Informe Option Levels

ES futures are -57bps to 5,293. NQ futures are -65bps to 18,814.

Key SG levels for the SPX are:

• Support: 5,275, 5,265, 5,250
• Resistance: 5,300, 5,311, 5,333, 5,350
• 1 Day Implied Range: 0.54%

For QQQ:

• Support: 450, 440
• Resistance: 460, 465

IWM:

• Support: 205, 200, 190
• Resistance: 210

7 Year auction at 1PM ET, Fed Williams 1:45PM

Equity futures are lower this morning, pushing into several layers of support at 5.275, 5,265 & 5,250. Below 5,250 would imply a test of the 5,200

Put Wall.

To the upside the large resistance range of 5,300-5.320 (SPY 530) is likely to hold for today – and likely into Friday.

 

This area of 5,250-5,320 is a “neutral zone”. A close >SPY 530 (SPX 5,320) would flip our long term view back to “risk on”. <5,250 is “risk off” as we’d look for hedging flows to pressure equities lower, and vol higher. <5,250 is important for longer term traders, as we think long put positions and/or long VIX calls as a portfolio hedge would be warranted.

For intrday/short term traders today, we think buying dips off of these large support zones is viable. To this point, we yesterday saw a flash down to 5,285, which violently reverted higher to 5,310 by the close.

The issue for asset prices, is rates. Shown here is the US10Y, which was +10bps yesterday, and has been trending higher over 2024 (10Y rate was ~3.8% on 12/31). This is, in the short term, counteracting NVDA’s massive gains higher (+20% since earnings on 5/22). That 20% is good for about 60 handles of positive S&P500 “push”, which is being counteracted by other, more negative forces.

The futures probe lower is starting to cause a lift in implied vols, as you can see in the SPX term structure change from yesterday (gray) to today (teal). While we think those traders focused on market action today/tomorrow will be looking to buy dips, longer dated or more macro focused traders are unlikely to want to enter short vol positions into the abundance of rate-related data coming from 5/31 Core PCE to 6/12 (FOMC). On this point, if you are interested in long equity hedges, positioning in +1-2 month S&P puts may carry a bit better due to these data points – most specifically FOMC.