Macro Theme:

Short Term SPX Resistance: 4,550 Call Wall

Short Term SPX Support: 4,475

SPX Risk Pivot Level: 4,400

Major SPX Range High/Resistance: 4,450

Major SPX Range Low/Support: 4,200

‣ We anticipate the equity market high being Wednesday AM 11/15, with consolidation happening into & around 11/17th (Equity OPEX).

‣ This would clear the way for a final, year end rally. 4,600 is our current upside target, following the major CPI rally.*

*updated 11/15

Founder’s Note:

ES Futures are higher to 4,529. Key SG levels for the SPX are:

• Support: 4,500, 4,473, 4,450
• Resistance: 4,527, 4,550
• 1 Day Implied Range: 0.66%

In QQQ, resistance is at 390, with support at 379 & 375.

TLDR: Today is the VIX expiration at 9:30AM ET, an event which we think opens a window of weakness/consolidation for equities. We have been watching for the VIX expiration specifically to mark a short term high in ES futures, which is interesting given the bid to ES this morning (ES +44bps). Key downside support levels over the next several days are now 4,500, 4450 and 4,400. Resistance is 4,550 & 4,600.

Yesterday’s 2% SPX rally was triggered by a CPI, leading to a massive drop in US rates, with the 10Y, for example, dropping from 4.62% to 4.48%. This was turbocharged by massive amounts of

call volumes

. In fact, there were single day call volume records set in both IWM (1.4mm calls traded) & SPX (2.05mm calls).

Interestingly, it was the lowest SPX 0DTE volume since June 15th.

June 15th was a day with a large SPX rally, which marked a short term top. We’ve also marked the last 7 VIX expiration with black lines. As you can see, the SPX traded lower immediately after last 6 VIX expirations in a row. Here are intraday charts from July, and October. Given these factors, we again anticipate equity consolidation here.

Now, turning to the bigger picture, we have some explaining to do. In yesterday’s note we outlined that we thought today would mark a local SPX top, which would lead to consolidation into the 4,300’s. This would then setup a final Santa Rally into 4,500-4,550. This topping area was based on where we saw max call interest for Dec OPEX. The issue here is that there was some new interest added up to 4,600, but as you can see below the

call gamma

(orange) drops sharply >4,600. 4,600 also marks this years high, from the end of July.

In this case, people are clearly bidding up those upside calls as is implied in the SPX DEC OPEX skew, below. This bid is seen through pink line being above the gray line, which shows a higher relative IV for +5% OTM strikes. This should, in theory, add to equity volatility (in both directions).

It also suggests to us that there was too much “chase” yesterday, and that this “stocks up, vol up” dynamic could aid in some market consolidation over the coming days. If the equity market does consolidate here, that would give us some breathing room to an ultimate upside target of 4,600 into Dec OPEX.

We also note some stickiness in the Mag 7

Call Walls

, with only 3/7 seeing higher

Call Walls

: META, TSLA and AMZN.

Further, Friday’s OPEX is now massively imbalanced to the call side (purple), as shown below. In fact, this

call delta

figure is ~30% higher than it was yesterday morning (pre-CPI). This call imbalance, in our view, further backs the idea of equity consolidation over the next several sessions as dealers unwind short call hedges.