This scorecard grades the March 29 Chain Map against actual price action during the shortened week of March 30 - April 2 (Good Friday market closure).
Result
SPY opened at 640.11 and closed at 655.83, a +2.46% week. VIX collapsed from 31.1 to 23.9. The rally was driven by a vanna unwind as VIX dropped, exactly the mechanism the report described.
Level Grades
| Level | Called | Actual | Grade |
|---|---|---|---|
| Pivot | 640 | Crossed above, closed 656 | BROKEN |
| Floor | 630 | Low 629.28, all closes above | TESTED |
| Ceiling | 660 | High 658.52, never reached | HELD |
The floor at 630 was the standout call. SPY wicked to 629.28 intraday on Monday but never closed below. The negative gamma framework predicted "acceleration if breached" and the fact that price bounced at this exact level validated the floor. The 660 ceiling held for the second consecutive week: the weekly high of 658.52 fell just 1.5 points short.
Bias and Scenario
Bias: Called Bearish, actual was Bullish (+2.46%). The report correctly warned that a VIX drop toward 27-28 would trigger a vanna rally, but the top-line bias underweighted this scenario. Miss.
Scenario: Base case played out. SPY closed at 656, within the 630-660 range. The bull case required "VIX drops toward 27-28" and "SPY reclaims 640 and holds." VIX dropped to 24 (below the bull target) and SPY reclaimed 640 and closed at 656. The price action matched the bull scenario conditions, but SPY didn't clear the 660 ceiling. Functionally, this was a strong base-to-bull outcome.
What Worked
- The 630 floor was precise. Price tested it intraday and bounced, confirming the level as institutional support.
- The 660 ceiling held for the second straight week. Two weeks, zero daily closes above 660.
- The vanna analysis was the most accurate call in the report. "A VIX drop from 31 toward 27 would force dealers to unwind put hedges, creating mechanical buying." VIX went from 31 to 24 and SPY rallied 22 points. This is the vanna trade working exactly as described.
- The "watch VIX above all else" framing was correct. VIX drove the entire week.
What Missed
- Bearish bias was wrong. The report laid out the vanna rally mechanism in detail but didn't weight it as the primary scenario. When VGR is 7x and VIX is elevated, the probability of a vanna-driven bounce deserves more weight in the bias call.
Levels graded as HELD (never breached intraday), TESTED (intraday breach, no close beyond), or BROKEN (daily close beyond).