Options Dealers Are Positioned to Dampen the S&P and the Nasdaq. The Russell 2000 Is the One Index They Are Still Positioned to Amplify.

By Kresmion Research, July 1, 2026

As the second quarter closed, options dealers were positioned to dampen moves in the S&P 500 and the Nasdaq 100, but to amplify them in the Russell 2000. That split is the story.

This note describes what Kresmion's dealer gamma model reads across the major US equity indexes and how that positioning shapes near term volatility. It is not investment advice, a price forecast, or a recommendation about any asset.

Key takeaways

The one index that did not follow the advance

US stocks closed the first half of 2026 with the strongest quarter for the major indexes since the 2020 rebound and the Dow at a record (TheStreet, June 30, 2026), with the VIX holding in the high teens, at 17.65 as of the June 29 close (CBOE VIX, FRED series VIXCLS). On the surface that reads as broad calm. Under the surface, the way options dealers are positioned tells a more divided story, and it is a story that only shows up when you look across indexes at the same time.

Kresmion tracks dealer gamma, the aggregate options exposure that market makers have to hedge as prices move. When dealers are net long gamma, their hedging leans against the move: they sell into strength and buy into weakness, which tends to compress ranges and pin price. When dealers are net short gamma, their hedging goes with the move: they buy into strength and sell into weakness, which tends to widen ranges and speed up moves. The dividing line for each index is its zero gamma level, the price at which dealer gamma flips sign.

On June 30 the two large cap indexes sat on the calming side of that line. SPY, the S&P 500 ETF, showed net dealer gamma of plus 1.89 billion dollars per one percent move, with spot at 746.77 just above its 744.77 flip. QQQ, the Nasdaq 100 ETF, showed plus 1.83 billion, with spot at 736.40 well above its 721.41 flip. IWM, the Russell 2000 ETF, showed minus 0.48 billion, with spot at 300.45 sitting below its 302.78 flip line. Of the thirteen names Kresmion tracks for gamma, IWM was the only major index ETF in negative territory, and the single most negative name in the set (source: Kresmion options_gamma_exposure, June 30, 2026).

The plain reading: as the quarter ended, dealers were positioned to dampen moves in the S&P 500 and the Nasdaq 100, and to amplify them in small caps.

Why the calm and the fragility can sit side by side

The mechanism is the same in both places, only the sign is different. A dealer who is short gamma has sold options that get riskier as the underlying moves, so to stay hedged the dealer has to chase the price: buy more as it rises, sell more as it falls. That chasing adds fuel to whatever direction the market is already going. A dealer who is long gamma does the opposite and leans against the move, which is why a positive gamma index tends to grind and pin rather than lurch.

That is why a low headline VIX and a fragile pocket are not a contradiction. The S&P 500 and the Nasdaq 100 being back in positive gamma is itself part of why the tape feels quiet: the dominant dealer flow in the largest, most heavily traded index options is currently a stabilizer. The Russell 2000 does not have that cushion right now. The same one percent shock that a positive gamma dealer book would help absorb in large caps is, in small caps, something dealers would have to hedge in the same direction as the move.

There is a second, independent read that points the same way. Kresmion's CFTC positioning data through the June 23 Commitments of Traders report shows large speculators still net short Nasdaq 100 futures, at a z score of about minus 1.9 versus the trailing year, and still net short S&P 500 futures in absolute terms (CFTC Commitments of Traders). That S&P 500 short kept draining through the end of June to a one year low, which Kresmion followed in a later note on how speculators covered almost all of it. Positioning and dealer gamma are different data sets built from different participants, and neither is describing an euphoric, all clear market. That does not make the gamma split a hard multi source signal, but it does argue against reading the quarter end melt up as uniform conviction.

The counter evidence

The honest caveat is that this divergence is days old, not a month long structural regime. For most of the past week all three indexes were on the same side of the line. On June 27 and June 28, SPY dealer gamma was around minus 11 billion and QQQ around minus 4 billion, both deeply negative, both below their flips, right alongside IWM. What changed is that the late June advance lifted the S&P 500 and the Nasdaq 100 back above their own zero gamma levels, while the Russell 2000 was left just below its line. So the correct framing is not that small caps are chronically fragile and large caps are chronically safe. It is that the last leg of the advance reclaimed the stabilizing regime for the big indexes and has not yet done so for small caps.

A second caveat is on magnitude. Kresmion began tracking dealer gamma across these names only four sessions ago, so there is no long history to say how unusual any single reading is. That is why this note leans on the cross section, where IWM is the clear outlier today, rather than on a percentile or a sigma the data cannot yet support. And gamma is dynamic: it is a daily snapshot that can flip as price moves and as new options are opened and closed, so the read is only as current as the next close.

What would confirm or break the pattern

This is a positioning observation, not a prediction. The specific, observable thing to watch is each index versus its own flip line. If IWM climbs back above roughly its 302 to 303 zero gamma area, it re enters the stabilizing regime and the divergence closes on its own. If instead SPY falls back below roughly 745 or QQQ below roughly 721, the large cap cushion disappears and the whole complex is back in negative gamma together, which is the opposite of a small cap only story. Either move would show up in the next daily gamma snapshot, and either would tell you the setup has changed. For context on how these regimes tend to behave, see the Kresmion learn library and the methodology page.

Frequently asked questions

What is dealer gamma and why does it matter for volatility

Dealer gamma is the aggregate options position that market makers hold and must hedge as the underlying price moves. When dealers are net long gamma they hedge against the move, selling strength and buying weakness, which tends to compress volatility. When they are net short gamma they hedge with the move, which tends to amplify volatility. The zero gamma level is the price where that exposure flips sign, so whether spot is above or below that line tells you which regime an index is in.

What did Kresmion actually observe on June 30, 2026

Across the thirteen names Kresmion tracks for gamma, the Russell 2000 ETF (IWM) was the only major index in negative dealer gamma, at minus 0.48 billion dollars per one percent move, with spot at 300.45 below its 302.78 flip line. The S&P 500 ETF (SPY) and the Nasdaq 100 ETF (QQQ) had both moved back above their flip lines into positive gamma, at plus 1.89 billion and plus 1.83 billion. IWM had been below its flip on all four tracked days.

Does negative gamma mean small caps will fall

No. Negative dealer gamma is direction neutral. It means dealer hedging tends to amplify whatever move happens, up or down, rather than dampen it. It describes the character of potential moves, not their direction, and it is not a buy or sell recommendation.

Why does a low VIX not rule out fragility

The VIX measures expected volatility on the S&P 500, which is exactly the index where dealers are currently positioned to dampen moves. A positive gamma regime in the largest index options is part of what keeps that headline number low. It says little about a smaller index like the Russell 2000, where the dealer cushion is currently absent.

What would change this read

Watch each index against its own zero gamma line. If the Russell 2000 ETF reclaims roughly its 302 to 303 area, the divergence closes. If the S&P 500 or Nasdaq 100 ETFs slip back below their own flip lines, the whole complex re enters negative gamma together and the small cap distinction goes away. Because gamma is a daily snapshot, the picture is only current as of the latest close.

Sources

• Kresmion proprietary data, as of June 30, 2026: dealer gamma exposure across 13 major US equity ETFs and single stocks (options_gamma_exposure), and CFTC Commitments of Traders speculative positioning (cot_reports).
• TheStreet, US market close, June 30, 2026. https://www.thestreet.com/stock-market-today/stock-market-today-dow-jones-sp-500-nasdaq-updates-june-30-2026
• CBOE Volatility Index (VIX) daily close, FRED series VIXCLS. https://fred.stlouisfed.org/series/VIXCLS
• U.S. Commodity Futures Trading Commission, Commitments of Traders. https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm