The S&P 500 bounced hard +1.97% into the close on Friday, but the structure did not heal.
Price is back near 7,000, yet dealers are still sitting on the wrong side of the flip line. Realized vol spiked and systematic selling has started.
This is not a tape for hero trades. It is a tape for discipline.
Dealer Gamma and Market Structure
As of Friday, SPX closed 6,932, and the gamma flip is 6,947.
Below the flip, the market is structurally sensitive to flows. In a negative gamma pocket, dealers hedge with price, not against it. That is how you get fat intraday ranges, fast reversals, and moves that feel bigger than whatever headline is floating around.
Key levels from the chart:
Gamma Flip: 6,947
Call Wall: 7,000
Put Wall: 6,800
Upper Expected Move: 7,041
Lower Expected Move: 6,890
Implied move: ~1.08%
Translation: we are pinned between major positioning levels, with price sitting just below the line that would stabilize the tape.
Realized Volatility and Vol Control
30-day realized volatility (RV) is now pressing above 90-day RV. When 1M RV starts moving up through 3M RV, vol control funds start selling. That is how the buy-the-dip autopilot gets less reliable.
Vol control exposure is softening. That is not a tailwind.
Breadth and Participation
Breadth is still the only real volatility suppressor in this market.
% of S&P 500 above 200DMA: 68.40%
That is supportive
The NYSE advance-decline line is holding up, but momentum is not accelerating
Breadth is keeping the wheels on. It is not opening the door for aggressive leverage.
Composite Signal and Regime
Tactical Allocation
As of Friday’s close, the model remains Neutral:
50% SPLV
50% SPHB
If the tape is going to earn risk-on again, it needs two things:
Reclaim and hold above 6,947 (the flip), and
Realized volatility needs to stop rising
Until then, the job is to stay balanced and avoid forcing exposure.
Bottom Line
This is a market where price can look fine while the structure gets tighter.
Gamma is negative, and price is still below the flip - remember, this doesn’t mean the market is going down, it means volatility gets more aggressive to both the downside and the upside.
Realized vol is rising, which pressures vol control support
CTAs are rolling over, which removes incremental demand
Breadth is supportive, but not improving
Feel free to use me as a sounding board.
And remember - The one fact pertaining to all conditions is that they will change.
Follow me on X for more updates.
Best regards,
Schedule a call with me by clicking HERE
Kurt S. Altrichter, CRPS®
Fiduciary Advisor | President
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.