Pre-0500 Look.

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

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

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

  ---

Market Recap

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

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

ASSET PERFORMANCE

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

THE ECONOMIC CALENDAR AND VOL TERM STRUCTURE

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

EARNINGS

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

MOMENTUM PULSE CHECK

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

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

WEEKLY EXPECTED MOVE

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

VOLATILITY REGIME

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

SYSTEMATIC FUND FLOWS

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

SYSTEMATIC POSITIONING INDEX

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

MARKET BREADTH

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

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

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

ASSET PERFORMANCE

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

THE ECONOMIC CALENDAR AND VOL TERM STRUCTURE

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

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

EARNINGS

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

MOMENTUM PULSE CHECK

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

WEEKLY EXPECTED MOVE

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

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

VOLATILITY REGIME

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

SYSTEMATIC FUND FLOWS

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

SYSTEMATIC POSITIONING INDEX

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

MARKET BREADTH

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

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

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

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

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

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

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

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

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

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

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

EARNINGS

Pretty boring week for earnings.

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

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

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

MOMENTUM PULSE CHECK

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

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

WEEKLY EXPECTED MOVE

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

VOLATILITY REGIME

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

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

SYSTEMATIC FUND FLOWS

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

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

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

SYSTEMATIC POSITIONING INDEX

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

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

MARKET BREADTH

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

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

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

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

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

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

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

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

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

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

EARNINGS

A light week with SpaceX IPO on Friday.

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

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

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

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

Friday, June 12: No earnings. SpaceX IPO.

MOMENTUM PULSE CHECK

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

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

VOLATILITY REGIME

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

SYSTEMATIC FUND FLOWS

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

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

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

Vol-control tells the same story, louder.

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

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

SYSTEMATIC POSITIONING INDEX

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

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

MARKET BREADTH

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

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

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

IMPLIED CORRELATION: THE DISPERSION SIGNAL

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

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

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

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

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

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

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

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

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

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

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

EARNINGS

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

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

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

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

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

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

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

MOMENTUM PULSE CHECK

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

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

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

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

VOLATILITY REGIME

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

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

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

SYSTEMATIC FUND FLOWS

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

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

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

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

SYSTEMATIC POSITIONING INDEX

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

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

MARKET BREADTH

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

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

Monday, May 25: Markets closed for Memorial Day.

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

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

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

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

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

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

EARNINGS

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

ZS is the cybersecurity print this week.

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

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

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

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

MOMENTUM PULSE CHECK

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

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

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

VOLATILITY REGIME

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

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

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

SYSTEMATIC FUND FLOWS

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

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

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

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

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

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

SYSTEMATIC POSITIONING INDEX

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

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

MARKET BREADTH

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

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

DEALER GAMMA DASHBOARD AND COMPOSITE REGIME

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

The regime shifts if any of these conditions develop:

• breadth breaks back below 40%,

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

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

TACTICAL ALLOCATION PERFORMANCE

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

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

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

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

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

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

OpEx was on Friday, May 15

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

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

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

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

EARNINGS: WEEK OF MAY 18th

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

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

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

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

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

MOMENTUM PULSE CHECK

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

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

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

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

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

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

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

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

VOLATILITY REGIME

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

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

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

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

SYSTEMATIC FUND FLOWS

CTA Positioning

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

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

Vol-Control Positioning

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

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

Systematic Positioning Index

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

MARKET BREADTH

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

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

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

DEALER GAMMA DASHBOARD

Tactical Allocation: 75% SPHB / 25% SPXL

TACTICAL ALLOCATION PERFORMANCE

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

THIS WEEK’S GAME PLAN

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

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

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

TACTICAL ALLOCATION PERFORMANCE

Year-to-date through May 8, 2026:

• Weekly Tactical Allocation: +21.09%

• Daily Tactical Allocation: +11.44%

• S&P 500 Total Return: +8.52%

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

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

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

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

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

MARKET STRUCTURE: THE ANCHOR POINT

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

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

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

THE ECONOMIC EVENT CALENDAR AND VOL TERM STRUCTURE

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

The key events this week:

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

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

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

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

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

EARNINGS: WEEK OF MAY 11

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

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

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

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

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

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

MOMENTUM PULSE CHECK

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

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

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

VOLATILITY REGIME

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

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

SYSTEMATIC FUND FLOWS

CTA Positioning

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

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

Vol-Control Positioning

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

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

Systematic Positioning Index

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

MARKET BREADTH

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

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

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

DEALER GAMMA DASHBOARD

Tactical Allocation: 75% SPHB / 25% SPXL

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

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

Watch CPI Tuesday. The rest follows from there.

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

THIS WEEK’S GAME PLAN

The Battlefield: Economic Events & Short-Term Vol Structure

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

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

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

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

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

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

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

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

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

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

MOMENTUM PULSE CHECK

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

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

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

EARNINGS: THE WEEKLY STRESS TEST

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

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

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

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

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

Friday, May 8: Brookfield , Enbridge .

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

MARKET STRUCTURE: YOUR FOUNDATION

Gamma Positioning: The Anchor Point

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

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

Weekly expected moves for the week of May 4th.

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

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

REALIZED VOLATILITY: THE VOL-CONTROL LOCK

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

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

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

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

SYSTEMATIC FLOWS: THE MOMENTUM BEHIND THE MOMENTUM

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

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

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

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

BREADTH: THE PARTICIPATION READ

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

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

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

COMPOSITE SIGNAL: RISK-ON

Tactical Allocation: 75% SPHB / 25% SPXL

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

TACTICAL ALLOCATION PERFORMANCE

Through May 1, 2026:

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

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

BOTTOM LINE

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

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

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

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

What can break this setup:

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

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

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

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

What to monitor:

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

THIS WEEK’S GAME PLAN

The Battlefield: Economic Events & Short-Term Vol Structure

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

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

This week’s key battles:

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

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

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

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

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

Momentum Pulse Check

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

Key momentum names to watch:

• Thursday: - These carry real index weight

• Friday: - Energy sector representation

Earnings: The Weekly Stress Test

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

MARKET STRUCTURE: YOUR FOUNDATION

Gamma Positioning - The Anchor Point

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

Weekly Expected Moves from the dashboard:

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

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

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

Realized Volatility - The Vol-Control Lock

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

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

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

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

SYSTEMATIC FLOWS: THE MOMENTUM BEHIND THE MOMENTUM

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

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

The Flow Signal Reality

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

BREADTH: THE FOUNDATION BROADENS

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

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

COMPOSITE SIGNAL: RISK-ON

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

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

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

YOUR WEEKLY CHECKLIST

What can break this setup:

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

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

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

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

What to monitor:

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

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

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

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

Your tactical stance:

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

• Breadth has 57% participation above 200-day MA

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

• Market structure is clean.

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

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

What the Market Is Pricing This Week

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

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

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

The names that can move the tape:

• Wednesday after close

• Thursday after close

• Industrials on Tuesday:

• Healthcare on Tuesday:

• Financials throughout the week:

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

Dealer Gamma and Market Structure

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

Above the flip, dealers sell strength and buy weakness.

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

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

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

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

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

Realized Volatility and Vol Control

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

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

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

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

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

The setup is there. The trigger is not.

Systematic Fund Flows

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

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

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

Breadth and Participation

Breadth upgraded to Bullish.

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

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

Composite Signal and Regime

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

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

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

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

Bottom Line

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

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

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

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

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

Feel free to use me as a sounding board.

Follow me on X for more updates.

Best regards,

Schedule a call with me by clicking HERE

Kurt S. Altrichter, CRPS®

Wealth Advisor | President

ivoryhill.com

Disclosure

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

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

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

– 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.