Daily Brief For March 30, 2023

Daily commentary for U.S. broad market indices.

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Graphic updated 6:30 AM ET. Sentiment Risk-On if expected /MES open is above the prior day’s range. /MES levels are derived from the profile graphic at the bottom of this letter. Click here for the latest levels. SqueezeMetrics Dark Pool Index (DIX) and Gamma (GEX) with the latter calculated based on where the prior day’s reading falls with respect to the MAX and MIN of all occurrences available. A higher DIX is bullish. The lower the GEX, the more (expected) volatility. Click to learn the implications of volatility, direction, and moneyness. Breadth reflects a reading of the prior day’s NYSE Advance/Decline indicator. The CBOE VIX Volatility Index (INDEX: VVIX) reflects the attractiveness of owning volatility. UMBS prices via MNDClick here for the economic calendar.


Thanks for the feedback on the newsletter design! The technical section has returned for your viewing of crucial levels. We may update this section or merge it with another in the future. If you have any feedback, please comment or reply!

By the way, check out fx:macro’s neat market dashboard how-to-build guide! They have a fabulous newsletter, and this dashboard is an excellent component.

Take care, everybody.


In the coming sessions, there will be a dive into the geopolitical developments of late, far higher in quality than what we started this week with. For a sneak peek at what we will be talking about, look at this article, this podcast, and the Daily Brief for 1/4/23.


In yesterday’s letter on positioning contexts, we concluded it was likely for markets to remain contained through month-end.

We said, “there is potential for markets to move into a far ‘more combustible’ position, … [and], with call skews far up meaningfully steep, still-present low- and zero-cost call structures” in previously depressed products like the Nasdaq 100 (INDEX: NDX), buoyed by financial tensions easing, were attractive to express the bullish view.

Graphic: Retrieved from JPMorgan Chase & Co (NYSE: JPM) via The Market Ear.

Though we weren’t too right about the potential for volatility to be sticky, which may be detrimental to some of the more expensive structures, such trades’ exposure to direction and movement appears to be offsetting time decay and volatility, sped up by the resolution of the liquidity crisis (i.e., the asset-liability mismatch at some banks that thought their depositors were far more loyal, hence less of a need to hedge risk) which prompted traders a few weeks back to demand protection and reprice options higher; the Merrill Lynch Option Volatility Estimate (INDEX: MOVE) and Cboe Volatility Index (INDEX: VIX) have come in dramatically. Please take a look at the full letter here.

Graphic: Retrieved from NATIXIS via Bloomberg.

As stated on 3/29, the fundamental view hasn’t changed. Therefore, we may consider monetizing our structures now and in the near future and using those credits to offset debit risk in plays such as far-dated bear put spreads (i.e., buy put and sell another at a lower strike); options data and insight platform SpotGamma says the juice has been squeezed now with S&P 500 (INDEX: SPX) 1-month at-the-money implied volatility or IVOL pricing at 17%. “For a decline to continue, we need a change in volatility regime (i.e., soft landing, bank crisis resolved, etc.) because, with 1-month realized at 15%, you can argue there isn’t much juice left to squeeze.” Caution on the upside plays.

Graphic: Retrieved from Bloomberg via SpotGamma.


As of 6:30 AM ET, Thursday’s regular session (9:30 AM – 4:00 PM ET) in the S&P 500 will likely open in the upper part of a positively skewed overnight inventory, outside of the prior day’s range, suggesting a potential for immediate directional opportunity.

The S&P 500 pivot for today is $4,077.75

Key levels to the upside include $4,087.75$4,097.25, and $4,108.75.

Key levels to the downside include $4,062.25$4,049.75, and $4,038.75.

Click here to load the updated key levels via the web-based TradingView platform.

New links are produced daily.

Quoted levels likely hold, barring an exogenous development.

Graphic: 65-minute profile chart of the Micro E-mini S&P 500 Futures.


The author, Renato Leonard Capelj, spends the bulk of his time at Physik Invest, an entity through which he invests and publishes free daily analyses to thousands of subscribers. The analyses offer him and his subscribers a way to stay on the right side of the market. 

Separately, Capelj is an accredited journalist with past works, including interviews with investor Kevin O’Leary, ARK Invest’s Catherine Wood, FTX’s Sam Bankman-Fried, North Dakota Governor Doug Burgum, Lithuania’s Minister of Economy and Innovation Aušrinė Armonaitė, former Cisco chairman and CEO John Chambers, and persons at the Clinton Global Initiative.


Direct queries to Find Physik Invest on TwitterLinkedInFacebook, and Instagram. Find Capelj on TwitterLinkedIn, and Instagram. Only follow the verified profiles.


You may view this letter’s content calendar at this link.


Do not construe this newsletter as advice; all content is for informational purposes, and derivatives carry a substantial risk of loss. Capelj and Physik Invest, non-professional advisors, will never solicit others for capital or collect fees and disbursements for their work.

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