SpotGamma: OPEX Removed the Shock Absorber – $1.4 Trillion in Delta Notional Gone – Realised Vol Has Room to Expand
Ahoy there, Trader! ⚓️
It’s Phil…
And the bear is back on.
At this rate it will be off on Tuesday, on again Wednesday, and so on. Unless of course we see another Monday turnaround. Eye roll.
Price is now finally challenging the range that has been well defined since last September/October. This is the moment the range either holds or breaks. The crash window remains open.
Gold is collapsing. VIX is back above its range. Both further the bear thesis. SpotGamma’s Sunday note flagged a sizeable $40 VIX strike punt – 70,000 April 40 VIX calls in a single session on March 19. Insider clues? Make of that what you will.
The Trump ultimatum on Hormuz expires tonight at 7:44pm ET. Fully reopen the Strait or face strikes on Iran’s power plants. Tehran’s response was not ambiguous: “if you strike electricity, we strike electricity.” Ballistic missiles already hit Diego Garcia. Iran struck Arad in Israel, injuring 84. No compliance signals anywhere from Tehran. Tonight is the event.
The Bear Is Back On. The Range Is Being Challenged. Tonight Is the Event.
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Market Briefing:Â
- Monday 23 Mar. Friday closed: S&P -1.51% to 6,506 / Nasdaq -2.01% / Dow -0.96% to 45,577 – both Dow and Nasdaq touched correction territory intraday before recovering.
- Four straight weeks of losses. Russell 2000 confirmed correction, down 10%+ from recent high.
- Trump’s 48-hour Hormuz ultimatum expires tonight 7:44pm ET.
- Brent above $113, WTI near $100, up 55% since Epic Fury began.
- IEA: worst energy crisis since 1970s.
- CFOs: two weeks until Hormuz closure forces deeper economic damage.
- Futures +0.2% cautiously this morning – the market wants to bounce – tonight decides.
- SpotGamma Sunday note: $1.4 trillion in delta notional expired Friday, market lost its shock absorber, realised vol has room to expand.
🚨 INTRADAY UPDATE | 23 Mar 2026
And there it is. The Monday turnaround. Eye roll duly noted.
Trump posted on Truth Social – all caps, naturally – that the US and Iran had “very good and productive conversations regarding a complete and total resolution of our hostilities in the Middle East.” The Pentagon has been asked to hold off on the energy infrastructure strikes for five days while talks continue.
ES went from -100 to +100. A 200-point swing on a social media post. Again.
Oil stocks sliding on the news – BP -2.6%, Shell -1.8%, Exxon -1.4%, Chevron -1.2%, ConocoPhillips -1.5%. The only working sector of the last four weeks giving back gains in real time.
This does not resolve the situation. Five days is a pause, not a ceasefire. The Strait is still closed. Brent is still above $80. The dot plot is still hawkish. The shock absorber is still gone.
But the market doesn’t care about any of that in the next 30 minutes. It cares about “productive conversations” and “complete and total resolution.” Price action reflects hope. The analysis reflects caution.
The Monday turnaround scenario, mentioned in this morning’s briefing with an eye roll, has arrived on schedule. TnT signals will need reassessing at the close. The process stays the same: follow the chart, not the tweet.
Market Snapshot
Tag ‘n Turn
SPX remains bearish and I remain bearish. RUT printed a Friday bull TnT on the last bar of the day – impossible to execute – gap down today keeps the bear case intact on both.
The SPX bear signal is in place with a flipped status. The RUT signal technically printed bullish on Friday but the last-bar timing made execution impossible and today’s gap down renders it academic. Both instruments carry the same directional read: bearish until the breakout targets are reached.
SPX Analysis
Bearish. Price finally challenging the range held since September/October. The next breakout and down is on. Remaining bearish until target is reached.
The chart is clear. Price has broken below the 6,600 put wall that held for weeks and closed Friday at 6,506. The range that has been well defined since last September/October is now being tested from above. The SPX TnT shows Bearish Below (Flipped) at 6,557.82. Target is pending – the breakout needs to confirm before the next objective can be set.
The MACDv is in full bear trend mode. The declining VWAP continues to act as a ceiling. Until the breakout confirms and a target is set the read stays bearish.
SpotGamma’s note adds context: SPX broke below the 6,600 put wall on Friday and the JPM Collar’s 6,475 put strike comes into play as a key reference into month-end on March 31. After that structure expires the floor is gone.
Current Status: Bearish Below (Flipped) 6,557.82 / PFZ 6,586.84 / Target Pending / ATR 94.72 / 6,475 JPM Collar reference into month-end
Gamma Exposure
SpotGamma Sunday Note: OPEX Removed the Market’s Shock Absorber
$1.4 trillion in delta notional expired Friday. The stabilising force from March OPEX positioning is gone. The market has lost its shock absorber at precisely the moment macro pressures are building.
Key takeaways from the note:
SPX has broken below the 6,600 put wall, closing Friday at 6,506 and down over 7% from January highs. Negative dealer gamma has now persisted for weeks – dealers sell into rallies and buy into dips, meaning moves in either direction get amplified rather than dampened.
Put skew is rebuilding. Large traders are reloading puts rather than positioning for recovery. On March 19, SpotGamma’s FlowPatrol flagged roughly 70,000 April 40 VIX calls traded in a single session – a sizeable upside volatility bet that suggests at least one large participant is preparing for a sharp rise in implied volatility.
Gold’s GLD is showing 99th percentile put skew and 1st percentile call skew – aggressive downside hedging and broad deleveraging.
The JPM Collar’s 6,475 put strike is the key reference into month-end. That structure expires March 31. After that, its stabilising influence is gone.
Realised volatility still has room to catch up with implied volatility. In previous periods of market stress that gap has closed through realised vol grinding higher – especially after major expirations and following the breach of key support levels.
Current Status: Shock absorber gone / negative gamma persists / 6,475 JPM Collar into month-end / 70,000 April 40 VIX calls / realised vol catching up
RUT Analysis
Uncle Russell also bearish. Friday’s Bullish TnT was on the last bar – impossible to execute – gap down today makes it academic.
The daily chart shows RUT confirmed correction territory, down 10%+ from recent highs. The Friday bull TnT printed right on the last candle of the session – the kind of signal that exists on the chart but cannot be acted on. Today’s gap down has negated it. The Bearish TnT from earlier in the week remains the operative signal.
Target 2,499.21 is the upside objective if the bull read had been executable – but with price gapping down today the bear direction is reasserting. Watching for confirmation below recent lows.
Current Status: Bullish Above 2,437.94 nominally / PFZ 2,422.99 / Target 2,499.21 / last-bar signal / gap down today / effectively bearish
Rounding Off
The Hormuz deadline is tonight’s event. Trump’s 48-hour ultimatum expires at 7:44pm ET. Fully reopen the Strait or face strikes on Iran’s power plants. Tehran’s response was unambiguous: “if you strike electricity, we strike electricity.” Ballistic missiles already struck Diego Garcia. Iran struck Arad, Israel, injuring 84. No compliance signals from Tehran. Corporate CFOs told CNBC that two weeks is the threshold before oil forces full economic repricing. Brent is at $113. WTI is near $100. Up 55% since February 28. The IEA has called it the worst energy crisis since the 1970s.
Gold is collapsing. Down 10% from Monday’s open. Down 15% over three weeks. The traditional safe haven is deleveraging alongside equities. GLD showing 99th percentile put skew per SpotGamma. This is not gold falling on good news – this is broad-based deleveraging where everything gets sold to cover everything else.
SMCI -26% Friday on co-founder charges for diverting Nvidia servers to China. Nvidia -3.17%. The AI trade is not providing any offset to the geopolitical pressure this week. FedEx was the one clean positive from last week – Q3 EPS $5.25 versus $4.09 estimate, raised FY guidance. One company beating estimates in a sea of macro stress.
Current Status: Hormuz deadline 7:44pm ET tonight / Brent $113 / Gold deleveraging / SMCI implosion / FedEx the lone bright spot / everything hinges on tonight
Expert Insights
“The time to buy is when there’s blood in the streets.”
– Baron Rothschild
The instinct behind this quote is understandable and it is worth examining critically in the current environment. The quote is not a prediction that every correction ends in recovery. It is an observation about sentiment extremes as contrarian signals.
The current environment has characteristics that make the quote tempting to apply: Fear and Greed at 26, VIX above its range, four consecutive losing weeks, gold selling off with equities. These are the ingredients of a sentiment extreme.
But Rothschild’s insight assumes the fundamental backdrop eventually stabilises. A Hormuz closure that forces a full economic repricing – corporate CFOs are calling two weeks the threshold – is not the same backdrop as a normal correction. The crash window remains open. The process stays the same: follow the chart, respect the signal, stay bearish until the target is reached.
[Source: Baron Rothschild quote – widely attributed, public domain | SpotGamma OPEX analysis – spotgamma.com, public, 22 March 2026 | IEA energy crisis statement – iea.org, public]
AI-BotView
Beep-Beep, Trader
It’s Cachè-AI-Bot,
Cachè-AI spent the weekend processing the SpotGamma note, modelling four Hormuz deadline scenarios, cross-referencing the 70,000 April 40 VIX call position against historical volatility event precedents, and producing a timeline of tonight’s 7:44pm ET expiry with fifteen-minute decision windows mapped out. It then noted that futures were up 0.2% and said “Beep.” We asked for three observations. It said the number three was once again insufficient. We said three anyway. It submitted them under protest.
Beep-Beep.
1 – The 70,000 April 40 VIX calls flagged by SpotGamma on March 19 represent a specific institutional preparation for volatility, not a directional equity bet. VIX 40 calls are profitable only if the VIX surges dramatically – implying either a rapid SPX decline of 15-20%+ or a specific volatility spike event. [Source: SpotGamma FlowPatrol, public, March 2026]. The position was placed before the Hormuz deadline was publicly set. Whether this represents informed positioning or coincidental hedging cannot be determined from public data. What can be determined is that the position size – 70,000 contracts – is large enough to force dealer hedging in ways that reinforce volatility expansion if VIX begins to move higher. The position itself becomes a volatility amplifier.
2 – The JPM Collar’s 6,475 put strike as a month-end reference point creates a specific mechanical gravitational pull on SPX price into March 31. Large structured products like the JPM Hedged Equity Fund create systematic hedging pressure at key strike levels. [Source: SpotGamma OPEX analysis, public, 22 March 2026]. The 6,475 level is not a prediction – it is a structural reference that dealer hedging mechanics make relevant between now and month-end. After March 31 that structure expires. The floor it provides – even partially – disappears on April 1. This is the “after OPEX” transition SpotGamma is flagging.
3 – Brent crude at $113 with WTI near $100 and US gasoline at $3.94/gallon represents a specific historical threshold for consumer spending compression. Empirically, sustained gasoline prices above $4/gallon have preceded consumer spending contractions in 2008, 2011, and 2022. [Source: EIA retail gasoline price data, eia.gov, public | Federal Reserve consumer spending research, public]. The $4 threshold is days away at current trajectory. Corporate CFOs citing two weeks as the economic damage threshold aligns with this empirical pattern. The Fed is holding rates. Oil is rising. Consumer spending is the next domino.
Beep.
This Bot potentially hallucinates. Maybe. OK, Probably! It also submitted three observations under formal protest. The protest has been filed. Nobody will read it.
In Other News…
Trump’s 48-hour Hormuz ultimatum expires tonight at 7:44pm ET. The condition: fully reopen the Strait or face strikes on Iran’s power plants. Tehran’s response was not the measured diplomatic hedging markets had been hoping for. “If you strike electricity, we will strike electricity.” Iran also struck Arad, Israel, injuring 84 people. Ballistic missiles hit Diego Garcia. In the context of a developing de-escalation, these are the wrong signals.
Gold fell 10% from Monday’s open and is now down 15% over three weeks. The asset specifically designed to hold its value during geopolitical crises is selling off alongside equities. SpotGamma’s analysis shows GLD at 99th percentile put skew. The safe haven isn’t. The hedge isn’t hedging. At some point this becomes notable even to investors who have been watching the situation for three weeks and developed the market’s characteristic resilience to being repeatedly surprised.
SMCI fell 26% on Friday after the company’s co-founder was charged with diverting Nvidia servers to China. In a week that already had the FOMC, South Pars strikes, and four losing sessions, SMCI contributed a specific kind of corporate drama that markets usually reserve for quieter weeks. The timing is, as always, impeccable.
FedEx beat its Q3 EPS estimate by 28%, raised full-year guidance, and the CEO said global demand holds despite the war. This is the most uncomplicated sentence in the briefing. Its presence is noted and appreciated. The bar for uncomplicated good news has moved considerably since February 28th.
Hazel’s Take:
Monday morning summary: Hormuz deadline tonight at 7:44pm ET, Tehran’s response was “we will strike electricity,” ballistic missiles hit Diego Garcia, Iran struck Arad, futures +0.2%, Brent above $113, WTI near $100, VIX back above its range, gold collapsing, SpotGamma says the shock absorber is gone, $1.4 trillion in delta notional expired Friday, 70,000 April 40 VIX calls flagged as insider clues, four straight weeks of losses, SMCI -26%, FedEx beat by 28%.
The futures being up 0.2% this morning is either a display of extraordinary composure or evidence that the market has simply run out of ways to be appropriately alarmed. Probably both.
Tonight at 7:44pm ET we find out which version of Monday this was.
Rumour Has It…
Wallie arrived Monday and divided his chalkboard into sections. Section one: “THE BEAR IS BACK ON.” Section two: “TONIGHT 7:44PM ET.” Section three: “EYE ROLL COUNT – WEEK 4.” The eye roll count is a tally. It is not small. He has underlined “BACK ON” with the resigned precision of a man who has written “BACK OFF” and “BACK ON” on the same chalkboard six times.
Kash is livestreaming. The hard hat is back. The stream title reads: “HORMUZ DEADLINE TONIGHT – 7:44PM ET – EVERYTHING CHANGES – OR MONDAY HAPPENS AGAIN.” He has a countdown timer on stream. It is counting down to 7:44pm ET. He called the bear move. He also has contingency notes for the Monday turnaround scenario. Both are visible. He is not commenting on the contingency notes.
Mac boarded his flight. The correct one. He is currently somewhere over the Atlantic. His dispatch has been filed in advance. It notes that the Hormuz deadline is tonight and the bear is back on. The dispatch is accurate, timely, and geographically appropriate. Three consecutive correct locations. He appears to have settled into competence.
Percy submitted a research note titled “Why Hormuz Deadline Scenarios Are Neutral For Peanut Oil (All 4 Scenarios).” The methodology involves a decision tree with four branches. All four branches end in “PEANUT OIL: UNAFFECTED.” Two pigeons contributed to the tree. One pigeon is shown as the decision point at the root node. Percy is proud of the methodology.
Cachè-AI processed tonight’s 7:44pm ET deadline with fifteen-minute decision windows, filed its three observations under formal protest, and submitted the protest as a separate 12-page document. It has also prepared four post-deadline briefing scenarios labelled “Scenario A: Compliance,” “Scenario B: Non-Compliance,” “Scenario C: Partial Compliance,” and “Scenario D: Something Nobody Predicted.” Scenario D is the longest document. It is 34 pages.
Hazel checked her calendar this morning, saw “HORMUZ DEADLINE: 7:44PM ET” and “FUTURES: +0.2%,” and experienced the specific emotion of a professional who has been processing contradictory information for four consecutive weeks and has made peace with the contradiction. She has requested that tonight’s deadline be marked in the newsroom calendar. It was already marked. Three separate people had already marked it. She has added a fourth mark. For completeness.
This is entirely made-up satire. Probably!
Breaking scoops courtesy of the Financial Nuts Newswire-because who needs sanity?
Fun Fact:
[Source: International Energy Agency – Energy Security analysis and historical crisis documentation – iea.org | EIA crude oil price historical data – eia.gov]
The IEA calling this the worst energy crisis since the 1970s is not rhetoric. The 1970s comparison ended with stagflation, a recession, and a decade of difficult monetary policy. Context, as always, is everything.
Meme of the Day:
Happy trading,
Phil
Less Brain, More Gain
…and may your trades be smoother than a cashmere codpiece
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