Macro Theme:

 

Short Term Resistance: 4,550 – 4,565 (SPY 455 Call Wall)

Short Term Support: 4,500

Risk Pivot Level: 4,500 – 4,515 (SPY 450)

Major Range High/Resistance: 4,565

Major Range Low/Support: 4,400

‣ A window of weakness may open with 7/19 VIX expiration, in through the following week which may result in a break <4,500

 

Founder’s Note:

Both ES & NQ futures are 25bps higher to 4,575 and 15,656, respecitvely. Resistance in the S&P is at 4,550 – 4,555 (SPX & SPY

Call Walls

). Support is at 4,515 (SPY450) – 4,500.

 

In QQQ we see resistance into 379/380, with 385 holding as our

Call Wall.

Support is at 375 & 370.

 

For today’s expiration we see 25% of total S&P gamma, and 30% of QQQ gamma expiring. This should serve to reduce overhead positive gamma, a force which, into this week, has been pushing volatility down.

You can see this reduced volatility plotted below in SPX realized volatility. As you can see, these volatility windows are at ~1.5 years lows across all time frames. While we do not anticipate this OPEX marking “the” low in volatility, we do think with will be a short term low, due to the OPEX dynamics we’ve been discussing (see here).

With our base case here calling for higher volatility, with expiration shifts feeding into a catalyst-heavy week. Therefore we think these ~50bps trading ranges are, in the short term, likely gone.

Upcoming Market Events

Friday, July 21 (before open): AXP and SLB earnings

Friday, July 21: Monthly opex

Tuesday, July 25 (still at an unspecified time): MSFT, GOOGL, V, MCD, and UPS earnings.

Wednesday, July 26 (2pm EST): Fed Interest Rate Decision

Wednesday, July 26 (8:30am EST): GDP

Wednesday, July 26 (before open): Earnings for BA and KO. After close: Earnings for META.

Thursday, July 26 (still an unspecified time): AAPL, AMZN, INTC, and MA earnings.

We are assigning edge to a probe lower here, into the 4,400’s. Clearly some of the above events will spark shifts in direction, with, as said above, less gamma to stifle volatility.

If the S&P does break <4,500 we look for a test of 4,400, which we believe is a strong support line. The top of our range is currently with the 4,550 SPX

Call Wall

– 4,565 (SPY

Call Wall

). Should those

Call Wall

s roll higher, the top of our range would, too, and we would flip to bullish on a break >4,565.