Macro Theme:

 

Short Term SPX Resistance: 5,265 (SPY 525 Call Wall)

Short Term SPX Support: 5,200

SPX Risk Pivot Level: 5,200

Major SPX Range High/Resistance: 5,300 (SPX Call Wall)

Major SPX Range Low/Support: 5,000

• For the week of 5/13 we see several catalysts, which should lead to expanding volatility:
• 5,260 is all-time SPX highs, and a major gamma bar at SPY 525. This is resistance into 5/15 CPI.
• 5,300 is our target max high into Friday OPEX, 5/17.
• 5,200 is major short term support. A break <5,200 pushes the S&P into a more fluid, risk-off zone, with 5,100 becoming the short term downside target.

• 5/22 NVDA earnings, which follows 5/17 OPEX, should be a final major turning point for equities.

*updated 5/13

 

Founder’s Note:

ES futures are flat at 5,246. NQ futures are flat at 18,298.

Key SG levels for the SPX are:

• Support: 5,215, 5,200
• Resistance: 5,250, 5,264, 5,275, 5,300
• 1 Day Implied Range: 0.58%

For QQQ:

• Support: 442, 440, 430
• Resistance: 445, 450

IWM:

• Support: 202, 200
• Resistance: 210

PPI at 8:30AM ET. Powell speaks at 10:00 AM ET. 42 Day & 52 Week Tbill auctions 11:30AM ET.

After an extended stretch of relative calm, equities will now start to receive a series of triggers, including PPI + Powell this AM, followed by CPI tomorrow AM.

Major indicies (S&P, Nasdaq, Russell) are currently staged at fairly neutral levels, with solid support below, and

Call Wall

targets 2% above.

For the S&P today, we see major resistance for today at 5,250 & 5,265 – a level which lines up as both the SPY

Call Wall

(525) and all-time SPX highs. Should PPI + Powell come off as bullish today, a low CPI tomorrow could be a final trigger to 5,300.

To the downside, bulls need to see 5,200 hold. If 5,200 gives way, we see a pocket of negative gamma which may allow the S&P to fall quickly towards 5,100. Implied volatility would likely jump in kind.

5,300 is forming as a large overhead strike, which is why it is the top of our range into 5/17 OPEX. To the downside, you may note that S&P options positions (orange & blue bars) are much smaller relative to near-the-money strikes. This lack of positioning forms the air pocket that we see <5,200.

Zooming in on implied volatility, we see short dated IV’s have rapidly increased due to the incoming data points, but trails off sharply out in time (red arrow). As discussed yesterday, this seems to be traders hedging tail prints with 0DTE style options, but not seeking to own material, long dated put protection. For this reason, if upcoming data points are neutral to bullish, event vol (that small short term risk in IV’s) quickly flattens, which gives the S&P a boost up in to the 5,265 – 5,300 resistance area.

Hot inflation print(s) and/or hawkish rhetoric from Powell runs the risk of triggering an April style decline, which is why we would seek to own put protection and/or VIX calls on a break <5,200.