This scorecard grades the April 5 Chain Map against actual price action during the week of April 7-11.
Result
SPY opened at 655.86 and closed at 679.46, a +3.60% week. VIX dropped from 24.2 to 19.2. The vanna rally extended for a second consecutive week, delivering +47 points in total off the 634 low.
Level Grades
| Level | Called | Actual | Grade |
|---|---|---|---|
| Pivot | 656 (max pain) | Crossed above, closed 679 | BROKEN |
| Floor | 630 | Low 651, never approached | HELD |
| Ceiling | 660 | Broken Tuesday, high 682 | BROKEN |
The 660 ceiling was the key miss. The report called it a tight ceiling (0.6% above spot) and expected it to cap rallies. Instead, Tuesday's session gapped from 656 to 676, clearing 660 by 16 points in a single day. The 630 floor was never in play. The weekly low of 651 stayed 21 points above the called floor.
Bias and Scenario
Bias: Called Neutral, actual was Bullish (+3.60%). The report correctly identified the VIX/vanna mechanism as the primary driver and flagged the +DEX regime as supportive. However, the neutral bias underweighted the bullish case. When VGR was 48x and VIX was still above 20, the probability of a continued vanna rally deserved primary weighting.
Scenario: The bull case played out. The report said: "VIX stays below 23 and SPY clears 660 on a closing basis." VIX dropped to 19 and SPY closed at 679, clearing 660 by 19 points. The base case (pin between 650-660) was too conservative given the vanna setup.
What Worked
- The vanna analysis was correct for the second consecutive week. "A 1% VIX move creates about 48x more dealer hedging than a 1% price move" was the single most actionable insight. VIX fell 5 points and SPY rallied 24.
- The report flagged institutional hedging (put spreads, skew at 7.8pp) as defensive, not directional. Correct. Hedges were unwound as VIX dropped, fueling the rally rather than capping it.
- Cross-asset analysis correctly flagged gold's surge as a warning, but the equity rally proceeded anyway. The gold/dollar signal was a macro divergence, not an equity timing tool.
What Missed
- The 660 ceiling was too tight. With negative gamma and extreme VGR, a VIX-driven move can gap through nearby levels. The ceiling should have been set at 675 (monthly call wall) instead of 660 (near-term call wall).
- Neutral bias for the second week in a row missed a strong rally. When VGR is extreme and VIX is elevated, the bias framework should give more weight to vanna mechanics over P/C ratios.
- The 630 floor was too conservative. It was 26 points below spot in a setup where the dominant flow (vanna) was bidding the market. Floors in positive-vanna regimes should be set closer to spot.
Levels graded as HELD (never breached intraday), TESTED (intraday breach, no close beyond), or BROKEN (daily close beyond).