Macro Theme:

Key dates ahead:

Founder’s Note:

Futures are materially lower: ES – 95bps, NQ -163bps. Oil is higher by 1.6%. US 10Y down now to 5.05%.

META -2% after earnings, TSLA -3.6%.

The chop continues, but things are certainly more bearish today. The SPX is opening under our Risk Pivot (7,690), with resistance, for today at 7,700. First support is 7,650, followed by 7,600. Ultimately the concern here is that vol continues to be bid, and if we see selling in RSP, DIA, etc (i.e. non-tech), or a lift in correlation, then we will be looking for a move down into 7,450.

VIX expiration appears to have coincided with a local low in volatility, as the VIX is up now to 18s vs 16s yesterday. This is being aided on by escalated conflicts in he Middle East.

The whole SPX vol surface is indeed lifting with futures down nearly 1%. Since there is not yet a lift in the put skew, we can frame this as a reaction to the overnight volatility. Vol being bid into selling leads us to believe the selling has a bit more teeth.

While there has been a lot of intraday chop – its mainly been in the SPX. NDX has been seeing more “trend days”, with a larger ~6% downside move into last week, and mild bounce the last few days. The chart below compares the move of the first 1/2 session to the last 1/2 of the day. High correlation signals the morning move extends to the afternoon, which brings higher correlation values. You can see how the QQQ (purple) exhibits more trend than SPY (teal). This is a picture of the instability of tech vs relative stability in SPX – and the concern here is that SPX starts to “sync up” with tech. Below 7,700 we will continue to assign odds that stocks sync up to the downside.

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