This market looks calm on the surface and punishes anyone who treats it that way.
Volatility is contained. Breadth is still holding together. Price sits near highs. But the structure underneath has changed.
Dealer gamma has slipped back into negative territory. CTA exposure is not helping. Vol control is rebuilding, but slowly.
That pairing calls for patience, positioning sizeing discipline, and respect for levels.
Dealer Gamma and Market Structure
Dealer positioning is now negative gamma.
Dealers are no longer hedging into moves. They are forced to hedge with price.
Upside extends faster. Pullbacks travel further. Intraday volatility increases even without headlines.
As long as SPX remains below the gamma flip near 6919, price action will remain highly sensitive.
Realized Volatility and Vol Control
Vol control funds are engaged, but only marginally. Exposure is rebuilding, as one-month realized volatility is below three-month realized volatility.
Vol control is providing support, but it is not a tailwind. It slows the downside.
When realized volatility compresses further, vol control can add meaningfully. When it rises, that support disappears quickly.
Right now, it is neutral support at best.
Systematic Flows
CTA exposure has flattened. Trend-chasing models are no longer long stocks.
This places CTAs in wait and see mode.
When CTAs stop buying and vol control softens, markets will compress, as we are seeing now.
Systematic flows are no longer driving this tape.
Breadth Is Still Carrying the Load
Breadth remains the most important volatility suppressor in this market.
Roughly 68% of S&P 500 stocks remain above their 200 day moving average, keeping participation intact even as other conditions fade. This is why downside has stayed contained despite negative gamma and softer flows.
But the message from breadth is changing.
The NYSE advance–decline line continues to trend higher, which is important. It confirms that weakness remains selective, not systemic. However, the slope has flattened. Participation is no longer accelerating.
As long as breadth holds above 60%, pullbacks should remain corrective and controlled. A failure below that level would materially change the risk profile and shift pressure back onto price and volatility.
Right now, breadth is preventing downside from accelerating, but it is no longer strong enough to justify pressing leverage on its own.
Composite Signal and Regime
Here is how the signals stack as of Friday’s close:
Gamma: Bearish
Realized Volatility: Bullish
Flows: Neutral
Breadth: Neutral
The weighted composite is Neutral.
This is the definition of a tight risk box.
Price, Levels, and the Expected Move
SPX closed near 6900, just below the gamma flip line.
The weekly expected move is approximately ±1.46%, with a range of 6806 to 7007.
The price remains within the dealer risk envelope.
That tells us two things:
First, the market is not under stress. Second, chasing breakouts inside this range carries poor risk-to-reward.
Acceptance above 7007 would force dealers to change behavior.
Acceptance below 6806 would do the same in the opposite direction.
Until then, patience is the trade.
Tactical Allocation and Regime
The daily model finished the week Neutral, holding:
50% SPLV
50% SPHB
The weekly model, which only reconstitutes on Fridays, also closed Neutral after briefly being Risk On earlier in the week.
Friday’s regime change is important. It shows how quickly the structure deteriorated beneath the surface, even as the price stabilized.
Performance Context
Year to date:
S&P 500: approximately +1.10%
Daily Tactical Sleeve: approximately -1.04%
Weekly Tactical Sleeve: approximately +1.16%
The dispersion reflects regime shifts, not errors. The goal is alignment with structure and drawdown control, not forcing exposure when the setup deteriorates.
Bottom Line
This is not a market that pays you to guess.
Gamma is negative.
Flows are no longer lifting prices.
Volatility is contained but not collapsing.
Breadth is supportive but no longer improving.
These conditions reward balance, not bravado.
Feel free to use me as a sounding board.
And remember - The one fact pertaining to all conditions is that they will change.
Follow me on X for more updates.
Best regards,
Schedule a call with me by clicking HERE
Kurt S. Altrichter, CRPS®
Fiduciary Advisor | President
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.