Futures are higher to 3940 ahead of today’s expiration. Volatility estimates continue to hold at 1.2% (open/close) and we anticipate this changing for Monday due to the roll off of put positions. Resistance is at 4000-4015(SPY 400). Support shows at 3950 then 3900....

Futures are down to 3882 which is up from overnight lows of 3850. Volatility estimates are set to remain high, with SG at 1.2% (open/close range) and the VIX pricing 2% SPX daily moves. Resistance shows at 3920 & 4000. Support shows at 3825. We had opined that the...

Futures are down slightly to 4055 ahead of the 9AM ET VIX expiration. Our volatility forecast remains again in line with recent estimates: SG 1 day implied move:1.2% with a VIX 1 day implied move of 1.5%. Resistance shows at 4100 SPX then 4115 (410 SPY). Support...

Futures are markedly higher to 4075. Volatility estimates remain the same as the past several days: 1.2% for SG estimates and a VIX implied 1.75% move. Resistance is at 4095 followed by 4115 (SPY 410). Support shows at 4015 (SPY 400). Note that Powell speaks today at...

Futures are trading near 4000 after a fairly quiet overnight session. SG’s volatility estimates comes in again at 1.22% (open/close) with the VIX pricing in a 1.8% SPX move. Our key “pivot” line is 4000 with resistance at 4100. Support shows near 3950, then 3921. Also...

Futures are markedly higher, trading to 3984. Our volatility estimates, and the markets vol pricing, remain unchanged with SG implied move at 1.2%, and VIX implying a 2% SPX 1 day move. First resistance is at 4000-4015(SPY 400 equivalent), and then 4200. Support lies...

Futures are at 3900, down nearly 1% from the cash close. Volatility estimates remain in line with the last several sessions. We look for resistance at 4000, with support at 3900 then 3865. We’re now well below 4000, and into that “purely put” territory (see...

Daily Note: Futures are at overnight highs of 4040 ahead of this mornings CPI report (8:30AM ET). Volatility estimates have not shifted, with SG having an implied move of 1.2% vs VIX implied move of 2.08%. Resistance is at 4100, support is at 4000. The open interest...

Macro Theme: A break of $4,200 invokes our “lower bound” concept We see substantial, longer-term support at $4,050 due to large open interest at $4,000. A break of $4,000 invokes “capitulation” risk 5/20 is a critical date for markets due to a large expiration Daily...

Macro Theme: A break of $4,200 invokes our “lower bound” concept We see substantial, longer-term support at $4,050 due to large open interest at $4,000. A break of $4,000 invokes “capitulation” risk Daily Note: Futures have dropped to 4035 from overnight highs near...

Macro Theme: $4,300 (Vol Trigger) is our key resistance line into Friday 5/6/2022. A break of $4,200 invokes our “lower bound” concept We see substantial, longer-term support at $4,050 due to large open interest at $4,000. A close over $4,300 signals an extended rally...

Macro Theme: $4,300 (Vol Trigger) is our key resistance line into Friday 5/6/2022. A break of $4,200 invokes our “lower bound” concept We see substantial, longer-term support at $4,050 due to large open interest at $4,000. A close over 4300 signals an extended rally...