Report Card

SpotGamma Beats Banks to the Forecast: Post-CPI Thrust Fails To Hold Macro Theme: Key Levels: > Major, longer term resistance is the 4100 Call Wall> Key Pivot in Dec OPEX: 4000> Max downsize target into Dec OPEX: 3800 Put Wall> Critical Pivot dates next week: 12/13-12/14 CPI/FOMC (see 11/25 note) to12/16 OPEX. Ref Price: 3934SG […]

Look Out For the “Sucker Punch” Rally Reversing Lower Macro Theme: Key Levels: > New ranges currently forming after Oct OPEX. We anticipate high volatility as markets set a new directional trend > We hold a bullish edge to markets while the SPX is > Vol Trigger (3820) > Range Into Nov OPEX (11/18): Top: […]

The FOMC Can Send the Market to 3580 in Ten Days Macro Theme: Key Levels: –> 4005 SPX Call Wall is the top of our range–> 3800 Put Wall is at the bottom of our range–> We assign a bearish edge to markets as long as the SPX is < Vol Trigger (3950)–> 9/21 FOMC/VIXexp […]

If The S&P 500 Stalls at 4300, Look Out Below Macro Theme: Key Levels: – Markets maintain a bullish, positive gamma stance; withmean reverting price action & $4,300 now the top of our range into August 19th OPEX– This weeks VIX (8/17) + equity expiration(s) (8/17) may trigger higher market volatility and equity weaknessinto month […]

Equity Markets Could Rally into VIX Expiration Macro Theme: Market Context: Rallies should be categorized as short covering and subject to failure. S&P 500 Levels: What To Watch: Daily Note: Futures are higher to 3865 overnight. We once again look for ~1% swings today with resistance at 3900-3910. Support shows at 3850 then 3800. Today […]

Short-Term Volatility is Shrinking as we Approach a Risky Period Macro Theme: Daily Note: Futures are consolidating yesterdays gains, trading back to 4148. Volatility estimates continue to trend lower as the S&P oscillates in the 4100-4200 zone. Resistance remains at 4200, with support at 4155 (SPY4150), 4127 then a major level at 4100. As this […]

Look Out Below: Volatility Trigger Breached and Call Wall Holds Strong Macro Theme: Daily Note: Futures were quiet overnight, and are up slightly to 4185. We expect a calm session today up until the 2pm ET FOMC events. Following that, we see key resistance at 4200-4210(SPY 420 equivalent) with 4284 the next resistance point from […]

Options Expirations Remove Supportive Positions and Create Downside Risk Daily Note: Futures have pressed lower to 4380. Our levels and volatility expectations remain in line with yesterday’s data. We look for a maximum move of 1.19% (open/close) with resistance at 4400SPX & 440SPY (4415SPX equivalent). Support shows at 4365SPX (435SPY). Beneath that level we see […]