13 added $3.7 billion. May 15 posted a $3.0 billion sell. That Friday sell is mechanical, not a directional call. When realized volatility ticks up on a down day, the formula automatically trims equity exposure. The current implied allocation sits near $200 billion against an estimated $300 billion AUM cap. Roughly one-third of capacity remains undeployed.

The longer-term chart puts that $200 billion in context. At the 2021 peak and again in early 2024, vol-control allocations ran near $275 to $300 billion. Today’s level is meaningfully below those prior highs. That gap is dry powder. If realized volatility continues to fall, the algo automatically pushes more capital into stocks. That is a structural tailwind that remains active as long as the low-vol regime holds.

Systematic Positioning Index

That pullback is the natural result of Friday’s price action feeding into the rolling calculation. The regime is still Bullish on systematic positioning. The risk is that, at these levels, the marginal buying pressure from CTAs and vol-control combined begins to slow and shift toward the downside. The big buying move is largely behind us. What remains is incremental adding, and a volatility shock from an event that forces both cohorts to mechanically sell simultaneously.

MARKET BREADTH

Breadth slipped to 52% of S&P 500 members trading above their 200-day moving average. The signal reads Neutral. It was 55% last week.

At 52%, we are mid-band and trending lower.

Breadth expanding above 60% would confirm the rally is healthy at the index level.

DEALER GAMMA DASHBOARD

Tactical Allocation: 75% SPHB / 25% SPXL

TACTICAL ALLOCATION PERFORMANCE

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.

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 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.