Macro Theme:

Short Term SPX Resistance: 5,244

Short Term SPX Support: 5,200

SPX Risk Pivot Level: 5,200

Major SPX Range High/Resistance: 5,300 (SPX Call Wall)

Major SPX Range Low/Support: 5,000

• For the week of 5/13 we see several catalysts, which should lead to expanding volatility:
• 5,260 is all-time SPX highs, and a major gamma bar at SPY 525. This is resistance into 5/15 CPI.
• 5,300 is our target max high into Friday OPEX, 5/17.
• 5,200 is major short term support. A break <5,200 pushes the S&P into a more fluid, risk-off zone, with 5,100 becoming the short term downside target.

• 5/22 NVDA earnings, which follows 5/17 OPEX, should be a final major turning point for equities.

*updated 5/13

Founder’s Note:

ES futures are +10 bps to 5,253. NQ futures are +20bps to 18,294.

Key SG levels for the SPX are:

• Support: 5,215, 5,200
• Resistance: 5,223, 5,238, 5,250, 5,264
• 1 Day Implied Range: 0.60%

For QQQ:

• Support: 442, 440
• Resistance: 445, 450

IWM:

• Support: 202, 200
• Resistance: 210

3 & 6 month Tbill auction 11:30AM ET.

Today is likely to be the last dull session before a confluence of triggers hit over the next 7-10 days. You can see this reflected in SPX term structure, which features a bump in IV’s starting tomorrow, with Powell’s speech. That is followed by 5/15 CPI & 5/17 OPEX. Following that we have 5/22 VIX exp + NVDA earnings.

While there is a bump in IV for these near term expirations, note that out past ~2 weeks the IV’s are at 90 day lows (bottom of the shaded cone). This tells us that traders are essentially just hedging a tail print(s) over the next week, there isn’t really much long term concern. It’s as if traders are saying “Let’s get past this data so we can get on with the rally!”. The major risk to this stance is a hot CPI.

Our framing for this upcoming time period is that we are going to be given several catalysts into OPEX-driven position shifts. This gives some room for volatility to expand. Volatility can happen both ways, and so we must line up support & resistance lines and risk-off levels. Volatility expanding is also a benefit for options, suggesting that traders may want to play long options positions here vs long stock.

As far as levels go, the SPX closed just above the SPY 520

Call Wall

on Friday. The SPX

Call Wall

has now rolled higher, from 5,200 to 5,300, and the SPY

Call Wall

has rolled to 525, from 520. These level shifts are more the result of puts being added (likely sold) at 5,200/520, which adds short term support underneath current SPX prices (~5,220).

With that, 5,200 is major support for today, and likely into Wed’s CPI print.

There are very large positive gamma strikes above, from 5,230-5,260 which form a band of overhead resistance that likely persists through Powell’s speech, and into CPI. Note that SPY 5,260 lines up as both a major gamma strike (SPY 525), but also all-time-highs in the SPX.

Should CPI come off as bullish, we see 5,260-5,300 as the high for Friday OPEX, as short term event vol is crushed. We think Friday call flies are a nice way to play an upside move for the week.

Longer dated vol, as shown above, is quite low, and so we don’t think there will be much follow through on a rally until 5/22 (VIX + NVDA). If NVDA is bullish, then we look for a continued grind higher in the SPX through end-of-May.

To the downside, 5,200 is large support. Should we break that level at any point, our models shift to “risk-off”, with a short term target of 5,100.