Macro Theme:

Short Term SPX Resistance: 5,250

Short Term SPX Support: 5,200

SPX Risk Pivot Level: 5,200

Major SPX Range High/Resistance: 5,300

Major SPX Range Low/Support: 5,000

‣ Market focus is on 4/10 CPI & 4/11 PPI. IV is relatively high into these events, which makes vanna a key flow later this week. As such we anticipate a large equity move <=5,100, or up into 5,300.*

‣ 5,200 is critical support, up from 5,100 on 3/20. Below 5,200 is our risk off indicator.*

‣ 5,300 is our target into April OPEX.*

*updated 4/8

**updated 3/19

Founder’s Note:

ES are flat to 5,253. NQ futures are flat to 18,310.

Key SG levels for the SPX are:

• Support: 5,200, 5,174, 5,147
• Resistance: 5,220, 5,250, 5,265
• 1 Day Implied Range: 0.61%

For QQQ:

• Support: 440, 435, 430
• Resistance: 445

IWM:

• Support: 200, 195
• Resistance: 205, 215

  Call Wall

3 & 6 month TBILL auction at 11:30AM, ET. Fed Kashkari at 7PM.

Last Thursday’s volatility spasm provided a dip that 0DTE flows bought, which moved the S&P500 back into critical support at 5,200. This was the first real break of a major gamma support level YTD, which shows as a break in the trend channel, below. We continue to use 5,200 as our barometer for risk, with relative safety seen >5,200, and high risk <5,200.

Today & tomorrow may not lead to much directional trading action, particularly if markets are >5,200, due to the upcoming CPI/Fed Mins (4/10) & PPI prints (4/11). Below 5,200 we must respect the specter of jumping volatility, which can force prices lower. 5,200 is the largest strike on the board, and likely to be the center of flows today and tomorrow. Support is down at 5,150, and resistance is at 5,220 & 5,250.

To this “not much happening” point, Friday’s bounce higher saw pure 0DTE flow off of the back of the NFP print. There was a smidge of longer dated put buying into 1PM ET, as the SPY tested 520 (SPX 5,220). This informs us that longer dated traders were not terribly active despite the recent equity volatility.

This “pure 0DTE” flow was a feature of markets through most of last week, including the run back to near ATH’s. Obviously thoughs ATH’s gave way violently, leading to a 2% intraday drop. We continue to view 0DTE dominated price action as suspect.

We’re unlikely to unlock longer dated flows until CPI/PPI, and that view is backed VIA the SPX term structure, with today and tomorrow at relatively low IV’s (i.e. within the shaded cone). IV’s elevated at dates > 4/10 were shifted higher with Thursday’s decline, and likely remain so through CPI (i.e. this numbers are being hedged).

Tracking assets from last Thursday’s vol-spasm, we see that gold & oil remain at recent highs, with rate-futures drifting back below Thursday’s levels. Equities prefer lower rates, and obviously this weeks CPI & PPI data will be key drives of rate narratives in the short term.

Also, because IV’s are fairly elevated for CPI/PPI, should they pass as equity-positive there could be a sharp vanna-driven rally higher as the relatively high IV comes down.