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.

Now consider the size differential. Vol-control funds control roughly $1 trillion in assets. CTAs control roughly $350 billion. CTAs are the headlines you read about every week. They are also the smaller piece by a factor of nearly 3.

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.

– 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.

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.

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

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

What the Market Is Pricing This Week?

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

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

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

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

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

Dealer Gamma and Market Structure

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

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

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

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

Realized Volatility

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

Flows

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

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

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

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

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

Breadth and Participation

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

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

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

Composite Signal and Regime

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

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

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

Performance

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

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

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

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

Bottom Line

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

Dealer Gamma and Market Structure

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

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

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

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

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

Realized Volatility and Vol Control

1-month realized volatility: HIGH-VOL REGIME.

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

Flows

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

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

Breadth and Participation

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

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

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

Composite Signal and Regime

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

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

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

Performance

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

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

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

Bottom Line

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

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

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

Dealer Gamma and Market Structure

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

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

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

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

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

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

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

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

Realized Volatility (RV) and Vol Control

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

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

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

CTAs are doing the same thing.

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

Combined flow signal: Bearish. Still.

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

Breadth and Participation

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

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

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

Composite Signal and Regime

First Risk-Off reading of 2026.

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

Tactical Allocation

Risk-Off. Allocation:

75% SPLV 25% BTAL

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

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

Performance

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

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

Discipline over activity. Every time.

Bottom Line

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

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

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

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

Dealer Gamma and Market Structure

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

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

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

Realized Volatility and Vol Control

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

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

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

Flows: CTA and Vol Control

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

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

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

Combined flow signal: Bearish.

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

Breadth and Participation

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

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

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

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

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

Composite Signal and Regime

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

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

That decision is coming. The compression cannot last forever.

Tactical Allocation

Model stays Neutral:

• 50% SPLV

• 50% SPHB

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

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

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

Stay balanced. Do not force it.

Performance

• Tactical Allocation: Weekly Rebalance: +4.12% YTD

• Tactical Allocation: Daily Rebalance: -3.59%

• S&P 500 Total Return: +1.10% YTD

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

Past performance is not indicative of future results.

Bottom Line

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

Here is what the data says right now:

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

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

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

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

Dealer Gamma and Market Structure

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

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

Key levels from the chart:

• Gamma Flip: 6,914

• Upper Expected Move: 7,046

• Lower Expected Move: 6,773

• Call Wall: 7,000

• Put Wall: 6,800

• Implied move: ~1.32%

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

Realized Volatility and Vol Control

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

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

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

Flows: CTA and Vol Control

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

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

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

Breadth and Participation

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

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

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

Composite Signal and Regime

The composite signal remains Neutral. The inputs:

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

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

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

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

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

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

1. SPX must reclaim and hold above 6,914

2. Realized volatility must stop rising and begin to fall

Tactical Allocation

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

• 50% SPLV

• 50% SPHB

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

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

Performance

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

• Tactical Allocation — Weekly Rebalance: +4.12%

• S&P 500 Total Return: +1.10%

• Tactical Allocation — Daily Rebalance: -3.84%

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

Bottom Line

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

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

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

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

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

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

The process is about alignment, not prediction.

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

The S&P 500 opened the week at 6,965 and closed Friday at 6,836. That is a 129-point decline, roughly 1.9%. More importantly, it was the manner of the decline that matters. Monday through Wednesday held positive gamma territory, with spot sitting above the flip line. Thursday changed the structure. SPX sliced below the gamma flip level and stayed there. Dealers went from suppressing volatility to amplifying it. That is not a prediction. That is mechanics.

The model shifted from Risk-On to Neutral mid-week. This is the second time in the last two weeks the tape has failed to sustain a Risk-On regime. The pattern is becoming familiar: push above the flip line, generate a few days of positive gamma calm, then give it back. Until the market can hold positive gamma territory for more than a few sessions, the structural picture remains unconvincing.

Signal Summary

As of the close on Friday, February 13, 2026:

Gamma

SPX closed Friday at 6,836. The gamma flip line sits at 6,905. That puts spot 69 points below the threshold, firmly in negative gamma territory.

The week started with positive gamma. Monday through Wednesday, spot held above the flip line, with readings at 6,965, 6,940, and 6,934, respectively. The flip line over that period ranged from 6,946 to 6,927. Dealers were short gamma on the upside and hedging in a way that suppressed volatility. Dips were getting absorbed.

Thursday changed everything. SPX dropped 82 points to 6,852. The flip line was 6,912. The cross happened cleanly. Friday followed through to the downside, closing at 6,836 with the flip line at 6,905.

In negative gamma, dealer hedging works with the move, not against it. Declines can accelerate. Rallies get sold into. The volatility surface shifts. This is not a directional call. This describes how the liquidity structure behaves when the spot price is below the gamma flip line.

Realized Volatility

30-day realized volatility closed the week at 13.83%. 90-day realized volatility sits at 12.00%. Both are elevated relative to where they were at the start of the year, when the 30-day was printing near 8-9%.

The directional trend matters more than the level. 30-day RV has risen from 10.05% on February 2 to 13.83% on February 13. That is a meaningful acceleration over a short window. Short-term volatility is still above long-term volatility, a condition that pressures vol-control funds to reduce exposure.

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

The rate of change is what matters here. Realized volatility is expanding. That means the systematic bid is weakening.

Flows

CTAs are in a Falling trend. Vol-control exposure is also falling. The combined flow signal reads -1, Bearish.

This is the second consecutive week with bearish flow readings. CTAs have been trimming as the short-term trend weakened. The January rally that took SPX to 6,970 generated some trend-following interest, but the failure to hold those levels and the subsequent pullback to 6,836 has put CTAs back in reduction mode.

Vol-control funds are similarly positioned. With 30-day realized vol rising to 13.83%, these funds are mechanically reducing equity exposure. They do not make decisions based on narrative. They respond to the underlying volatility. Higher vol means lower allocation. That flow has been working against the tape for the past two weeks.

The combination of falling CTA exposure and falling vol-control exposure means systematic demand is not supporting this market. Any rally from here has to come from discretionary buyers, not mechanical flows. That is a structurally weaker setup than one in which systematic flows do the lifting.

Breadth

64% of S&P 500 constituents are trading above their 200-day moving average. The breadth signal remains Bullish.

This is the lone constructive signal in the model right now. Participation has held up despite the pullback from the January highs. It means the decline over the past two weeks has not been broad enough to break the underlying structure of the trend.

However, context matters. Breadth has been slowly fading from the mid-to-high 60s range it held through late January. A market that is pulling back with stable breadth is in a different position than a market pulling back with breadth diverging lower. Right now, breadth is providing a floor, not a ceiling.

If breadth holds above 60%, the structural trend remains intact, and the model will continue to read Bullish on this signal. A break below 60% would remove the last remaining bullish input and open the door to a Risk-Off regime.

Composite and Regime

Two signals bearish, one neutral, one bullish. The composite math lands squarely in Neutral territory. This is a model telling you that the structural picture has deteriorated from where it was a week ago, but not enough to trigger a full defensive posture.

Last week, the composite read 0.85, Risk-On. This week it reads -0.20, Neutral. That is a meaningful one-week move. The primary driver was gamma. When spot fell below the flip line on Thursday, the gamma signal moved from Bullish to Bearish. That alone was enough to pull the composite below the Risk-On threshold.

The model does not chase. It does not try to anticipate the next flip. It measures the current state and positions accordingly. Right now, the current state is Neutral. The model respects that.

Tactical Allocation

The model shifted from a Risk-On posture (75% SPHB / 25% SPXL) to a Neutral posture (50% SPLV / 50% SPHB) mid-week when gamma flipped negative, and the composite dropped below the Risk-On threshold.

This is the process working. When structure supported risk, the allocation leaned into high beta and leveraged upside. When the structure deteriorated, the allocation moved to a balanced defensive position. No emotion. No narrative. Just regime measurement driving exposure.

The Neutral allocation splits evenly between low-volatility (SPLV) and high-beta (SPHB). It is designed to participate if markets recover while providing downside protection if the deterioration continues.

Performance

The process is about alignment, not outcome over any single week.

Bottom Line

• Dealers are in negative gamma. SPX sits ~69 points below the flip line at 6,905. Volatility is being amplified.

• Realized volatility is rising. 30-day RV at 13.83% is above 90-day at 12.00%. The rate of change is unfavorable for systematic exposure.

• Flows are bearish. Both CTAs and vol-control funds are reducing exposure. There is no mechanical bid supporting the tape.

• Breadth is the lone bullish signal. 64% of S&P 500 names remain above their 200-day moving average. This is holding the model out of Risk-Off.

• The composite regime is Neutral. Allocation is 50% SPLV / 50% SPHB. The model has de-risked from last week’s Risk-On posture.

• The market needs to reclaim the 6,905 gamma flip level and hold it to shift the structural picture back toward Risk-On. Until that happens, the regime remains undecided, and the model stays balanced.

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

Price is back near 7,000, yet dealers are still sitting on the wrong side of the flip line. Realized vol spiked and systematic selling has started.

This is not a tape for hero trades. It is a tape for discipline.

Dealer Gamma and Market Structure

As of Friday, SPX closed 6,932, and the gamma flip is 6,947.

Below the flip, the market is structurally sensitive to flows. In a negative gamma pocket, dealers hedge with price, not against it. That is how you get fat intraday ranges, fast reversals, and moves that feel bigger than whatever headline is floating around.

Key levels from the chart:

• Gamma Flip: 6,947

• Call Wall: 7,000

• Put Wall: 6,800

• Upper Expected Move: 7,041

• Lower Expected Move: 6,890

• Implied move: ~1.08%

Translation: we are pinned between major positioning levels, with price sitting just below the line that would stabilize the tape.

Realized Volatility and Vol Control

30-day realized volatility (RV) is now pressing above 90-day RV. When 1M RV starts moving up through 3M RV, vol control funds start selling. That is how the buy-the-dip autopilot gets less reliable.

Vol control exposure is softening. That is not a tailwind.

Breadth and Participation

Breadth is still the only real volatility suppressor in this market.

• % of S&P 500 above 200DMA: 68.40%

• That is supportive

• The NYSE advance-decline line is holding up, but momentum is not accelerating

Breadth is keeping the wheels on. It is not opening the door for aggressive leverage.

Composite Signal and Regime

Tactical Allocation

As of Friday’s close, the model remains Neutral:

• 50% SPLV

• 50% SPHB

If the tape is going to earn risk-on again, it needs two things:

1. Reclaim and hold above 6,947 (the flip), and

2. Realized volatility needs to stop rising

Until then, the job is to stay balanced and avoid forcing exposure.

Bottom Line

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

• Gamma is negative, and price is still below the flip - remember, this doesn’t mean the market is going down, it means volatility gets more aggressive to both the downside and the upside.

• Realized vol is rising, which pressures vol control support

• CTAs are rolling over, which removes incremental demand

• Breadth is supportive, but not improving

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

Thursday’s 1/29 selloff and reversal was a good reminder of that risk. Positioning has become crowded into short dated index volatility and upside single stock calls. When that happens, it does not take much to trigger outsized moves. Hedging flows accelerate, liquidity thins, and price overshoots in both directions.

SPX briefly touched 7,000 for the first time and bounced right off of last week’s upper expected move, but the week ended with volatility reasserting itself. That combination, record prices paired with growing instability under the hood, reinforces the need for restraint and discipline as we head into February.

Dealer Gamma and Market Structure

Dealer positioning slipped back into negative gamma late last week. That shift changes how liquidity behaves across the index.

In positive gamma environments, dealers lean against moves in price and suppress volatility. In negative gamma, that dynamic flips. Dealers are forced to hedge with price, buying strength, and selling weakness. The result is faster volatility extensions, deeper pullbacks, and wider intraday ranges even in the absence of headlines.

As of Friday’s close, SPX remains below the gamma flip near 6,929. Until the price can reclaim and hold above that level, the market stays structurally sensitive to flows. This is not a directional call. It is a liquidity call.

Realized Volatility and Vol Control

Realized volatility continues to compress, with one-month realized volatility (RV) sitting below three-month RV. That setup keeps volatility targeting strategies engaged, but only marginally.

Vol control exposure has stabilized within a defined range. It is providing some downside cushioning, but it is no longer expanding. This is support.

If realized volatility compresses further, vol control can add meaningfully. If volatility rises (the red line moves above the blue line), that support fades quickly. Right now, vol control is neutral at best and should not be relied on to drive upside.

Systematic Flows and CTA Positioning

CTA exposure has rolled over and flattened. Trend following models are no longer adding equity exposure and are effectively in a wait-and-see mode.

CTAs are not aggressively short, but they are no longer a source of incremental demand. When CTAs stop buying, and vol control stops expanding, markets tend to compress. That is exactly what we are seeing now.

Systematic flows are no longer driving this tape.

Breadth and Participation

Breadth remains the most important volatility suppressor in this market. Roughly 65% of S&P 500 stocks remain above their 200-day moving average, which has helped keep downside contained despite negative gamma and softer flows.

That said, the message from breadth is changing. The NYSE advance-decline line continues to trend higher, confirming that weakness remains selective rather than systemic. However, the slope has flattened. Participation is no longer accelerating.

Breadth is preventing downside from snowballing, but it is no longer strong enough on its own to justify pressing leverage.

Composite Signal and Regime

The weighted composite is Neutral, and the composite regime has shifted accordingly.

This is a classic transition setup. Risk is not broken, but it is no longer cheap.

Price, Levels, and the Expected Move

SPX closed the week near 6,900, remaining inside the dealer risk envelope. The weekly expected move is approximately plus or minus 1.6%, defining a range from 6,821 to 7,043.

As long as the price remains inside this range, breakout chasing carries poor risk-to-reward. Acceptance above the upper bound would force dealers to change behavior. Acceptance below the lower bound would do the same in the opposite direction.

Until then, patience is the trade.

Tactical Allocation and Regime

The daily model shifted to Neutral on Friday, holding:

• 50% SPLV

• 50% SPHB

The weekly model also closed Neutral after briefly operating in a risk-on posture earlier in the week.

This shift reflects structure, not emotion. The model reduced exposure as gamma weakened, flows faded, and volatility risk increased beneath the surface.

Performance Context

The short-term dispersion between the daily and weekly sleeves reflects regime shifts, not errors. The objective is to align with structure and drawdown control, not to force exposure when conditions deteriorate.

Performance is shown for transparency, not bravado.

Bottom Line

Gamma is negative.
Systematic flows are fading.
Volatility is contained, but not collapsing.
Breadth is supportive, but no longer improving.

These conditions reward balance, not aggression. The edge comes from respecting the regime and letting the structure dictate exposure.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

Volatility is contained. Breadth is still holding together. Price sits near highs. But the structure underneath has changed.

Dealer gamma has slipped back into negative territory. CTA exposure is not helping. Vol control is rebuilding, but slowly.

That pairing calls for patience, positioning sizeing discipline, and respect for levels.

Dealer Gamma and Market Structure

Dealer positioning is now negative gamma.

Dealers are no longer hedging into moves. They are forced to hedge with price.

Upside extends faster. Pullbacks travel further. Intraday volatility increases even without headlines.

As long as SPX remains below the gamma flip near 6919, price action will remain highly sensitive.

Realized Volatility and Vol Control

Vol control funds are engaged, but only marginally. Exposure is rebuilding, as one-month realized volatility is below three-month realized volatility.

Vol control is providing support, but it is not a tailwind. It slows the downside.

When realized volatility compresses further, vol control can add meaningfully. When it rises, that support disappears quickly.

Right now, it is neutral support at best.

Systematic Flows

CTA exposure has flattened. Trend-chasing models are no longer long stocks.

This places CTAs in wait and see mode.

When CTAs stop buying and vol control softens, markets will compress, as we are seeing now.

Systematic flows are no longer driving this tape.

Breadth Is Still Carrying the Load

Breadth remains the most important volatility suppressor in this market.

Roughly 68% of S&P 500 stocks remain above their 200 day moving average, keeping participation intact even as other conditions fade. This is why downside has stayed contained despite negative gamma and softer flows.

But the message from breadth is changing.

The NYSE advance–decline line continues to trend higher, which is important. It confirms that weakness remains selective, not systemic. However, the slope has flattened. Participation is no longer accelerating.

As long as breadth holds above 60%, pullbacks should remain corrective and controlled. A failure below that level would materially change the risk profile and shift pressure back onto price and volatility.

Right now, breadth is preventing downside from accelerating, but it is no longer strong enough to justify pressing leverage on its own.

Composite Signal and Regime

Here is how the signals stack as of Friday’s close:

Gamma: Bearish
Realized Volatility: Bullish
Flows: Neutral
Breadth: Neutral

The weighted composite is Neutral.

This is the definition of a tight risk box.

Price, Levels, and the Expected Move

SPX closed near 6900, just below the gamma flip line.

The weekly expected move is approximately ±1.46%, with a range of 6806 to 7007.

The price remains within the dealer risk envelope.

That tells us two things:

First, the market is not under stress. Second, chasing breakouts inside this range carries poor risk-to-reward.

Acceptance above 7007 would force dealers to change behavior.
Acceptance below 6806 would do the same in the opposite direction.

Until then, patience is the trade.

Tactical Allocation and Regime

The daily model finished the week Neutral, holding:

50% SPLV
50% SPHB

The weekly model, which only reconstitutes on Fridays, also closed Neutral after briefly being Risk On earlier in the week.

Friday’s regime change is important. It shows how quickly the structure deteriorated beneath the surface, even as the price stabilized.

Performance Context

Year to date:

S&P 500: approximately +1.10%
Daily Tactical Sleeve: approximately -1.04%
Weekly Tactical Sleeve: approximately +1.16%

The dispersion reflects regime shifts, not errors. The goal is alignment with structure and drawdown control, not forcing exposure when the setup deteriorates.

Bottom Line

This is not a market that pays you to guess.

Gamma is negative.
Flows are no longer lifting prices.
Volatility is contained but not collapsing.
Breadth is supportive but no longer improving.

These conditions reward balance, not bravado.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

Low volatility and supportive breadth are masking a tighter risk box. Upside exists, but it is no longer free. From here, the difference between making money and giving it back comes down to respecting levels and avoiding emotional trades inside the range.

A Starter’s Guide to The Gamma Report

Dealer Gamma and Market Structure

Dealer gamma sits near neutral, not a tailwind but not a headwind either. When gamma is neutral, the market loses its automatic stabilizer button. Moves can extend, but they require real participation rather than mechanical hedging.

This moves the burden back onto breadth, volatility, and flows.

Without strong positive gamma, upside needs confirmation through participation. Without negative gamma, downside remains controlled unless something forces dealers to chase.

Volatility and Vol Control

Realized volatility continues to grind lower. One-month realized volatility sits near 8.30%, while three-month realized volatility is around 10.99%, both well below historical market stress thresholds.

Vol control strategies have responded exactly as expected. Exposure has been rebuilding steadily after the late 2025 drawdown. That acts as a slow, persistent buyer beneath the market.

This is important because it reduces crash risk but also caps momentum unless another flow source steps in.

CTA Positioning

CTA exposure has rolled off its highs and is now flattening out. Trend models are no longer aggressively adding, but they are not outright sellers either.

This puts CTAs in wait and see mode.

When CTAs stop buying, and vol control stabilizes, markets tend to compress rather than trend. That fits what the price has been telling us for several sessions now.

Breadth Still Doing the Heavy Lifting

Breadth remains constructive.

The advance-decline line continues to hold its uptrend and remains near cycle highs. That confirms participation beneath the surface, even as index-level momentum slows.

This is the single most important offset to softening flows. As long as breadth holds, downside should remain contained.

If breadth breaks, the entire setup changes.

Price, Levels, and the Expected Move

The S&P 500 closed the week at 6940, sitting just above the gamma flip line near 6899.

The weekly expected move for the coming week is approximately ±1.04%, with an upper bound near 7011 and a lower bound near 6867.

The price remains within the dealer risk envelope.

That tells us two things. First, the market is not under stress. Second, chasing breakouts inside this range carries poor risk-to-reward.

Acceptance above the upper end of the expected move would force dealers to change their behavior. Acceptance below the gamma flip would do the same in the opposite direction.

Until then, this is a range that demands patience.

Tactical Allocation and Regime

The regime remains Risk On, with a 75% core allocation to SPHB and 25% satellite allocation to SPXL.

This reflects a market that is still constructive but no longer offering asymmetric upside. The structure favors quality beta with controlled leverage, not aggressive chasing.

YTD Performance Update

Year to date, the tactical allocation has delivered 1.57%, compared with 1.44% for the S&P 500 over the same period. The weekly portfolio sits higher at 2.35%, reflecting the benefit of regime consistency and volatility control.

This is not about outperforming every day. It is about avoiding large drawdowns when the environment is uncertain and pressing exposure only when the setup improves.

The spread versus the index is not accidental. It comes from respecting the regime change, reducing exposure when volatility rises, and avoiding emotional decision-making inside tight ranges. That edge compounds over time.

What Gamma Exposure Actually Means

When dealers are short gamma, they buy into strength and sell into weakness. Volatility expands, and trends overshoot.

When dealers are long gamma, they sell into strength and buy into weakness. Volatility compresses, and ranges dominate.

Right now, we are closer to the latter than the former.

That explains why momentum has slowed and why discipline matters more than conviction.

Bottom Line

This market is still investable, but it is not forgiving.

Breadth is strong. Volatility is contained. Flows are stabilizing.

That combination rewards process over prediction.

Stay patient. Respect the range. Let price prove acceptance before adding risk.

This is not a market that pays you to guess.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

Ivory 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.

Price moved higher, but the bigger change happened underneath. Dealer positioning moved back into a more supportive setup, realized volatility stayed contained, and breadth finally stopped fighting the tape.

That means the conditions that turn small pullbacks into fast problems are no longer there. The tape became more forgiving. That distinction is everything in late-cycle markets.

By Friday’s close, the model rotated back toward offense, while keeping the overall regime disciplined.

Model Changes

As stated 13 weeks ago when I started this report, I am building this model in real-time.

Markets change, and a framework that never adapts eventually stops reflecting reality. The objective has always been the same: measure structure, manage risk, and stay aligned with how liquidity actually behaves. What evolves is how the signals are calibrated as we collect more data and watch how they interact through different regimes.

Over the past week, I made targeted adjustments to improve the model's interpretation of volatility and participation. These were not changes to inputs or philosophy. They were refinements to reduce noise and better capture trend persistence.

Realized volatility is now treated as a trend rather than a daily event.
The volatility signal was adjusted to emphasize the relationship between short-term and longer-term realized volatility, with added smoothing. When 30-day realized volatility is below 90-day realized volatility, the model now maintains a constructive bias rather than flipping defensive on minor upticks. Translation: If 30D RV is below 90D RV, the model can’t be bearish; it can only be neutral or bullish. This more accurately reflects how volatility-targeting strategies actually behave.

Breadth is evaluated for confirmation, not punished for strength.
The breadth signal was recalibrated so that elevated participation does not automatically trigger a bearish score. Breadth can stay strong for extended periods in healthy markets. The model now focuses on whether participation is holding or deteriorating, not simply whether it reached a high level.

Gamma remains the anchor.
No changes were made to how dealer gamma is treated. The gamma flip line still carries the heaviest weight and still defines when liquidity dynamics shift.

The composite neutralizes more deliberately.
When signals conflict, the model now spends more time in Neutral instead of forcing a Risk-On or Risk-Off posture. Neutral is a position. In late-cycle markets, it is often the correct one.

The goal of these changes was not to increase risk or improve performance. It was to reduce false signals and improve alignment with how the market actually transitions between regimes.

Same framework. Better calibration.

Signal Summary

As of the 1/9 close, the signal stack reads:

Three of the four core inputs turned bullish. This is what a solid market structure looks like when confirmation is improving, but conviction has not yet been earned.

Gamma and Price Structure

SPX closed Friday at 6,957.
The gamma flip line sits near 6,960.

Price is back above the flip, and that changes how the market behaves. Above this level, dealers tend to lean against moves. Pullbacks slow down. Extensions lose momentum. Below it, those dynamics reverse quickly.

The net gamma history confirms the shift. Recent readings pushed back into positive territory, reversing the unstable setup that defined the first days of the year.

Key levels to respect:

• Gamma Flip Line: ~6,960

• Upper Expected Move: ~7,039

• Lower Expected Move: ~6,920

• Short-term trend support: ~6,890

As long as price holds above the flip line, downside should remain more contained.

Weekly Expected Move

For the week ahead, the expected move is ±59.58 points (0.85%):

• Upper: 7,039.05

• Lower: 6,919.90

• Implied Volatility: 10.64%

  

This is a tight risk box. When ranges compress, the market stops paying for urgency. The edge shifts toward respecting the range and waiting for confirmation rather than forcing conviction.

This is not a market paying investors to guess.

Realized Volatility

Realized volatility remains cooperative.

1-month realized volatility finished the week at 9.21, while 3-month realized volatility sits at 12.69. Short-term volatility remaining below longer-term volatility keeps volatility-targeting strategies from cutting exposure and allows them to rebuild incrementally.

There is no signal here of forced selling. Volatility is not pressing the market. This is why downside pressure faded quickly last week.

As long as short-term realized volatility stays contained, the market has room to absorb pullbacks without triggering mechanical deleveraging.

Systematic Flows

Flows remain neutral, but the internal dynamics matter.

CTA exposure continues to trend lower, with trend strength cooling. Trend followers are still backing away from aggressive positioning. Vol control exposure, however, is rebuilding as realized volatility stays contained.

That divergence explains why flows are not providing a strong tailwind, but also why they are not acting as a headwind. There is no wave of forced buying, but there is also no structural pressure pushing the market lower.

Right now, structure is doing the work, not flows.

Breadth

Breadth improved meaningfully last week.

67.6% of S&P 500 stocks are now trading above their 200-day moving average. That is a bullish reading and a key reason the composite signal turned positive.

The NYSE advance-decline line continues to trend higher, confirming that participation is improving beneath the surface. This is not just index-level strength.

The caveat remains unchanged. Breadth is still pressing into the same multi-year congestion zone that has capped expansion since 2022. Improvement is real, but confirmation requires follow-through. Until that happens, the market remains supported.

Composite and Regime

The model started the week Risk On, shifted to Neutral mid-week as signals conflicted, then rotated back to Risk On at the Friday close as structure confirmed.

That is exactly how a rules-based process should behave. It steps aside when the data gets mixed and leans back in when the weight of the evidence improves.

Performance

• S&P 500 Total Return: +6.63%

• Daily Tactical Portfolio: +1.05%

• Weekly Tactical Portfolio: +0.29%

The performance gap reflects discipline during a market that repeatedly tests patience. This is the cost of avoiding the structural breaks that cause permanent damage.

The process is not designed to win every week. It is designed to keep exposure aligned when conditions change.

Bottom Line

The market exits the week with a more supportive setup than it entered.

Gamma is constructive.
Volatility is contained.
Breadth improved.
Flows stabilized.

That combination justifies leaning into offense, but not abandoning discipline.

Respect 6,960 and the expected move range. Let the market prove itself before adding risk.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

Last week was a reminder that price can look fine while structure quietly changes.

We came into year-end with the market leaning on supportive flows and contained vol. We exit the first session of 2026 with dealer gamma flipping negative, breadth still banging against the ceiling, and the model moving to defense.

That does not mean “crash.” It means the tape gets less forgiving, faster.

Signal Summary

As of the 1/2 close, the stack reads:

Gamma and Price Structure

SPX closed 1/2/26 at 6,858.47 with the Gamma Flip Line near 6,869, meaning spot is sitting just below the line.

That is basically the whole story.

A Starter’s Guide to The Gamma Report

Above the flip, dips get absorbed, and rallies slow down. Below the flip, hedging mechanics can start pushing in the same direction as price, which is how “normal pullbacks” turn into air pockets.

Net Gamma Positioning

Net gamma is now negative.

That is the regime change that traders feel, even when they cannot explain it. When gamma is negative, dealers hedge with the move. That means more extension on both sides.

If you want one clean line to trade off, it is this: reclaim the flip line and hold it, or respect the fact you are operating in a less stable structure.

Realized Volatility

Realized volatility scored Bullish this week. Translation: vol is not the immediate problem.

That also explains why the model did not slam into full defense. The market is not signaling “forced selling.” It is signaling “structure is weaker, but not panicked.”

This is what neutral looks like when gamma is bearish, but vol is contained. You do not press leverage, and you do not short every bounce like you are the smartest guy in the room.

Systematic Flows

Flows are neutral, but the slope matters more.

CTA positioning is still on an uptrend but has started to curl down off recent strength, and vol control exposure is rebuilding as well, but is flattening out. That is not a green light for max risk, but it does reduce the odds of immediate mechanical downside amplification.

Think of it like this: if gamma is the road surface, CTA and vol control are the wind at your back or in your face. Right now, the wind is not screaming against you but it is not pushing you forward either.

Breadth

Breadth is still the constraint.

The percent of stocks above the 200-day remains stuck in the same multi-year congestion zone that has capped participation since 2022. The NYSE advance-decline line is still trending higher, which is constructive, but RSI and participation are not screaming “new expansion leg.”

In plain English: the index can levitate, but it is still carrying a narrow engine.

That is precisely where negative gamma becomes a bigger deal. Thin participation plus negative gamma is how you get sharp downturns that start from nowhere.

Weekly Expected Move

For the week ahead, the expected move is ±76.97 points (1.12%) with:

• Upper: 6,935.79

• Lower: 6,781.85

• Implied Volatility: 10.52%

This range is your options-implied risk box. The market is telling you where the “should be” lives.

If the spot is below the gamma flip line, I care more about how the price behaves near the lower band than I do about hot takes on the upper band. This structure is not set up for chasing strength without confirmation.

The S&P 500 could be up or down 1% this week, and no one should be surprised.

Composite and Regime

Weighted composite is Neutral, regime is Neutral.

Gamma is bearish. Breadth is bearish. Vol is cooperative. Flows are not a headwind. Net result, stay balanced, stay liquid, and let levels dictate when to rotate back into offense.

Performance

Date Range: 10/10/2025 to 01/02/2026

• S&P 500 Total Return: +4.96%

• Daily Tactical Portfolio: -1.79%

• Weekly Tactical Portfolio: -2.01%

This is the cost of playing defense in a tape that keeps teasing breakouts, then snapping back. There is a reason we don’t take an outright short position in this model because shorting and holding is a surefire way to lose money. In other words, if we were shorting, the performance would be deeply negative.

If you want to beat the index in this environment, you need either sustained breadth expansion or a clean positive gamma trend that stays pinned above the flip line. We have not had that consistency at all since I started writing this report.

The process is doing its job. It is keeping you from being forced into the wrong exposure at the wrong time.

Negative gamma is back, and breadth is still capped.

Vol is not screaming risk, flows are not a headwind, but the structure is no longer supportive enough to justify chasing upside.

Neutral is the correct posture until SPX can reclaim the flip line and hold it, or breadth starts expanding in a way that makes the index less fragile.

Respect levels. Respect the box. Let the market prove itself before adding more risk.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

Ivory 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.

After spending most of December in a tightening, less forgiving structure, the market exited last week with internal support improving across multiple dimensions simultaneously. Gamma stayed supportive, realized volatility declined, systematic flows turned back into a tailwind, and breadth stabilized.

It does not remove risk.
It changes how risk behaves.

Gamma and Price Structure

SPX closed Friday at 6,929.94, holding above the Gamma Flip Line near 6,855. That keeps dealers in positive gamma and continues to suppress downside acceleration.

Price exited last week pressing into the upper half of the weekly expected move range rather than rotating around the flip line. That is a structural improvement from the prior week.

Pullbacks continue to get absorbed, and sellers still need follow-through to gain traction. That does not guarantee upside extension, but it does limit how easily downside can compound as long as price remains above the flip line.

Net Gamma Positioning

Net gamma remains positive.

When gamma is positive, dealers hedge against moves rather than with them. That suppresses volatility, slows intraday swings, and forces the market to work harder to trend in either direction.

This is not a new regime, but it is a reinforced one.

Realized Volatility

Realized volatility is supportive.

Short-term realized volatility continued to drop, while medium-term volatility remained contained. Remember: this matters because volatility targeting strategies respond to direction, not level.

Last week’s message was that volatility stopped helping. By the 12/26 close, volatility had started helping again.

Systematic Flows

Systematic flows accelerated last week.

CTA exposure stabilized and began to base, while vol control positioning started to rebuild as realized volatility declined. That combo removes the systematic drag that was present earlier in December.

This does not imply aggressive buying pressure. It implies that systematic strategies are no longer standing in the way of upside, and they are less likely to amplify downside in the near term.

Breadth

Breadth finished last week supportive, but still constrained by longer-term structure.

Roughly 60% of S&P 500 constituents remain above their 200-day moving average. That is an improvement from earlier December lows, but it remains inside the same congestion zone that has stopped participation since 2022. This is not a breakout in breadth. I would consider this stabilization.

RSI for the breadth index remained in the low-50s. That confirms participation is no longer deteriorating, but it also shows momentum has not transitioned into expansion. The NYSE advance-decline line remains elevated and continues to trend higher, which supports the index holding near highs even as fewer names do the heavy lifting. You typically don’t see this in bear markets.

Expected Move

The expected move shifted higher.

Both the upper and lower bounds of the range moved up versus last week, and the midpoint moved higher with them. This tells you the market is repricing risk upward, not compressing it.

When both ends of the expected move move higher, the market is accepting higher prices and a higher tolerance for downside at the same time.

This is how ranges advance in supportive structures. The box moves up first. Price follows if momentum confirms.

Expected moves are not directional forecasts. They define where risk is priced.

Composite Signal and Regime

As of the 12/26/2025 close, the signal stack reads as follows:

• Gamma Signal: Bullish

• Realized Volatility Signal: Bullish

• Flow Signal: Bullish

• Breadth Signal: Bullish

• Weighted Composite: Bullish

• Composite Regime: Neutral

This is a clear improvement in internal strength versus last week. All four components are now contributing positively to the composite.

Tactical Allocation

The daily model remained stable throughout the shortened holiday week.

The regime held Risk-On into the 12/26 close, with the allocation unchanged:

• Core: SPHB 75%

• Satellite: SPXL 25%

There were no regime flips and no forced adjustments. This shows that internals are improving, not just price alone.

Tactical Model Performance

From 10/10/2025 through 12/26/2025, performance stands as follows:

• S&P 500 Total Return: +6.02%

• Daily Tactical Sleeve: +1.87%

• Weekly Tactical Sleeve: +0.33%

The difference versus the index comes from staying rules-based during a slow grind higher. The tactical sleeves were risk-on all week and stayed aligned with the regime rather than reacting to short-term price noise. And there was a lot of worthless noise last week to be bearish on.

This is precisely the environment where patience matters more than urgency.

Final Thoughts

The market exited the week with structure intact and internal support back in place. That does not mean risk disappeared. It means risk became more defined.

Positive gamma continues to absorb pullbacks, but upside is still earned, not given.

This is not a market that rewards forcing conviction. It rewards respecting levels, letting structure guide exposure, and staying patient.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

Ivory 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.

Price stayed intact, but the margin for error narrowed. The market spent the week rotating through levels instead of extending the trend.

Gamma and Price Structure

The S&P 500 finished the week above the gamma flip line, meaning dealers ended the week hedging against moves rather than amplifying them.

But the path there was not clean.

Midweek, the price slipped below the flip line before reclaiming it into the close on Friday, bouncing off last week’s lower expected move. Positive gamma is still present, but it is no longer dominant enough to suppress volatility throughout the week. The structure still absorbs dips, but upside progress is slower and more conditional on direction.

Net Gamma Positioning

Net gamma remains positive, but the profile is thinner than it was earlier in December.

When gamma is positive but weaker, the market becomes more sensitive to flow and participation.

Volatility Is No Longer Cooperating

Short-term realized volatility eased on the week, while medium-term realized volatility continued to firm. That divergence is something to note.

Volatility is not expanding aggressively, but it is also no longer compressing in a way that fuels upside momentum. When realized volatility stops trending lower, volatility targeting strategies stop adding exposure. I think this will change this week.

Systematic Flows Are Fading

CTA exposure continues to trend lower. They remain net long, but momentum has weakened enough that they are no longer buying.

Vol control exposure stabilized briefly but is still in an uptrend. We need to see sustained realized volatility before Vol Control funds can start aggressively amplifying exposure.

That is not outright bearish. It is just less forgiving.

Breadth Is Rolling Over Again

Participation deteriorated through the week. The percentage of stocks above their 200-day moving average declined and failed again in the same congestion zone that has capped breadth since 2022.

The advance-decline line remains elevated, but momentum has flattened. When the index holds near highs while participation slips, the market becomes more top-heavy.

That is when gamma matters more and trend matters less.

Expected Move Context

The expected move range defines the box. Price spent the week rotating inside it.

The upper and lower bounds are no longer expanding. The lower band is making a higher high this week, while the higher band dropped slightly. Risk is being priced tighter. That environment does not reward chasing strength or pressing weakness just yet.

Composite Signal and Regime

Gamma remains supportive. Realized volatility, flows, and breadth finished the week bearish. The weighted composite moved to neutral, and the composite regime remains neutral.

Compared to last week, this is a downgrade in internal strength, not a breakdown.

Neutral here means balanced, not defensive.

Tactical Allocation

The daily regime shifted multiple times during the week. When regimes flip, conviction gets punished.

Both the daily and weekly models finish the week neutral at 50% SPLV and 50% SPHB.

Performance Context

Since October 10, the S&P 500 has continued to grind higher. Tactical sleeves have lagged during this phase.

That is not a flaw. It reflects discipline in an environment where upside is harder to monetize, and internal risk is rising.

This is exactly when models protect against forced errors.

Closing Thoughts

Nothing broke last week.

But several things weakened.

Gamma support held, but thinned.
Volatility stopped helping.
Systematic flows neutralized.
Breadth started to roll over again.

This is not a market that rewards urgency. It rewards patience, range awareness, and alignment with structure.

Until then, staying balanced is not caution. It is part of the process.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

Ivory 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.

Price held above key structural levels, but progress was limited. Volatility stopped cooperating. Participation improved without expanding. The tape stayed balanced, not weak.

This is the transition phase most investors miss. When risk is still supported, but no longer cheap. When discipline matters more than conviction.

As of the close on 12/12/2025:

Gamma Signal: Bullish
Realized Volatility Signal: Bearish
Flow Signal: Bullish
Breadth Signal: Bullish
Weighted Composite: Bullish
Composite Regime: Neutral

Weekly Allocation: SPHB 75% | SPXL 25%

A Starter's Guide to The Gamma Report

Gamma Signal: Bullish

The S&P 500 spent the entire week above the gamma flip line and stayed within the expected move lines of last week’s chart.

The flip line rose steadily throughout the week and now sits near 6793, while spot closed at 6829. That keeps dealers in positive gamma and suppresses volatility on pullbacks. When the price stays above the flip line, dealers hedge against moves instead of amplifying them.

This remains a supportive structure, but it is weakening.

The net gamma profile remains positive. The cluster that formed after Thanksgiving is still intact but weakened.

Positive gamma does not mean straight-up markets. It means moves get absorbed instead of accelerated. Sellers have to work harder. That dynamic is still in place.

Realized Volatility Signal: Bearish

This is the one component that weakened.

30-day realized volatility ticked back up to 12.97, while 90-day realized volatility sits near 12.24. More importantly, the short-term RV stopped falling. Volatility trades on direction, not level.

When short-term realized volatility rises, vol control funds stop adding exposure. That removes a source of incremental demand even if they are not actively selling yet.

Flow Signal: Bullish

Systematic flows improved under the surface.

CTA exposure is still drifting lower but started to point up, which is typical late in a mature trend. They remain long, just no longer aggressive buyers. Vol control exposure, however, continues to stabilize and curl higher.

This sequencing matters. Positive gamma cools volatility. Cooling volatility allows vol control to add exposure. That supports price even when CTAs pause.

Breadth Signal: Bullish

Roughly 63% of S&P 500 names are now trading above their 200-day moving average. That is a meaningful improvement from the mid-November lows in the high 50s, but it remains inside the same multi-year congestion zone that has capped participation since 2022.

RSI for breadth stabilized above 50 but failed to push into expansion territory. The NYSE advance-decline line continues to trend higher, yet momentum has flattened over the past two weeks. This is an improvement, not confirmation.

Breadth earns a Bullish score because it is no longer deteriorating and is contributing positively to the composite.

Until breadth decisively clears this range, it supports the trend without validating aggressive upside expectations.

Weighted Composite and Regime

With gamma, flows, and breadth all scoring Bullish, the weighted composite finished the week Bullish again.

The composite regime remains Neutral. That distinction matters. A Neutral regime with a Bullish composite tells you the structure supports risk, but the margin for error is narrowing. When realized volatility refuses to trend lower, the model remains disciplined even when the price is near highs.

Neutral here is not defensive. It is selective.

Daily and Weekly Regimes

Both the daily and weekly models finished the week in Risk-On.

There was a brief Neutral reading earlier in the week as volatility firmed, but the structure stabilized quickly.

When both timeframes align, the environment supports taking risks, as long as you respect ranges and avoid chasing stretched prices.

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SPX Daily Structure

SPX remains above the gamma flip line, which continues to rise and now sits near 6.814. Spot closed the week near 6,827, keeping price in positive gamma territory.

The index reclaimed and held the 21-day moving average, but upside progress slowed near the upper half of the weekly range. This is consistent with positive gamma environments late in the cycle, where rallies compress, and pullbacks get absorbed.

Positive gamma provides a cushion. It does not guarantee acceleration.

Expected Move Context

This week’s expected move range is making lower highs and lower lows.

When both the upper and lower bounds step down, the range shifts lower. The market is telling you it is willing to move less and pay you less for chasing price in either direction.

This is not outright bearish by itself. But it is a sign of deceleration.

Upside becomes harder to extend, and downside gets absorbed quickly as long as the price stays above the gamma flip line.

When the ranges make lower highs and lower lows, breakout chasing tends to stop working in the short term.

Tactical Allocation Performance

Since the tactical allocation series began on October 10:

S&P 500: +4.41%
Daily Tactical Sleeve: +1.09%
Weekly Tactical Sleeve: -0.76%

The underperformance relative to the index is not a flaw. It reflects discipline during periods when volatility stopped compressing, and upside became harder to monetize.

The daily sleeve adapts faster. The weekly sleeve trades less and suppresses noise. Both are designed to stay aligned with the regime rather than chase returns.

Bottom Line

The structure remains intact, but tighter.

Dealers remain in positive gamma
Volatility stopped falling
Flows are improving
Breadth is supportive but limited
Expected moves are showing signs of deceleration

This market can grind higher, but it does not reward impatience. Positive gamma provides stability, not immunity. Expected moves define the risk expectations.

Respect both, and you shouldn’t be surprised.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

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

Last week was the kind of week that reminds you why process beats prediction. The structure strengthened again. Gamma stayed positive. Realized volatility cooled. Systematic flows stopped bleeding and even started to stabilize. Breadth remained stuck. The composite score pushed into Bullish territory, yet the regime label stayed Neutral. That combination says the tape wants higher prices, but it will not reward reckless behavior.

The job does not change. Measure the regime, size the risk, and let the model remove the emotion.

As of the close on 12/5/2025:

• Gamma Signal: Bullish

• Realized Volatility: Bullish

• Flow Signal: Neutral

• Breadth Signal: Bearish

• Weighted Composite: Bullish

• Composite Regime: Neutral

• Weekly Allocation: SPHB 75% and SPXL 25%

Gamma Signal: Bullish

This is the biggest structural improvement in the market. SPX held above the gamma flip line near 6780 for the entire week. As long as the price stays above that level, dealers sit in positive gamma and suppress volatility. Pullbacks get bought. Upside gets suppressed. Volatility compresses. Liquidity improves.

A Starter’s Guide to The Gamma Report

You can see it clearly in the net gamma history. The cluster of positive readings that emerged after Thanksgiving is intact and widening. This is a critical difference from the negative gamma pocket that dominated October and early November. The tape is no longer unstable. It is balanced.

Remember, positive gamma does not guarantee upside. It means the volatility moves will be less aggressive. What it does is force sellers to work harder. Any real decline has to be driven by dealer demand. Last week, the tape respected that dynamic perfectly.

Realized Volatility Signal: Bullish

30-day realized volatility (RV) drifted down to about 13.8. 90-day sits near 12.1. The rate of change cooled for the first time since late October. That matters far more than the absolute level. The level does not matter; the RV’s direction is what matters because that is what triggers Vol Control buying and selling. Seeing short-dated RV (red line) drop below long-dated RV (blue line) would be bullish.

This is the type of vol setup that gives vol control funds room to start adding back exposure. And they have. Markets trade on the slope of volatility, not the headline number. When short-term vol stops rising, the tape becomes easier to own.

Flow Signal: Neutral

Systematic flows are not providing the aggressive tailwind we had earlier in the quarter, but they are no longer a headwind.

CTA exposure kept grinding lower, which is what happens when the trend matures. They are still long. They just are not the incremental buyer they were in August and September.

Vol control is the more interesting piece. After weeks of trimming as realized vol firmed, notional exposure stabilized and even turned higher on Friday. It is small, but it is the first uptick in a while. That is precisely what you expect when gamma stays positive and realized volatility cools.

If you have been following this report, you should now be able to point out the sequencing of events: Positive gamma leads to lower realized volatility, which triggers Vol Control buying, which can strengthen breadth and the overall trend, leading to CTA buying.

Neutral is the correct call here. CTAs are drifting lower. Vol control is curling higher. This mix removes pressure instead of adding it.

Breadth Signal: Bearish

Breadth remains the weakest part of the structure.

About 60% of S&P 500 names are above their 200-day moving average. Better than the low 50s we saw in mid-November, but still stuck under the same yellow congestion zone that stopped advances in 2022, 2023, and 2024.

The RSI for breadth rolled over. The NYSE advance-decline line flattened. Price pushed toward the top of the range while participation cooled. This is what a top-heavy market looks like. Remember, this is literally just one variable in the model.

Until breadth breaks out of this multi-year congestion zone, the model has no choice but to keep the signal Bearish.

Weighted Composite and Regime

The weighted composite finished the week firmly Bullish.

Both the daily and weekly models ended the week in Risk On, indicating the improvement in structure was broad enough and consistent enough to put both timeframes in the same posture. When the daily and weekly models align, the message is simple. The environment supports taking risks as long as you size it correctly and respect the ranges.

The Daily Candle Chart shows the index trading above the gamma flip line at 6780, reclaiming the 21-day moving average, and pressing toward the upper middle of the weekly expected move. There is nothing fragile about this setup. Positive gamma gives the market a cushion. Cooling realized vol reinforces that cushion. Flows are no longer a drag.

The regime being Risk-On is not an invitation to chase price. It is a signal that the structure supports the trend and that dips are more likely to be bought than sold. The model is not guessing. It is reacting to an environment that is finally leaning in the same direction across most major components.

How to Use the Weekly Expected Move

Most investors treat expected moves as trivia. This is a mistake. Expected moves define the playing field. They tell you where the price can travel without breaking the volatility regime.

For the upcoming week, the expected move spans:

• Upper band: near 6960

• Lower band: near 6780

That 6780 level is essential. It is nearly identical to the gamma flip line. When a key level from dealer positioning lines up with the lower boundary of the expected move, you have a structural floor. If price trades down into that area, you expect dealer hedging to stabilize the tape and push realized vol lower. That is precisely what a positive gamma regime does.

The upper band around 6960 defines what the market can do on the upside without breaking the volatility expectations. If price pushes through the upper band with expanding realized vol, that would signal a shift toward overshoot dynamics. If price approaches the upper band with declining vol, it tells you the move is being absorbed rather than stressed.

Expected moves are not predictions. It is a volatility fence. The closer price gets to either boundary, the more you should expect hedging flows to matter. Inside those boundaries, the tape behaves normally. Outside those boundaries, the structure changes, and you need to respect that.

The Daily Candle Chart and the Weekly Expected Move Chart together give you a graphical roadmap. SPX is trading toward the center of the range, above the flip line, with positive gamma reinforcing stability. That is why both models are Risk On. That is why the structure supports staying invested. And that is why we will monitor the expected move lines every week. They tell you where the game is being played.

Daily Regime Change Tracker

Here is how the structure scored in real time:

• Monday 12/1: Risk-On

• Tuesday 12/2: Risk-On

• Wednesday 12/3: Neutral

• Thursday 12/4: Risk-On

• Friday 12/5: Risk-On

Wednesday’s move into Neutral was brief and reflected a midweek sag in the composite score before strength returned. The model tightened exposure, then expanded it again as vol cooled and gamma stayed supportive.

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This is how a rules-based risk process behaves. No guessing. Just reacting to the evolving structure.

Tactical Allocation Performance

Since the tactical allocation series began on October 10:

• S&P 500: about 5.05%

• Daily Tactical Sleeve: about 2.83%

• Weekly Tactical Sleeve: about 0.35%

Both sleeves lag the index. That is normal in a tape that ripped higher while the model respected negative gamma and firming volatility in October and early November.

The gap tightened once the market structure improved. In last week’s report, the Daily model lagged the SPX by almost 4%, and is now trailing by 2.22%. Not bad, considering the market was only up 0.37% for the week. Gamma flipped positive. Vol cooled. Flows stabilized. The model leaned into Risk-On. The daily sleeve moves first. The weekly sleeve follows with less noise and fewer trades.

Neither sleeve is designed to beat the S&P 500 in a runaway rally, but it could in the right environment. The goal is simple. Stay aligned with the regime, avoid large drawdowns, and compound over full cycles.

If you have been following this report, and you quickly scroll past everything and go straight to the performance section, this report will not help you at all. In fact, I would consider this the least important part of this analysis. This report is for traders who respect process, who understand that the left side of the equal sign determines the right, not the other way around.

Bottom Line

The structure improved again and continues to move away from the fragile setup we dealt with in October and November.

• Dealers remain deep in positive gamma

• Realized volatility continues to cool

• Vol control stopped cutting and started buying

• CTA flows are steady, but no longer a headwind

• Breadth is still capped, but off the lows

• The composite score turned Bullish

• Both tactical models shifted into Risk On

This is a market that wants higher prices. It is not a market that rewards complacency. Positive gamma gives you stability, not immunity. The expected move gives you your risk boundaries.

Respect both.

Feel free to use me as a sounding board.

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

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Fiduciary Advisor | President

ivoryhill.com

Disclosure

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

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

Ivory 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.

In other words, the tape is no longer a pure negative gamma minefield, but it is not a healthy, broad-based risk to the environment either. It is a market that wants to trend higher as long as liquidity behaves, yet still punishes anyone who confuses a structural tailwind with a free ride.

The job stays the same. Measure the regime, size risk to the structure, and let the model do the heavy lifting.

Signal Summary

As of the close on 11/28/2025, the composite signals read:

• Gamma Signal (Composite SPX/SPY): Bullish
  SPX closed at 6,845 with the SPX flip line near 6,729, and the composite gamma score moved to +1 for the first time since early November.

• Realized Volatility Signal: Bearish
  30-day realized volatility sits at 14.71, up from 13.89 the prior week.
  90-day realized volatility is 12.24, up from 11.78.
  The direction of travel is still higher.

• Flow Signal: Bearish
  Both CTA positioning and vol control exposure are rolling over from high levels and continue to trend lower.

• Breadth Signal: Bearish
  Roughly 60% of S&P 500 names are above their 200-day moving average, up from the low 50s a couple of weeks ago, but the breadth gauges remain below the zone that historically supports durable bull legs.

• Weighted Composite: Neutral (score ~0.20)
  Positive gamma offsets the combination of rising realized vol, softer systematic flows, and tired breadth.

• Composite Regime: Neutral
  The model keeps us out of both full offense and full defense.

• Tactical Allocation for the week ending 11/28
  Core: SPLV 50%
  Satellite: SPHB 50%

Gamma Signal

The most important structural change last week came from dealer positioning.

SPX spent the previous few weeks trapped under the gamma flip line, which kept dealers short gamma, making the tape fragile. Now the index has pushed back above the flip level and stayed there. Net SPX/SPY gamma is firmly in positive territory, and the composite gamma regime score sits at +1.

In positive gamma, dealers hedge against moves instead of with them. When the market dips, they are forced to buy. When it grinds higher, they sell into strength and bleed off upside volatility. That hedging pattern tends to compress intraday swings and make it harder to sustain shock moves.

The gamma history this quarter tells the story. We went from deeply negative readings in October to a shallow negative pocket into mid-November, and finally to a sharp ramp into positive territory by the end of last week. The structure shifted from amplifying every wiggle to leaning against moves.

That does not guarantee a straight line higher. It does mean that downside now has to fight through dealers who are more likely to buy weakness than chase it.

Realized Volatility Signal

Realized volatility kept grinding higher.

• 30-day realized volatility: 14.71, up from 13.89

• 90-day realized volatility: 12.24, up from 11.78

Both are still in the low teens, which is hardly panic territory, but the model cares about the change more than the absolute level. Markets price risk on the rate of change. Rising realized vol means the tape is actually moving more from day to day, not just threatening to.

Short-term realized vol is comfortably above the longer lookback window. That is what you tend to see when pullbacks and rallies both stretch more than they did a month ago. It is enough to keep the realized vol signal Bearish, which explains why vol control has stopped adding exposure and has started slowly walking it back.

At this stage, the message is simple. Vol is firm, not explosive. The environment rewards respecting risk, not betting on a volatility crash.

Flow Signal

Systematic flows weakened again.

CTAs are still net long, but the exposure line has been drifting lower from its summer highs. That steady bleed pulls them closer to the middle of the historical range. When the trend is this mature, CTAs are no longer the incremental buyers they were when the move began.

Vol control exposure followed a similar arc. After ramping aggressively as realized vol collapsed earlier in the year, the notional line flattened out, peaked, and has now started to roll over. The red-shaded zone on the chart highlights the slow, steady reduction from the highs. These are not forced liquidations; they are the mechanical trimming that happens when realized vol drifts higher and the models move back toward their target band.

Put those together, and you get a Bearish flow signal. The systematic buyer base that helped push the index to new highs is stepping back. They are not dumping; they are just buying less on the margin. When that happens while dealers are in positive gamma, you tend to get less explosive downside yet more two-sided swings that frustrate both chasers and shorts.

Breadth Signal

Breadth improved a bit on the surface, but it still looks tired.

Roughly 60% of S&P 500 names now trade above their 200-day moving average, up from a trough near 52% earlier in the month. That sounds constructive, but the SPXA200R gauge is still pinned in the same congestion band that capped advances in 2022, 2023, and 2024. Every attempt to break higher has stalled in that yellow zone.

The breadth RSI has rolled over from overbought and sits in a mid-range chop. The NYSE advance-decline line has flattened after a strong run from the October lows. Price sits near the top of the range while participation cools. That is what a top-heavy market looks like.

Until breadth can punch clearly through this congestion band and hold it, the model keeps the breadth signal Bearish. The tape can still rise, but with fewer shoulders carrying the load.

Weighted Composite and Regime

When you blend all four components, you get a Weighted Composite score around 0.20, which lands in the Neutral bucket.

• Gamma: Bullish

• Realized Vol: Bearish

• Flow: Bearish

• Breadth: Bearish

Last week, the weighted composite was negative, and the model sat in a full Risk Off posture, with SPLV and BTAL doing the heavy lifting. The swing back to Neutral did not come from healthier breadth or stronger flows; it came almost entirely from the shift in dealer gamma.

So the regime label is the same as some earlier neutral weeks, but the reason is very different. In October, Neutral meant a supportive structure with calming vol and strong systematic buyers. Today, Neutral means positive gamma fighting against weaker breadth and lighter systematic support.

In practice, that calls for balance. Not maximum defense, not maximum offense, just rules-driven risk that can lean either way as the structure evolves.

Daily Regime Change Tracker

The daily regimes told a pretty clean story last week.

• Monday 11/24: Risk Off, SPLV 75% and BTAL 25%

• Tuesday 11/25: Risk On, SPHB 75% and SPXL 25%

• Wednesday 11/26: Neutral, SPLV 50% and SPHB 50%

• Thursday 11/27: Thanksgiving, no trades

• Friday 11/28: Neutral, SPLV 50% and SPHB 50%

We started the week still in a Risk-Off posture that had been in place since the prior week’s negative gamma pocket. As gamma flipped and spot reclaimed the flip line, the model allowed us to step briefly into Risk-On, then settle into a Neutral mix by the close of the week.

This is what a functioning risk process looks like. You do not guess which headline will hit next. You respond to measured shifts in market structure.

Tactical Allocation Performance

Since the tactical series launched on October 10, performance now looks like this:

• S&P 500 Total Return: about +4.68%

• Tactical Allocation – Daily portfolio: about +0.90%

• Tactical Allocation – Weekly portfolio: about -0.72%

Earlier in November, both tactical sleeves were down relative to the index as the model respected negative gamma and rising realized vol while the tape tried to press higher. The last couple of weeks narrowed that gap. The daily sleeve flipped back into positive territory, while the weekly sleeve has only a small deficit.

The pattern is consistent with the design.

• The daily portfolio adjusts faster to changes in gamma and realized vol. It will whipsaw a bit more in choppy stretches, but it also claws back faster when the structure turns.

• The weekly portfolio trades only on Friday, suppresses noise, and accepts stretches of underperformance in exchange for fewer trades and lower behavioral risk.

Neither sleeve is trying to beat the S&P 500. The goal is to stay aligned with the structure, limit drawdowns, and compound over full cycles.

If you want a simple rule of thumb: the further away we are from positive gamma with healthy breadth and supportive flows, the more comfortable I am lagging a runaway tape in exchange for smaller holes to climb out of later.

Bottom Line

Last week was not a clean breakout or a full reset. It was a transition.

• Dealers flipped back into positive gamma, which stabilizes day-to-day tape action.

• Realized vol continued to rise, which keeps vol targeting strategies cautious.

• CTAs and vol control trimmed exposure from elevated levels.

• Breadth improved on the surface but remains trapped in the same range that has capped advances for three years.

• The composite regime sits at Neutral, with a constructive gamma signal fighting three bearish components.

That mix does not call for heroic swings. It calls for staying balanced, letting the model dictate exposure, and resisting the urge to chase narratives.

Having an opinion is not an edge. The edge is in knowing which environment you are in and sizing risk accordingly.

Feel free to use me as a sounding board.

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 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 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.