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

On Friday, the
‘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%.

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

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

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.

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.


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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