Macro Theme:

 

 

Short Term SPX Resistance: 4,600

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.*

*updated 11/30

 

 

Founder’s Note:

ES Futures are higher at 4,585. Key SG levels for the SPX are:

• Support: 4,550, 4,515, & 4,500
• Resistance: 4,576, 4,590, 4,600, 4,613
• 1 Day Implied Range: 0.65%

In QQQ, support holds at 385, 383 & 380. Resistance is at 390.

For IWM, the

Call Wall

resistance remains at 190. Support is now 185, then 180.

Painfully little has changed on the index front, with major levels across S&P/Nasdaq/Russell unchanged.

As we can see with SPX term structure, there is little volatility being priced in over the next several sessions, with near-term IV’s in the 10% area. This level of IV implies ~65bps daily SPX moves, and confers the idea that we shouldn’t shift from playing mean reversion and tight trading ranges for today.

One of the interesting aspects of recent trading has been the reversal of market-leading Mag 7, and simultaneous “dash for trash” (i.e. non profitable tech & memes). The spread is seen in the plot below from GS (via ZH), showing a particularly sharp change in performance over the last few weeks.

This reversal times with the major stalling of Mag 7

Call Walls

highlighted back on 11/27. We can see that GOOGL, NVDA & META in particular, are lagging.

We’re now seeing some evidence that the downside is stalling out, based on large options levels. Shown below are major levels for GOOGL, and we can see that the $130 area is the largest gamma strike, and that is not changing despite being tested over the last few sessions. This, we think, shows major support. Further its January that contains the most gamma, which implies that this $130 support area may not change in the short term. There is a similar phenomenon with the other Mag 7’s – the exception being NVDA which has a lot more gamma expiring on 12/8.

The point here, is that these lagging names may again be interesting longs after a brief period of consolidation, and with the Indexes stuck in heavy gamma.