Macro Theme:

Short Term SPX Resistance: 4,568

Short Term SPX Support: 4,550

SPX Risk Pivot Level: 4,500

Major SPX Range High/Resistance: 4,600

Major SPX Range Low/Support: 4,200

‣ IV levels are anemic (~8%), which suggests that a pop higher in IV/equity downside is due. A break of 4,500 is our “risk off” level.*

‣ 4,600 is our current max upside target, as call positions are not yet building above that level.*

‣ We recommend expressing longs in RUT/IWM or Mag 7 vs SPX/SPY into year end, due to upside options positioning.*

*updated 11/22

Founder’s Note:

ES Futures are flat at 4,555. Key SG levels for the SPX are:

• Support: 4,550, 4,514 & 4,500
• Resistance: 4,578 & 4,600
• 1 Day Implied Range: 0.76%

In the QQQ,

Call Wall

resistance remains at 390, with support at 385 & 383.

Little has changed in data over the last several sessions, and therefore our stance remains the same as Friday (please read if you missed it):

1. Upside positioning is still maxed out at the 460SPY/4,600SPX level
2. Our Vol Trigger “risk off” level remains at 4,500
3. Implied Volatility is pressed down into a lower bound, which elevates jump risk

The above suggests an overbought condition, which has us looking for a retest of the 4,500 level.

Looking forward there are no major expirations to change positioning, and there doesn’t appear to be any potentially significant data points until later this week, with GDP on the 29th, PCE on 30th & Powell on Friday.

The key forward time is Dec 13th FOMC & Dec 15th OPEX. Dec 15th OPEX, shown below, is a massive expiration and the positions associated with this expiration should start to heavily impact markets as we shift into December. There is little decay/drift to pull markets higher at this point, due to the stalled out

Call Walls

& very low implied volatility. That does not mean that markets have to crash from this position, its just that bullish options forces are at this point tapped out.

We also see

Call Wall’

s stagnant with the Mag 7 names, with Walls generally unchanged for the past week:

• MSFT 380 (shown below)
• GOOGL 140
• AMZN 150
• NVDA 500
• AAPL declining from 195 to 187.5
• TSLA is flickering between 240 & 250
• META is the only Wall shifting higher, to 350

This data further supports the idea that buyers are, at least in the short term, exhausted. If/when

Call Walls

resume rolling higher we would be open to higher equity prices, until then we again look for stock consolidation.