Macro Theme:

Short Term Resistance: 4,500

Short Term Support: 4,450

Risk Pivot Level: 4,500

Major Range High/Resistance: 4,600 SPX Call Wall

Major Range Low/Support: 4,400

‣ The first week of Sep (post Labor Day holiday) is likely lead to lower Index IV’s which supports stocks into 9/11.*

‣ Entering into the week of 9/11, there are a litany of catalysts including: CPI (13th), big Sep OPEX (15th), VIX Exp & FOMC (20th). *

‣ While we have no particular reason to be bearish, we note that a strong rally into OPEX/VIX Exp would certainly clear up the downside “padding” that we’ve been enjoying (and discussing) over the last few weeks. This could make downside into end of September/October “more available”. Traders looking to hedge may want to therefore consider put positions before the 13th.*

*updated 9/5

Founder’s Note:

Futures are off 25bps to 4,445. Support for today is at 4,425 & 4,400. Resistance above is at 4,450, then 4,500. Our implied move remains tight at 0.61%.

For QQQ support remains at 370, with resistance above at 374.

The story is much the same as yesterday: both SG models and the options market continue to anticipate quiet sessions today through Wednesday’s CPI. Given that, our anticipation for today is that markets will be buoyed by the lack of volatility (+ weekend) translates into a light vanna + charm tailwind.

To the point on low IV, below is the VOLI index, which measures 30 day ATM SPY IV. As you can see, we’re sitting at relative lows which can be construed as anything from low hedging demand (either not needed or not wanted), and/or speculators not seeing much downside.

Whether or not the complacency is warranted is up for macro pundits, but it does seem that traders have enjoyed a rather long period or relative calm. Shown below is a chart from GS (via TME): “91 is the number of trading sessions since at least a 1.5% sell off session in SPX. This length of time without a 1 day equity shock is rare … has happened ~five times in the last 15 years.” As we’ve been flagging the bears have a great shot to break this streak over the next 1-2 weeks.

While index flows are anemic, there are a few interesting single stock movements.

AAPL, for one, is down sharply this week (-6% from $190), but all that move did was take it back to its “pre-JOLTS” level of 2 weeks ago. The stock has found support at its largest gamma zone of $175-180 (red box), and that gamma should hold into next weeks expiration. We’d also note that despite the negative headlines, put demand has not increased much, as we see put positions rather limited <$170 (green box). While a “macro shot” could come next week, we see little reason for AAPL to decline further over the next several sessions due to the sticky gamma, and lack of downside demand.

Its a similar story for NVDA, which was recently rejected hard from the massive $500

Call Wall,

and has now settled back to its pre-JOLTS levels of ~$460. NVDA does have ~1/3 of its gamma position expiring today (vs 17% for AAPL), and this may create a bit more “local volatility” for today, but we anticipate the stock holding around the $460 area into next week (red box).

Again, while bears are really hyping the heavy downside moves in these names, its really just a story of mean reversion (back into the large gamma zones) from the vanna fueled JOLTS jump of 8/29.