We mentioned to subs this AM, could be support for markets in early half of this week from positive #charm on options rolling off tomorrow.

Seems about right so far

But inflation concerns & terminal rates are rising as we wait for next catalyst to move risk assets.

Let’s dig

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On Friday, the
@federalreserve
‘s preferred metric to anchor on, #PCE, came in hot.

Triggering another bout of selling in stocks.

And sending terminal rates to new cycle highs.

Currently at 5.42%.

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𝞂 Friday’s selling sent #SPX below the key 4000 level again.

Testing support at 3950 and the critical 200-day moving average.

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Looking at @spotgamma’s HIRO indicator from 24Feb, you can see a good amount of put selling took place in the second half of the session.

This likely helped drive $SPX higher into the close.

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You might see more support for markets at the beginning of this week with some month-end rebalancing flows.

Along with the previously mentioned, reasonable amount of options rolling off tomorrow which seem to be charming positively.

However…

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It seems that CTAs are in selling mode once again as long as SPX stays below 4000.

And then we have #ISMservices this Friday, 3Mar.

Likely bringing rates #volatility.

Which could be the catalyst that sets the tone for the next material move in #risk assets.

➠ I’m curious to hear what you think – where do you see the spot price for SPX at the close of this week?

Above 4000?

Below the 200-day moving average?

Let me know your thoughts in the replies!

➠ Watch the attached clip from today’s Macro Options Spotlight for more colour on these dynamics.

➠ Head over to the Options Insight YouTube Channel right now to watch today’s full Spotlight to also see:

• Recap over last week & overnight price action

• Today’s Cross Aset Vol Summary

• Our thoughts on defensive stocks dipping but #Call vol staying cheap

• And a look at our #Vol Dashboard for $XLV as a way to possibly action this observation.

(link in follow-up tweet)

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