Macro Theme:

Short Term SPX Resistance: 5,115 (SPY 510)

Short Term SPX Support: 5,000

SPX Risk Pivot Level: 5,000

Major SPX Range High/Resistance: 5,115 (SPY 510)

Major SPX Range Low/Support: 4,800

‣ 5,100-5,115 (SPY 510) is the likely high into next weeks 5/1 FOMC. We think 4,975 – 5,000 will remain as major support in through FOMC.*

‣ Post-FOMC price levels:

• We see a large gap in support from 5,100 to 5,000. Volatility likely remains elevated for several weeks should this gap fill.
• Upside resistance is at 5,150, then 5,200. Realized vol likely declines sharply following an initial move higher.

*updated 4/24

Founder’s Note:

ES -15bps to 5,139. NQ futures -20bps to 17,875.

Key SG levels for the SPX are:

• Support: 5,100, 5,050
• Resistance: 5,115 (SPY 510), 5,125, 5,150
• 1 Day Implied Range: 0.61%

For QQQ:

• Support: 430, 425
• Resistance: 433, 438

IWM:

• Support: 195, 190
• Resistance: 200, 201, 205

AMD, AMZN & SMCI report after the close, tonight.

The SPX 5,100

Call Wall

– SPY 510 (SPX 5,116) proved to be the risk-range yesterday, and we think it will serve as a similar resistance/pinning range today. We do see a zone of negative gamma from 5,100 down to 5,000 (which means price can move quickly through that area), but we do not think thats in play for today.

Yesterday we highlighted SPY 510 as the major strike on the board, and we do so again this morning as it grew in gamma-size yesterday, due to decay factors + additional OI. However, a sneaky ~20% of SPY gamma expires tonight, which is month end. While 20% is not huge, it is fairly concentrated, as you can see below. This again suggests that “pinning” in likely in play again today, and then tomorrow we have FOMC & Yellen. Combine the expiring gamma with catalysts and you get a recipe for movement.

Yesterday the pundits focus resorted around the Treasury Refunding, with many lobbing in various equity implications. And while, yes, the SPX dropped a quick 50bps on that 3pm announcement (see chart at top), the forces of mean-reversion (gamma, 0DTE) quickly moved price back to SPY 510.

And, while we don’t have an informed opinion on treasury announcements, we can say that SPX IV’s did not care about the Treasury data. Shown below is 1-month SPX skew from Friday’s close to this morning, and you can see that IV’s are essentially unchanged. Not only that, puts prices are pretty low.

Consider the 1-month ~25 delta puts (highlighted in the chart) – they trade at a scant 14.5% IV (thats with FOMC tomorrow!)

Recall ~2 weeks ago when the SPX was near 5,000, those same puts (i.e. 25 delta) were at an 18.5% IV.

To be objective, upside strikes have a fairly low IV, too, given the cadre of catalysts lined up not only in FOMC (2pm ET, tomorrow), Treasury (8:30AM ET, tomorrow), but also month-end, and a slug of earnings.

This all implies that traders may want to position long gamma into this week, as opposed to positioning against market movement.

Because the treasury statements are tomorrow pre-open, traders may want to position before today’s close. Below is the map from yesterday, and we highlight a gamma-gap from 5,100 down to major support of 5,000. To the upside we see some resistance around 5,150, with a larger set of resistance at 5,200. The upside may be played with short dated call flies, centered around 5,150 – 5,200. For the downside we like 5,000 area put spreads, with a longer tenor (>=1 month).

We suggest put spreads (or even calendars) as the FOMC, even though IV’s are low, likely carries some event vol, and so carrying a short leg against the long may help to offset some of that cost.

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