Founder's Note: Wed, May 01, 2024 at 7:38

AM ET
Macro Theme:
Short Term SPX Resistance: 5,050
Short Term SPX Support: 4,980
SPX Risk Pivot Level: 5,000
Major SPX Range High/Resistance: 5,115 (SPY 510)
Major SPX Range Low/Support: 4,800
‣ 5,100-5,115 (SPY 510) is the likely high into next weeks 5/1 FOMC. We think 4,975 - 5,000 will
remain as major support in through FOMC.*
‣ Post-FOMC price levels:
• We see a large gap in support from 5,100 to 5,000. Volatility likely remains elevated for several
weeks should this gap fill.
• Upside resistance is at 5,150, then 5,200. Realized vol likely declines sharply following an initial
move higher.
*updated 4/24

Founder's Note:
ES -55bps to 5,-39. NQ futures -86bps to 17,420.
Key SG levels for the SPX are:
• Support: 5,015 (SPY 500), 5,000, 4,980
• Resistance: 5,050
• 1 Day Implied Range: 0.57%
For QQQ:
• Support: 420
• Resistance: 430, 431
IWM:
• Support: 190
• Resistance: 105, 200, 201
Last nights earnings results: AMZN +1.8%, AMD -6%, SMCI -12% , SBUX -12%
Treasury Refunding 8:30 AM ET, FOMC 2 PM ET.
The S&P is indicated to open near 5,000, which implies an opening near large support. That support
is being tested ahead of several key announcements: Treasury Refunding (8:30AM ET) & FOMC (2PM
ET).
While ES show a ~2% decline from yesterday's opening levels, we saw gamma positioning that
allowed for a quick slide through the SPX 5,100->5,000 range. To be clear, we did favor the S&P
holding 5,100 into today, but a cadre of weak data, followed by poor chip-sector earnings tipped the
S&P through the slipstream 5.000's zone.

This has unsurprisingly lifted vols, which are now (teal) back above recent highs (Monday night, gray
line. Statistical range = gray cone). We've also provided the term structure reading from Friday 4/19
(yellow), which was when the S&P was last at 5,000. As you can see, longer dated IV's are still below
that of 4/19, but <=5DTE are higher due to today's data. We've also seen a shift in IV for Friday's NFP
& ISM, suggesting that the FOMC is not all that's required to give an "all clear" to markets.
This creates an interesting scenario, as reactions to the Fed could be either reversed or reinforced
with Friday's data. This, in our view, creates the opportunity for large swings over the next few days.
This, versus a large directional release into May OPEX.
We also wanted to flag Bitcoin, which is -10% over the last two sessions. We view bitcoin as a proxy
for risk taking, an its now broken <60k to 57,500. Here we've plotted BTC vs ES futures, showing
there is some correlation.

The concern here for bulls, is that <5,000 lurks predominantly put positions, which can been seen
with the blue bars, below. As a baseline, we view these put-heavy zones as those in which volatility
should materially increase.
Why?
The bizarre feature of recent market declines is that S&P volatility has "failed to realize", meaning that
SPX declines in April have been slow & controlled. We flagged this on 4/22, wherein the VIX had built
up a large premium despite only being at 18 (note here). Under 5k, we think that changes, and
realized vol starts to increase. Recall that a VIX of 16 simply reflects 1% average daily moves in the
SPX - not exactly a high bar. If we lose support, long put buyers should step up & those that are short
puts are likely forced to cover. These traders could therein invoke dealer short hedges.
Additionally, ten days ago, when we last tested 5,000, we saw correlation start to move higher which
marked the unwind of flows which had dominated 2024 (read here). Traders bought the chip-dip last
week (SMH rallied 10% from 4/19), but earnings are now likely to dent that bounce. Some are eyeing
NVDA as the last hope, but they do not report until 5/22.
The takeaway from this is that it seems as the chip/AI leadership is now in question, and dip buyers
are likely not to be as aggressive here. In our view <5k represents "loss of leadership" and the more
complete unwind of flows, wherein correlation snaps higher.
Lastly, we are again at 5,000 but with fewer oversold conditions (note the IV chart above - IV's are
lower with SPX again at 5k).

Into the April selloff we flagged put volume vs call volume as a signal of oversold conditions (dashed
vertical lines). We're again back at 5,000, but put activity is relatively lower, suggesting less support
at these S&P levels.
SG Proprietary Levels SPX SPY NDX QQQ RUT IWM

Reference Price: $5035 $501 $17440 $424 $1973 $195

SG Implied 1-Day Move: 0.57% 0.57%

SG Implied 5-Day Move: 1.95%

SG Volatility Trigger™: $5075 $505 $17240 $431 $2050 $201

Absolute Gamma Strike: $5000 $500 $17250 $420 $2050 $190

SG Call Wall: $5200 $520 $17250 $438 $2200 $210

SG Put Wall: $5000 $500 $17500 $420 $1960 $190

SG Gamma Index™: -1.654 -0.425 0.044 -0.117 -0.039 -0.137

Additional Key Levels SPX SPY NDX QQQ RUT IWM

Zero Gamma Level: $5082 $508 $17396 $430 $2014 $204

Gamma Tilt: 0.792 0.599 1.20 0.717 0.713 0.443

Gamma Notional (MM): ‑$944.419M ‑$1.968B ‑$133.247K ‑$680.212M ‑$45.658M ‑$1.333B

25 Delta Risk Reversal: -0.03 -0.007 -0.032 -0.008 -0.025 -0.002

Call Volume: 2.054M 2.636M 9.029K 565.579K 28.523K 271.476K

Put Volume: 3.131M 3.684M 7.723K 735.177K 34.30K 707.303K

 Additional Key Levels SPX SPY NDX QQQ RUT IWM

Call Open Interest: 6.721M 6.004M 64.472K 3.976M 325.681K 4.015M

Put Open Interest: 13.267M 12.201M 77.747K 6.394M 536.919K 8.23M

Key Support & Resistance Strikes

SPX Levels: [5000, 5100, 5200, 5150]

SPY Levels: [500, 510, 505, 490]

NDX Levels: [17250, 18000, 17500, 18500]

QQQ Levels: [420, 425, 430, 440]

SPX Combos: [(5277,75.31), (5252,88.59), (5227,77.04), (5202,96.05), (5177,84.91), (5152,79.15), (5141,71.01), (5101,85.75),
(5076,71.66), (5066,76.64), (5061,75.89), (5056,72.05), (5051,93.98), (5046,88.16), (5041,81.26), (5036,78.97), (5031,85.53),
(5026,93.76), (5021,72.23), (5016,95.61), (5011,76.38), (5000,98.95), (4995,81.38), (4990,77.07), (4985,83.88), (4980,76.73),
(4975,95.93), (4970,75.38), (4965,81.62), (4960,75.98), (4955,71.81), (4950,96.20), (4925,86.16), (4915,84.05), (4900,97.46),
(4875,92.84), (4849,94.78), (4824,86.93), (4814,70.93), (4799,95.94)]

SPY Combos: [500.53, 510.07, 490.49, 495.51]

NDX Combos: [16848, 17999, 17040, 17458]

QQQ Combos: [411.82, 422.01, 429.65, 412.25]

SPX SPY NDX QQQ RUT IWM

SPX Gamma Model Apr 30

$1.1B

Put Wall: 5000

Call Wall: 5200

Gamma Notional

Abs Gamma: 5000

-$330M
Vol Trigger: 5075

Last Price: 5035

-$1.1B

-$1.8B
$4,055 $4,555 $5,055
Strike
 View All Indices Charts

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