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Our View

The ES rallied up to 5717.75 during the overnight Globex session and opened the regular session at 5688.75. It sold off a bit, rallied slightly, then dropped down to 5653.00 ahead of Trump’s 10:00 AM tariff conference — which didn’t actually begin until 10:40 — before rallying all the way up to 5741 at 12:50.

I think the ES was headed higher regardless, but clearly the tip-off was Wednesday night’s headline that Trump was holding a news conference at 10:00 AM. The market rallied all the way up to 5741 just before 1:00 PM . I’ve never seen an administration leak or allow information to get out before it’s made public.

I did hear something once that I guess would qualify as a front-run, but didn’t buy anything. Many years ago, a guy who cleared through Bear Stearns told the desk there was going to be an out-of-meeting, intraday Fed rate hike. I told everyone it was BS, but I still shared it with a bunch of hedge funds and banks. Sure enough, out of the clear blue, the Fed raised rates by 0.50%, and the S&P tanked. The next day, the guy running the trading desk of a $22 billion fund asked me where I got the info and if he could talk to the source… lol.

Later in the day, the ES attempted to rally, but again, the late-day weakness returned and pushed the ES all the way down to 5682.50 after the imbalance showed $3 billion to sell. In the end, it was a classic “sell the news” event.

MiM and Daily Recap

The S&P 500 futures (ES) session on Thursday opened weak and chopped lower through the early cash trade before staging a strong midday rally, only to fade into the close. The overnight Globex session set the tone with a rally to 5717.50 by 7:00 AM ET before pulling back into the cash open at 5688.75.

The opening saw a steady sell-off of profit takers for 40 minutes, driving the ES to a  low at 5659.00 by 10:12 AM. That low held briefly as the market attempted another push and rose to 5688.00 by 10:33 AM, only to reverse lower yet again to 5633.00 at 10:54 AM—the session’s regular session low. From that low, the ES ignited a sharp reversal, gaining 88 points over the next two hours and tagging the session high at 5741.00 at 12:51 PM, a gain of 1.56% from the morning’s low.

That strong momentum began to cool in the early afternoon. A pullback to 5711.25 was seen by 2:03 PM, followed by a weaker bounce to 5728.75 at 2:42 PM. Another lower high formed at 5732.00 at 3:21 PM, failing to take out the midday top. Bears pressed the tape lower again into the final hour, reaching a low of 5682.50 at 3:57 PM before a mild uptick to 5693.25 by the 4:00 PM close.

The ES settled the regular session at 5686.50, down 2.25 points on the day or -0.04%. From Wednesday’s close of 5688.75, the Globex session had led with a 45.75-point rally (+0.81%), but most of that upside was given back during regular trade. The full session net change came to +41.25 points (+0.73%), with cleanup trade closing slightly lower at 5684.50.

The broader market tone showed indecision and exhaustion. While bulls managed a major midday reversal, they could not sustain the momentum into the final hour.

The MOC imbalance added bearish weight late in the day. At 3:52 PM, the MiM data showed a strong $2.712 billion imbalance to sell, with 71.2% of the notional flow on the sell side. The symbol imbalance came in at -53.9%, beneath the extreme threshold, but still indicative of broad-based weakness. This selling pressure corresponded with the sharp pullback from the 3:21 PM high to the 3:57 PM low.

Overall, despite an impressive midday rally, the session resolved into a lower high and closed near the bottom third of the day’s range. The inability to hold gains and the heavy MOC sell skew suggest a more cautious or bearish posture heading into Friday’s trade. Bulls will need to reclaim 5740+ convincingly to reestablish control.

How to read the MIM

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For Thursday, May 8, 2025

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Week Ending Friday, May 2, 2025

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Get instant access to our partners’ real-time market data and insights not available anywhere else. Here is last night’s Founder’s note getting you ready for today’s market and explaining the constraints in yesterday’s market. – MrTopStep

Founder’s Note:

Futures are +25bps with no major data scheduled for today. All eyes are on this weekends meeting with China.

Next week is CPI 5/13 & OPEX 5/16.

TLDR: For today, with no major news on the tape we think 0DTE traders will take another shot at pumping the SPX back into 5,700 (& SPY 570), taking the opportunity to harvest some vol into the weekend. VIA TRACE (below) we are already seeing more relative 0DTE positive gamma strikes (blue bars) than what we’ve typically seen, which should be supportive of equities. Short term implied vols are elevated for next week due to this weekends meeting, and CPI on 5/13.

Equities yesterday seemed poised for a break higher after a UK tariff deal, an apparent “green shoot” with China meetings this weekend, and Trump’s recommendation to “buy stocks”.

That intraday 1.5% rally faded sharply into the close, as it was unable to pass the light resistance of ~5,700 positive gamma – more specifically rejecting at SPY 570. That 5,700 area is also interesting as it marks the Liberation Day gap (red line).

What’s the best case with further green shoots out of this weekends China talks? The summary is that the major upside into next week seems to be capped in the 5,800-5,900 area, which is a light reduction from the 5,900-6,000 area we discussed pre-FOMC.

Diving in, with SPX we see several large positive gamma strikes at 5,900, and negative gamma (which helps propel upside), wanes sharply above that level.

Note that to the downside the GEX curve (blue line) portrays gamma as essentially flat into 5,500, and mildly negative below. This is a way of saying that there is not much downside SPX protection.

In SPY, we see one large positive gamma strike at 580, with positive gamma waning sharply above that level.

To the downside, contrary to SPX there are a lot of dealer short puts below, which we think spurs downside momentum into SPY 530.

With respect to vol, we feel compelled to note how quickly SPX realized vol (yellow) is declining, which validates implied vols (i.e. VIX, blue) bleeding lower. The 10-day realized SPX vol at ~16% backs out to ~1% daily SPX moves, and it feels unlikely to drop any further unless there is a deal which leads to the onset of positive gamma.

Under the hood things aren’t quite so stable. This is the daily SPX range, which is holding to a higher relative level. Think of yesterday’s session, for example, which closed flat vs the open but had an intraday range of +1%. The point here is that things not as calm as realized vol implies – and until material SPX positive gamma forms then it is hard to expect anything solid. This warrants, in general, owning options, and we continue to like playing short dated/weekly calls/call spreads vs long +1-2 month puts.

Aside from the index space, we are on Bitcoin Vol Watch. We’ve talked a lot about of Bitcoin vol lately, as it was so subdued in recent weeks as vol shot up in other assets. This morning we see BTC at +$103k, and the IBIT call skew has been increasing (highlighted below). This suggests that calls are rising in price relative to puts, but overall implied vol still seems to be low. We take this as a signal that BTC may simply warming up, and we don’t really want to be short of it until/unless the IV rank moves higher (to the area implied by yellow arrow). We note MSTR still plots to the lower center of this chart, and we are starting to see the X posts around “I put my life savings into MSTR/MSTY”…this could be a sign of higher IV’s ahead.

In this situation calls could make sense, or simply being long IBIT vs long puts (as put IV is low). At the moment we hesitate with using call spreads or short ratio trades, because if IV does spike with a BTC breakout we don’t want to cap “stock up, vol up” gains.

Get instant access to our partners real-time market data and insights not available anywhere else. Here is last night Founder’s note getting you ready for today’s market and explaining the constraints in yesterday’s market. – MrTopStep

Trading Room News:

Polaris Trading Group Summary – Thursday, May 8, 2025

Positive Trade Highlights

Key Market Observations

Lessons & Takeaways

Overall Market Flow

DTG Room Preview – Friday, May 9, 2025

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Disclaimer: Charts and analysis are for discussion and education purposes only. I am not a financial advisor, do not give financial advice and am not recommending the buying or selling of any security.

Remember: Not all setups will trigger. Not all setups will be profitable. Not all setups should be taken. These are simply the setups that I have put together for years on my own and what I watch as part of my own “game plan” coming into each day. Good luck!!

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