4/6/2026 Gamma Report
Welcome to the twenty-sixth issue of the Gamma Report
The S&P 500 closed the week at 6,583. The gamma flip is at 6,651. Sixty-eight points below the line where this market stops punishing you for being long and starts rewarding it.
Last week, SPX was at 6,369, 310 points below the flip. Price recovered. The gap narrowed. That is the first constructive thing the structure has shown in weeks. It is not enough. Three signals are still bearish. The allocation has not moved.
The S&P 500 could be up or down 5% this week, and you are not allowed to be surprised because I am telling you now.
Looking at futures right now, the conditions are there for a setup to squeeze the shorts this week, then turn around and punish the bulls next week, after Friday’s CPI print. But none of that noise matters. The only thing that matters is whether volatility is trending and in which direction.
What the Market Is Pricing This Week
CPI lands Friday, April 10. That is the print that matters this week.
Traders are paying more to protect against a downside surprise than they are betting on an upside one. When positioning is that balanced, the realized move tends to be larger than implied vol suggests.
If CPI comes in hot (basically guaranteed at this point), the Fed stays on hold. A slowing economy with the Fed unable to cut is the worst setup for this market right now. Either way, below the flip, whatever direction the price moves after that print gets amplified.
This is the environment we are in. Stop worrying about it. This is the market, and you are going to have to accept it. Turn off the news. Close social media. Go spend time with your family or work on your meditation. Hyperventilating is not a risk management strategy. Again, the market could be up or down 3-5%, and you should not be surprised.
Dealer Gamma and Market Structure
SPX: 6,583. Gamma Flip: 6,651. Negative Gamma: -68 points.
Above the flip line, dealers buy dips and sell rips, which makes the market less volatile. Below it, they sell when the market falls and buy when it bounces. This amplifies moves. Every swing gets bigger than it otherwise would be.
We have been below that line for seven weeks. Price closed 68 points short of it Friday. If SPX pushes through 6,651 and holds it over multiple sessions, the market's mechanical character changes. Until that happens, every bounce is a bounce inside a broken structure.
Realized Volatility
1-Month RV: 18.32. 3-Month RV: 14.29. HIGH-VOL REGIME.
Short-term volatility is running nearly 4 points above long-term volatility. That forces vol-control funds to mechanically cut equity exposure. Their mandate says when 1-month vol exceeds 3-month vol, reduce stocks. That condition has been in place for weeks and does not resolve until the spread closes and stays closed.
At the start of this year, the 1-month RV was near 8-9%. It is now 18.32. These funds have been selling into that entire move, while that selling might let up this week, they are not done.
Systematic Fund Flows
CTA Trend: Falling. Vol-Control Trend: Falling. Flow Signal: Bearish.
CTAs follow price trends. The trend broke. They sold. Vol-control funds follow volatility. Volatility rose. They sold. Both are still in selling mode.
The Systematic Positioning Index is approaching -2. That is near extreme short-side crowding. The more crowded that gets, the thinner the remaining selling pressure becomes. When it runs out, the reversal will be fast. That has not happened yet.
Breadth and Participation
Breadth: 49%. Breadth Signal: Bearish.
49% of S&P 500 companies are trading above their 200-day moving average. More than half the index is already in a downtrend beneath the surface.
Six weeks ago, this reading was 68%. It fell every week since, recovering slightly this week alongside the price bounce. 49% still triggers a bearish signal. The model needs a breadth above 60% to change that.
The level to watch on the downside is 40%. Below that, every comparable period in recent history, 2018, 2020, 2022, was associated with a recession or major correction. Last week, breadth touched 44%. It is back to 49%. The cushion is thin.
Composite Signal and Regime
Three bearish signals. One neutral. Regime: Risk-Off.
Three things change the allocation. SPX reclaims 6,651 and holds it. Short-term RV falls back below long-term and stays there. Breadth recovers above 60%. Breadth ticked up this week. The gap to the flip narrowed. Neither condition is met yet.
Tactical Allocation
75% SPLV / 25% BTAL. Unchanged.
SPLV owns the lowest-volatility stocks in the S&P 500.
BTAL goes long low-volatility stocks and short high-volatility stocks simultaneously. When high-beta names are getting hit hardest, BTAL generates positive returns.
The model is fully invested at all times. It does not go to cash. It rotates among equity risk profiles based on the structure.
Bottom Line
Gamma is negative. Realized volatility is elevated. Systematic funds are still selling. Breadth is still below every threshold that matters. Three conditions must be met before the allocation can move. We are not even close.
Nothing changes until the structure changes.
And remember - The one fact pertaining to all conditions is that they will change.
Feel free to use me as a sounding board.
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Best regards,
Schedule a call with me by clicking HERE
Kurt S. Altrichter, CRPS®
Wealth 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.