TA and/or flows won’t be that helpful until tomorrow after JPow is done at Jackson Hole, given how much people are watching for what he says, but we can always prep and discuss what we need to keep an eye out for.
First, we have to admire the TA situation (despite what I said about it not being helpful) … SPX touched the 20SMA/50SMA confluence and then fell like a hammer. Total engulfing candle, which is bearish. NDX did the same. Unclear if this is about tomorrow though or “sell the NVDA news”, which is unfortunate. And IWM is tip-toeing on that 100SMA and trendline.
Right now, vol is pretty elevated, and we are in fairly deep negative gamma territory - vol trigger 4430 vs SPX close of 4376. This suggests we are unlikely to have a quiet Friday tomorrow. Rather, we should see some nice moves tomorrow:
- If the speech is a nothing burger, all that vol will dissipate, and markets should respond positively. The negative gamma should help a bit, propelling it up to the 4450ish level.
- If he says stuff, like “3% could be the new 2% in 2025”, likely between the lines than overtly, markets will not like that one bit, and may touch 4300 by the end of the day. After all, VIX is already high, and negative gamma just makes the roll down faster.
I think the “tell” will be the long end of the yield curve. Let’s keep an eye on the 10Y and older vintages. There is a possibility that we have a whiplash day too based on what he actually says - we see green in the first half as vol unwinds, and then markets go down into close anyway, if bonds keep falling.
So… two things to keep an eye on - bond yields, and VIX.
Where we end up tomorrow is likely to set the tone for moves into the large Sep opex (9/15). Big picture, the option flows start picking up steam next week, and we don’t really have any major data release next week.
- If we end around 4450, I feel like we end up green into Sep opex, as option flows become supportive in a positive gamma environment.
- Conversely, if we close red, we could touch 4200 by opex. Or worse if 0DTE weaponized gamma returns with a vengeance.
May the odds be in our favor tomorrow. 
