NoVo Analyst · Pre-Market Primer

BOTTOM LINE: The SPY enters the session with a tactical bullish bias as a highly supportive June CPI print triggers an immediate pre-market trend reversal, offsetting ongoing geopolitical energy friction ahead of the cash open. THE SETUP The macro backdrop experienced a sudden shift this morning as the June Consumer Price Index reported headline inflation cooling by 0.4% month-over-month, its largest single-month decline since April 2020, while core CPI remained flat at 0.0%. This disinflationary surprise sparked an aggressive pre-market short-covering rally, driving the SPY up +0.21% and allowing buyers to reclaim both the overnight session VWAP and prior daily close. While escalating military clashes in the Strait of Hormuz have pushed Brent crude back toward $87 a barrel, the soft inflation print provides a strong counterweight just as Federal Reserve Chair Kevin Warsh begins his debut congressional testimony. Traders should expect an active, high-volume opening range as the market balances this fresh policy relief against persistent geopolitical risk. DEALER POSITIONING The options market is operating in a negative gamma regime with net GEX at -$305M, a structural state where market makers must hedge by selling into weakness and buying into strength, which mechanically expands intraday moves. The critical pivot point is the Zero-Gamma flip level at $751.19; with the SPY gapping just below this threshold, any sustained push above it will trigger rapid dealer buying to cover short hedges, accelerating upward momentum. Under the surface, the broader options book shows a net-short delta tilt that remains sensitive to volatility compression, meaning that if the VIX continues to soften post-CPI, passive dealer buying (vanna) will provide an underlying lift to the tape. LEVELS TO WATCH For buyers to confirm this pre-market trend shift and transition the daily structure from a bear-market rally to a sustained expansion, they must reclaim and accept price above the Zero-Gamma flip level of $751.19. Doing so targets the pre-market high of $754.24, with room to run toward the major call wall at $757.00. Conversely, if early cash trading rejects at $751.19, sellers will maintain mechanical control. A break back below the pre-market low of $747.37 will invalidate the bullish morning thesis, exposing the primary structural support at the major put wall of $745.00. DEALER POSITIONING MAP · SPY / QQQ / SPX Vol environment: VIX 16.8 — 45th percentile of the past year (normal vol). SPY $750.76 Net GEX: -$305M · negative — dealers amplify moves (moves extend) Zero-Gamma (flip): $751.19 Gravity (magnet): $749.09 Call Wall: $757.00 Put Wall: $745.00 Expected move: ±$7.38 (±1.0%) today · ±$17.80 (±2.4%) this week Put/Call skew: +4.1 vol pts · puts bid — downside hedging demand MM skew · fast +4.1 / slow +3.4 vol pts · near-term fear building vs the baseline ATM IV: 15.6% QQQ $719.38 Net GEX: -$181M · negative — dealers amplify moves (moves extend) Zero-Gamma (flip): $721.10 Gravity (magnet): $710.42 Call Wall: $720.00 Put Wall: $705.00 Expected move: ±$10.95 (±1.5%) today · ±$27.66 (±3.9%) this week Put/Call skew: +7.5 vol pts · puts bid — downside hedging demand MM skew · fast +7.5 / slow +6.4 vol pts · near-term fear building vs the baseline ATM IV: 24.2% SPX $7,510.22 Net GEX: -$5.6B · negative — dealers amplify moves (moves extend) Zero-Gamma (flip): $7,527.42 Gravity (magnet): $7,496.42 Call Wall: $7,565.00 Put Wall: $7,500.00 Expected move: ±$78.70 (±1.1%) today · ±$178.04 (±2.4%) this week Put/Call skew: +3.3 vol pts · puts bid — downside hedging demand MM skew · fast +3.3 / slow +3.5 vol pts · term structure flat ATM IV: 16.6% Zero-Gamma = where dealer hedging flips from dampening to amplifying moves. Call/Put Walls = the largest call/put gamma strikes (pin / resistance above, support below). Expected move = the ±1σ range priced into at-the-money options. Public options data — analysis, not signals. FLOW DYNAMICS Charm — in a negative-gamma regime, decay doesn't pin; moves can extend into the close. Vanna — with dealers short gamma, a drop in vol would ease the amplification and let the tape settle. Second-order dealer flow — context, not a signal.