Short Term Resistance: 4,565 (SPY 455 Call Wall)

Short Term Support: 4,500

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

Major Range High/Resistance: 4,600

Major Range Low/Support: 4,300

‣ We look for low volatility on Monday, 7/17 & Tuesday 7/18 which supports the 4,500 level

‣ A window of weakness may open with 7/19 VIX expiration, in through the following week which may result in a break <4,500

Founder’s Note:

We’d like to apologize for the slightly delayed note this morning. Unfortunately we were having some technical problems that delayed its release. Rest assured that we will make sure this does not happen again.

ES futures are flat at 4,588, however NQ futures are down 75bps to 15845 after TSLA & NFLX disappointed on earnings. Key SG levels remain largely the same, with first resistance above at 4,565 (SPY 455) & 4,575. The top of our trading range is the 4,600 SPX

Call Wall.

Support below is at 4,550, followed by 4,538 and 4,525. Our models are still forecasting tight trading ranges of ~80bps on an open/close basis. This open/close range has yet to be violated this week.

Further, we continue to look for a retest of the 4,515-4,500 range.

In QQQ the

Call Wall

persists at 385 – over that level we view the Q’s as overbought. Support below shows at 382 & 380. Below 380 we look for a test of 370.

While our models are still anticipating low volatility, we have entered into the time period wherein we anticipate less equity support. This is because the positions which have been supporting equities are/will be reset.

First was the VIX expiration yesterday, wherein the VIX 9:30AM settlement was at the VIX weekly low in price. As you can see below the VIX pushed higher following that print.

Coming up with Friday’s expiration are large calls rolling off, as shown here with

call delta

by expiration in orange, and

put delta

in blue. Whats remarkable about this expiration is that is is large in size for a monthly OPEX, and it is very call-sided. As we discussed yesterday, the market often mean reverts after OPEX, which could lead to consolidation next week.

On the single stock side, we note first support for TSLA at 280, however we see more material support at the 270

Hedge Wall.

For NFLX we see first support at 450, with more material support at 420.