All the charts and data we refer to can be found on the Yacht Club page.

Probably the most important thing to understand is that yesterday, despite featuring a big gap down, was still "orderly."

One of the more interesting data points from the day was an NPD of +3.87, which suggests that a fair amount of SPX puts were net sold. Much more than usual. From our point of view, this seems hard to believe—why would you sell puts when VIX is in the 20s and the S&P 500 is repeatedly realizing 2.50% to 4.00% moves?

But apparently people are doing that. Or maybe "were" doing that. They might have stopped now.

VIX is pushing 40 this morning. That's a number more in line with the situation, finally, so maybe we'll finally start selling off bits of our "bundle of puts."

Our friend Robot Jim is trained on the history of the S&P 500, which generally extols the virtue of buying most dips. The fact that Jim's mean expected 1-week return is still negative is quite a statement. The clear advantage in this distribution is in betting on the left shoulder. I.e., SPX 5100 to SPX 5250.

Nor will a large decline today change his mind much. We can see from the step-forward that a 3.00% loss will only bring Jim into a modestly bullish-leaning forecast. And it's unclear what happens below 3.00%—but it doesn't look like it turns up.

Speaking of what happens below a 3.00% loss today—this is when those charts on the Risk Report [that we don't usually have to look at] start to matter. Here's the gamma-implied vol (GIV) chart.

The takeaway from this one is that maybe somewhere around SPX 5150 you start getting "illiquidity." Like, the really bad kind. And everything below that gets worse pretty fast. By the time SPX is 5000 with a VIX at 60, you're in real hot water. Things are broken down there.

So keep it in mind that somewhere between 5000 and 5150, you really start getting breakage.

We'll trim some put exposure today, but it seems foolish to let go entirely. It's a nice win already, but we still have reason to believe that folks are offsides, and that The Donald is still playing chicken with the market, and all that stuff. We want exposure to that.

If you're looking for some guidance in intraday levels, we don't see much to be had.

The most compelling trade here is that it looks like enough people bought calls yesterday that if we can make it up to the Momentum band (c. 5460), you could get a pretty sweet rally (up to 5540). Everything else looks less likely to be relevant.

Everything still supports the long bond trade, as before. Even the TLT flows are still supportive. So we're not changing anything there.