S&P500 Daily Action Areas & Price Targets 24/7/26

***QUOTING ES1! FOR CASH US500 EQUIVALENT LEVELS, SUBTRACT POINT DIFFERENCE***

WEEKLY BULL BEAR ZONE 7460/40

WEEKLY RANGE RES 7632 SUP 7358

MONTHLY RANGE RES 7838 SUP 7258

JHEQX Q3 Collar Short Call Cap: ~7,750 – 7,900 - Long Put Strike: ~7,050 – 7,100 (approx. 5% downside protection) Short Put Strike: ~5,950

DEC2025 OPEX to DEC2026 OPEX is 945 points giving us a range of [5889,7779]

SPX PUT/CALL RATIO 1.10 (The numbers reflect options traded during the current session.) A put-call ratio below 0.7 is generally considered bullish, and a put-call ratio above 1.0 is generally considered bearish.

GS Flow Desk: large S&P 31Aug 7000/7950 strangle in roughly $20mm vega / $115mm premium …My Read – classic “big convexity versus carry” trade: either someone paid a lot to own a wide August move, or someone got paid a lot to bet that the S&P stays comfortably inside the 7000–7950 corridor

DAILY VWAP BEARISH 7494

WEEKLY VWAP BEARISH 7563

MONTHLY VWAP BULLISH 7036

DAILY STRUCTURE - OTFL - 7486

WEEKLY STRUCTURE - BALANCE 7648/7247

MONTHLY STRUCTURE - OTFH - 7247

Balance: This refers to a market condition where prices move within a defined range, reflecting uncertainty as participants await further market-generated information. Our approach to balance includes favouring fade trades at the range extremes (highs/lows) while preparing for potential breakout scenarios if the balance shifts.

One-Time Framing Higher (OTFH): This represents a market trend where each successive bar forms a higher low, signalling a strong and consistent upward movement.

One-Time Framing Lower (OTFL): This describes a market trend where each successive bar forms a lower high, indicating a pronounced and steady downward movement.

DAILY BULL BEAR ZONE 7475/85

GAMMA FLIP 7462

DELTA FLIP 7422

DAILY RANGE RES 7523 SUP 7376

2 SIGMA RES 7591 SUP 7320

VIX BULL BEAR ZONE 17.9

TRADES & TARGETS 

SHORT ON REJECT/RECLAIM DAILY RANGE BULL BEARS ZONE TARGET WEEKLY RANGE SUP

LONG ON REJECT/RECLAIM WEEKLY RANGE SUP TARGET DAILY BULL/BEAR ZONE

***ADDITIONAL SETUPS & TARGETS HIGHLIGHTED ON THE CHARTS***

(I FADE TESTS OF 2 SIGMA LEVELS ESPECIALLY INTO THE FINAL HOUR OF THE NY CASH SESSION AS 90% OF THE TIME WHEN TESTED THE MARKET WILL CLOSE ABOVE OR BELOW THESE LEVELS)

NOMURA CROSS ASSET TRADING DESK VIEWS

Nomura / McElligott — Crude → Rate Vol → Fed Credibility → Cross-Asset Vol Squeeze

The note’s core message is that the market has moved from an “earnings micro calm” into a more dangerous macro-vol regime. Iran escalation is pushing crude higher, crude is feeding rates vol, rates vol is tightening financial conditions, and that threatens to put the Fed in a very difficult position into next week’s meeting.

The framework is not simply “the market is pricing a July hike.” The more nuanced read is that rates may be throwing a mini-tantrum: a hawkish hold may no longer be sufficient if crude continues to reprice the inflation tail. That raises the risk that the Fed is perceived as behind the curve now, which would increase the probability of more aggressive over-hiking later.

The key phrase remains: all assets / market beta are short rate volatility.

1. Iran Escalation Reopens the Crude Shock

Iran escalation headlines are feeding already poor cross-asset sentiment. The market had become desensitized to repeated “ceasefire MOU v33.0” headlines, but now the escalation path looks harder to fade:

• Trump reportedly said he is seriously considering restarting major combat operations in Iran.

• Energy is running higher.

• Crude is again feeding the rate-vol impulse.

• There is no obvious off-ramp yet.

That creates a messy setup for both markets and the Fed into next week’s meeting.

The transmission channel is the same one flagged earlier:

Crude Shock→Inflation Tail→Rate Vol→Hawkish CB Repricing→Cross-Asset VolCrude Shock→Inflation Tail→Rate Vol→Hawkish CB Repricing→Cross-Asset Vol

Crude is now again “the straw that stirs the drink.”

2. Rates Are Not Simply Pricing a July Hike — They May Be Throwing a Mini-Tantrum

Optically, the last two days of USD rates price action may look like the market is pricing a July hike, especially after the Warsh press conference was added and triggered a buyside rethink. Warsh’s own phrase — “when the Fed speaks, it should mean something” — matters because markets are re-evaluating the Fed’s reaction function.

But the note argues this “July hike” interpretation is too simplistic. The Fed could just as easily use recent soft CPI and PPI to justify no action, while delivering a hawkish hold.

The bigger issue is that the market may be saying a hawkish hold is not enough.

Why? Because crude is rising, energy is feeding inflation-risk premium, and the Fed already faces latent credibility / independence concerns tied to Warsh / Trump dynamics. If the Fed does not act, markets may increasingly price a “behind the curve on inflation” policy mistake.

That creates a left-tail risk: the Fed does not hike now, inflation expectations worsen, and the market begins to price more aggressive hikes later.

This is the “anticipate the anticipators” dynamic. Rates are trying to front-run how the Fed will respond to the market’s own repricing.

3. Crude Is Tightening Financial Conditions Through Real Rates

The “now” issue is that crude is making the rates move self-fulfilling. Higher energy prices are feeding a more violent move higher in rates, especially real yields. Real yields are a cleaner proxy for tighter financial conditions.

That matters because if the market leads financial conditions tighter, it can trap the Fed. Warsh may not want to hike immediately after soft inflation prints, but if crude and rates continue higher, the market may force him toward a more hawkish stance.

This is the risk loop:

Higher Crude→Higher Inflation Risk→Higher Real Yields→Tighter Financial Conditions→Fed TrappedHigher Crude→Higher Inflation Risk→Higher Real Yields→Tighter Financial Conditions→Fed Trapped

The result is a more fragile cross-asset environment.

4. The Earnings Micro Calm Is Still Working — But It May Not Be Enough

The original sequencing was:

1. Constructive earnings micro keeps equities sane.

2. Positioning rebuilds after the de-grossing / momentum unwind.

3. AI enablers and bottlenecks outperform hyperscalers.

4. Equities grind higher first.

5. Later, rebuilt positioning plus August liquidity creates a vol event.

Part of that is still happening. The AI enablers / bottlenecks versus hyperscalers long/short is working dramatically, up 6.2% early session. That means many portfolios can still have a solid performance day even if headline indices are down.

GOOGL capex upside appears to sustain the “enablers / bottlenecks > hyperscalers” trade. In other words, the market is rewarding the picks-and-shovels beneficiaries of AI capex, even as hyperscalers themselves become the funding leg.

But the key index-level problem is that the S&P and NDX cannot make new highs if hyperscalers are down. Their market-cap weight is too large. Hyperscalers are effectively the “funding short” in the AI trade, and if they are falling, the index loses its stabilizer.

So the prior expectation of “grind higher first, vol later” may be compressing. The index may weaken sooner if hyperscaler weakness overwhelms AI enabler strength.

5. Index Level Risk: Hyperscalers Are Too Big to Ignore

This is one of the most important equity points in the note:

Equity indices cannot make new highs when hyperscalers are falling.

The AI trade can still work underneath the surface:

• Long AI enablers

• Long bottlenecks

• Long semicap / power / infrastructure

• Short hyperscalers

• Short AI losers

But that is not the same as broad index upside. Because hyperscalers are enormous index weights, weakness there can dominate the SPX / NDX even if the AI thematic long/short is profitable.

This is why the market can have:

• Good thematic performance

• Strong single-name dispersion

• Positive “picks and shovels” reaction

• But weak headline index

That is the index-vol risk: the offsetting internal rotation may no longer be enough to hold the index.

6. CTA Risk Is Coming Back Into Play

A key de-risking flow that has not mattered for some time may now re-enter the picture: CTA trend.

In the Nomura QIS Trend model, the 3-month window is by far the largest weighting in the major US equity futures signals, accounting for 52.6% of the aggregate signal.

Current signal loadings:

The issue is that the 3-month long signal is becoming more tenuous. It has moved from deeply in-the-money toward local short triggers as stocks sell off. The risk is not only a fast break lower; even a slow grind lower can drag prices deeper into the 3-month window and eventually flip the overall CTA model short.

The projected notional matters most in S&P futures. If the signal flips as currently modeled, the potential sale could be roughly:

−$25.5bn−$25.5bn

The note’s phrase — “like a basketball through a garden hose” — captures the liquidity risk. A forced systematic sale of that size into August liquidity could amplify downside and finally create the index-vol event that has been absent.

7. Rate Vol Is Already Percolating

USD rate vol is moving higher across the grid. The largest changes are concentrated in the front-left and intermediate expiries, consistent with the Fed / crude / policy-error repricing.

Examples of week-to-date changes:

The front-end repricing matters most because it reflects renewed uncertainty around the Fed reaction function. If rates vol keeps rising, equity vol can no longer remain insulated forever.

8. VIX Upside Is the Cleaner Expression — But It Is Moving

The note reiterates that VIX upside has attractive risk/reward, though it has already started moving. The reason is the combined setup:

• Crude shock

• Rate vol impulse

• Fed policy-error risk

• August seasonality

• Low liquidity / low risk tolerance

• Crowded dispersion

• Low index vol

• Sticky VVIX

• Potential CTA sell flow

Customer interest is increasingly focused on VIX upside structures:

• Calls

• Call spreads

• Call flies

Dealers are not yet in a major short-convexity problem, because many short strikes are in the tame 20s–30s and dealers still have plenty of long VIX gamma above that. But incremental client demand for VIX calls moves the market closer to a future short-convexity issue.

A large VIX tail roll went up:

This is effectively a tail trade rolling from August into September, extending protection into a potentially more fragile late-summer / post-earnings window.

9. Dispersion Traders Are the Potential Source of VIX Call Demand

The likely source of future VIX call demand is the crowded dispersion community.

The classic dispersion trade is:

• Long single-name vol

• Short index vol

That trade has worked because single-name volatility has been rich and index volatility has been suppressed by low correlation. But if correlation rises toward “Corr 1,” the short index-vol leg becomes dangerous. The natural hedge is to buy VIX upside.

That is why:

• VVIX remains sticky around 105

• Investors are reaching for tails

• VIX call skew remains elevated

• Index vol can squeeze if correlation rises

The dispersion trade is currently in-the-money, but it is also crowded. If macro stress causes correlations to rise, the short index-vol leg can get squeezed “in their mush,” forcing more VIX call demand and amplifying the move.

10. Caveat: VIX Calls Are Hard to Monetize

The note is realistic about the downside of VIX upside. VIX call monetization is notoriously difficult because investors are conditioned to sell vol rips quickly. If the macro scare does not escalate and AI earnings remain robust, then vol can bleed.

There is a plausible TACO scenario:

• Macro headlines intensify

• Vol spikes

• But then crude / Iran settles down

• Earnings remain strong

• Markets chop sideways

• Rich vol bleeds

In that environment, VIX downside could become attractive after a squeeze.

So VIX upside is not a set-and-forget trade. It likely needs the rates / crude feedback loop to stay stressy before the expected TACO arrives.

Trading Framework

Near-Term Equity View

The index setup has deteriorated. The AI enablers / bottlenecks trade can still work, but headline indices struggle if hyperscalers remain weak.

Implication: favor relative value over outright index longs.

Preferred equity expressions:

• Long AI enablers / bottlenecks vs. short hyperscalers

• Long semicap / power / infrastructure beneficiaries

• Avoid assuming SPX / NDX can make new highs while hyperscalers are down

• Keep QQQ / SPX hedges live

Vol View

VIX upside remains attractive, though less clean after the initial move.

Preferred vol expressions:

• VIX call spreads

• VIX call flies

• Calendarized VIX upside into September

• SPX / QQQ downside convexity around earnings / Fed

• Consider monetizing if vol spikes but crude stabilizes

Macro Watch

The key variables are:

1. Crude — must remain bid for the vol-higher thesis to keep working.

2. Rates vol — the transmission channel into all assets.

3. Fed meeting — Warsh needs to thread a narrow needle.

4. Hyperscalers — index cannot break out if they remain the funding short.

5. CTA triggers — especially the 3-month SPX signal.

6. VVIX — sticky near 105 signals tail demand.

7. Correlation — a rise would squeeze index vol and stress dispersion trades.