Gamma came back — and parked itself overhead

Yesterday's read was that the market had lost its shock absorber — net dealer gamma had gone negative on both majors, meaning market makers amplify moves rather than damping them. Into a jobs report, that mattered.

The print was taken well, and the hedging flow reversed hard:

A $2.2 billion swing on SPY in one session is not a small thing. On its own it says the amplification risk we flagged into the print is gone.

But net gamma is a total, and totals hide location. That was the whole lesson of yesterday's read, and it applies again in reverse — only this time the number is positive and the structure is still unhelpful.

The zero-gamma flip is where the cumulative gamma profile crosses zero. Spot below it means everything supportive is stacked overhead:

Notice how tightly SPY's flip (774.71) and call wall (775) sit together. That's a stacked barrier: the level where dealers switch from chasing to damping is the same level where the largest positive-gamma strike caps the move. Getting through 775 is a genuinely different market. Failing there is the base case.

The reaction was not uniform. QQQ +0.91%, IWM +0.66%, SPY +0.35%, DIA −0.03%. Growth and small caps took the print as a green light; the Dow didn't move at all.

And SPY has gone quiet since the gap. Its range so far is 770.62 to 771.28 — sixty-six cents, less than a tenth of a percent, against an expected move of ±0.60% for the day. The market gapped, then stopped. That's not a trend day forming; that's price parked under a level waiting to be resolved.

Volatility hasn't fully relaxed either. SPY's ATM IV is 16, but QQQ is at 29 and IWM jumped to 26. The index isn't pricing much; the risk assets underneath it still are.

Three of the four names that mattered exceeded their implied move, two of them by nearly double:

This is exactly the shape our 2,422-print earnings study describes. Across two decades, 24.3% of reports produce a move of at least 1.5× the implied — and last night three of four cleared it while the fourth came in at a third of what was priced. Both tails, one evening. That barbell is the reason "options overprice earnings" is true 57% of the time and still isn't a strategy.

We publish these before the open, so they're gradeable. Yesterday's three:

All three resolved on the constructive side, and ARM is doing exactly what a name above its flip with room to the wall is supposed to do — grinding toward the wall. Worth saying plainly though: this was a broadly green two days. Levels look prescient when the tape cooperates. The honest test is a day when it doesn't, and Thursday supplied one of those too — the below-flip names we flagged as "not dip-buys" mostly bounced.

The cleanest single-name reads on the board right now, by risk/reward to their own call wall: MRVL (flip 213.30, wall 240, R:R 6.5), CRWV (flip 89.04, wall 100, R:R 6.5 — but it reports Aug 11, so it isn't holdable through the print), and TSLA (flip 321.51, wall 330, R:R 3.3). Six names are below their flip, led by COIN at −2.69% and LRCX at −1.92%.

The jobs report removed the tail risk we flagged going in — dealer gamma swung $2.2 billion back to positive on SPY and the amplification setup is gone. That's genuinely good news and it's why everything is green. But the rebuilt gamma landed above the market, not under it, so what looks like support on a headline basis is functioning as a ceiling: SPY's flip at 774.71 and its call wall at 775 are the same barrier, and the first hour got 3.4 points short of it. Until that clears, this is a market that gaps and then sits. Trade the single names that are above their own flips, fade index strength into 775 rather than chasing it, and treat a clean hold above 775 as the signal that the whole picture changed — because with $1.5B of positive gamma underneath, it genuinely would have.