Macro Theme:

Short Term SPX Resistance: 5,115 (SPY 510)

Short Term SPX Support: 5,070

SPX Risk Pivot Level: 5,000

Major SPX Range High/Resistance: 5,200 SPX Call Wall

Major SPX Range Low/Support: 4,800

‣ 5,200 is the upside target.*

‣ 5,000 is critical support, up from 4,900 the week ending 2/16.*

‣ We look for index volatility to now contract (ref: 2/23, 1-month realized vol 14%, VIX 14.2).

‣ The week of 3/11 is the next major inflection point: 3/12 CPI & March Quarterly OPEX (3/15), followed by 3/20 VIX exp *

*updated 3/1

Founder’s Note:

ES futures are flat to 5,100. NQ futures are flat at 18,085.

Key SG levels for the SPX are:

• Support: 5,070
• Resistance: 5,100, 5,115 (SPY 510)

  Call Wall

• 1 Day Implied Range: 0.62%

For QQQ:

• Support: 435, 439
• Resistance: 440

  Call Wall

IWM:

• Support: 195
• Resistance: 200, 210

  Call Wall

Today traders are awaiting the 10AM EST ISM print.

TLDR: This seems to be setting up like a blow-off top scenario, wherein the single stock pump is re-priming, with little on the horizon to break the momentum until 3/8 NFP, then we turn to the big week of 3/11, which has CPI on 3/12 and OPEX 3/15 followed by 3/20 VIX Exp. We think that VIX/Index volatility should continue to drag lower, and target VIX testing YTD lows around 12.5 for next week.

Heading into yesterday, we were looking for a shift to 5,100 or 5,000 into today. The S&P elected for 5,100, closing into that level after the PCE proved a non-event, resulting in a 0DTE vol squash. However, out past 0DTE, we see that IV’s ticked up across the board. This is likely due to some ISM event premium for today, as yesterday’s open to close range was only +20bps, and +50 bps close to close (i.e. no reason for higher IV’s today). Should ISM print inline, this small vol premium likely gets squashed, as happened with PCE, which supports equities.

For the S&P500 and QQQ, the issue today is that there is a ton of

large gamma strikes

overhead, at 5,100-5,115 (SPY 510), and QQQ 440 (

Call Wall

). Both 5,100 & 440 were touched & rejected into last nights close. While SPY 510 & QQQ 440 are today’s resistance points, we did see both SPY & SPX

Call Wall

s roll higher yesterday to 510 & 5,200, which opens the S&P up for higher prices for next week. We would antiipate that positions now start building up overhead, which serves to slide up the QQQ & SPY

Call Wall

s for next week.

This should lead indexes to continue with tight ranges, which in turn continues to press realized volatility lower. This has been a key point listed in the “Macro Theme” at the top of our notes. To this point, the tight trading ranges of the last few days are zapping SPX realized vol [RV], as you can see in the 5-day RV metric (red). We also now see 1-month RV at 11% (green), and the lower RV this goes the more pressure ends up on the VIX. Further, the nearest flag for any type of event-vol is next Friday’s NFP (3/8).

However, single stocks caught a sharper shot-in-the-arm. Most notably was semis, with SMH +2%, led by AMD up a very strong 9%. What caught our eye here was the massive longer dated calls pumping into the name, leading to its most positive

HIRO

signal in the last 30 days. Key to this is that these were primarily longer dated options flows (purple) vs 0DTE (teal). This speaks to the bullish flair present in today’s markets. We also note $200 as the major level in the stock for today.