Macro Theme:

Short Term SPX Resistance: 4,800

Short Term SPX Support: 4,700

SPX Risk Pivot Level: 4,700

Major SPX Range High/Resistance: 4,800

Major SPX Range Low/Support: 4,500

‣ We look for higher volatility (i.e. more market movement) starting this week (12/18), out of the huge 12/15 OPEX.*

‣ 4,800 is our current max upside target, due to a Call Wall shift on 12/19. Call Walls in QQQ/IWM are at 410/200.*

‣ A downside break of 4,700 is our interim “risk off” level.*

‣ January OPEX is setting up to be a major event, with a risk that expiring large long call positions could pull markets lower mid to late January.*

*updated 12/19

Founder’s Note:

ES Futures are higher to 4,800. Key SG levels for the SPX are:

• Support: 4,726, 4,700, 4,659
• Resistance: 4,750, 4769, 4,800
• 1 Day Implied Range: 0.8%

The SPX

Call Wall

has rolled higher to 4,800. This is a bullish signal.

QQQ support is at 406 & 405, with resistance at the 410

Call Wall.

IWM support is at 189, with resistance at the 200

Call Wall.

The bullish rhythm continues in equities, with

Call Walls

rolling higher, and previous Walls serving as support. This can be seen in the chart below, wherein 470 SPY was major resistance from last week, and SPY staged at that level into OPEX. This gave a few days for interest to build above at 475, which pulls SPY up while offering support at 475. 480 appears to be the next upside target, and that should be supported by the positions accrued at 475.

When

Call Walls

are violated (currently 4,800 SPX is the upper Wall) then we view markets are overbought, as we generally view the lack of open interest above as providing no “pull” and/or support for higher prices.

We also note the 1 day implied range has expanded to 80bps, a signal that market movement can expand. Yesterday we flagged some strange “0DTE” flow that implied a tighter market range – and that appeared via the +20bps SPX performance (open to close). Today’s higher 1 day implied move suggests that the S&P may bring more action.

Finally, we wanted to mark the odd action at the 5,000 strike in SPX. Yesterday there was +34k each of calls & puts added to the 5,000 strike over a variety of expirations. This is showing as a large gamma bar in the chart below. This strike has been associated with box spreads in the recent past, and we think this may be the case again, here. We want to do a bit more checking on this, but the fact that these are mainly longer dated (March) in-the-money puts being traded is an initial signal of this funding trade. If we find something contrary to this we will let you all know.