Aggressive long conviction. SPX at 5180, poised to breach 5200 before month-end. Zero-DTE gamma positioning indicates a massive short gamma flip at 5190, compelling dealers to chase spot, creating significant upward convexity. CTA models signal an imminent ~3.5B USD buy program initiation if 5190 holds, adding substantial demand. Spot-futures basis is firmly in contango, confirming institutional bullish sentiment. Volatility surface analysis shows the 1-month 25-delta skew has flattened, indicating less demand for downside protection and a higher probability of upside capture. Q2 GDPNOW tracking at 4.2% provides a robust macro-fundamental tailwind, underpinning corporate earnings expectations. Sentiment: Despite some FUD around late-cycle slowdown, hedge fund net positioning has shown a decisive pivot towards systemic long exposure this week. 92% YES — invalid if SPX closes below 5150 by June 28, 2024.
