Short Term Resistance: 4,550

Short Term Support: 4,450

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

Major Range High/Resistance: 4,600 – 4,615 (SPY 460/SPX 4,600 Call Wall(s))

Major Range Low/Support: 4,400

‣ Thursday 8/10 CPI may spark a directional trend from 4,500 into August 18th OPEX*

‣ The bullish case remains intact with SPX >=4,500 and we hold a current upside target of major 4,600 resistance*

‣ Current positioning suggests 4,400 would be a major low*

*updated 8/8

 

Founder’s Note:

Futures are 25bps higher to 4,530. Major levels are unchanged, with resistance at 4,510 then 4,550. Support shows in a cluster below: 4,500, 4490, 4481 then 4,463 – this clustering is fairly unique. Our volatility estimate contracted vs yesterday, with a max open/close range of 71bps.

In QQQ levels are again unchanged: support at 370

Put Wall,

with resistance at 375-376, then 380.

 

Yesterday was again a very high volume SPX 0DTE day, with 52% of volume tied to yesterdays expiration. The record high, of which there has been a few instances, is 53% (per yesterdays note).

Very little has changed overnight, and with that our expectations are unchanged. 4,500 – 4,510 (SPY 450) remains the focal point as we await tomorrows CPI data & jobs data. And, to be clear on this data, its relevant to our work as there is a decent amount of relative event volatility linked to these prints. Like most data prints, odds are the data comes in near expectations, and volatility contracts which is a tailwind for equities. A bad print obviously shifts volatility higher which helps to pressure equities lower.

In regards to today, what strikes us is both those clustered support lines, and the lack of resistance levels from 4,510 – 4,550. If IV’s break lower one should respect an SPX move up towards that 4,550 level. Conversely we do not see a clean path to push meaningfully lower due to those packed support lines <4,500.

As per recent notes, we believe that the options market is not positioned to influence a large equity drawdown. One of the elements of a stable market is liquidity, and one of the interesting sources re:liquidity comes from the CME liquidity tool (from Aug ’21 to present). Here we can see the top of book size available in ES futures. Liquidity appears to be high and stable relative to the lows around April and June of ’22, which we read as another notch to stabilize volatility.