$SPY broke $774 support and conditions deteriorated hard between 10AM and 1:30PM.
Price dropped from $775.92 to $771.19. Options surface collapsed from -$105M to -$1.01B. The composite flipped from +17.0 to -7.4. Premium shifted from 70% calls to 46% calls. Net premium went from +$353M to -$128M. Engine fell from +6M to -110M.
The options surface turned ten times more negative in three and a half hours. Money rotated from calls to puts. New puts are opening 5.7 to 1 over closing.
Price is sitting $5.81 below the regime line at $777. Every strike from $760 to $776 is negative gamma — about $1.0B between $765 and $776. Dealers are amplifying moves here, not absorbing them.
Key strikes:
$772: -$161M
$770: -$136M
$767: -$221M
$765: -$126M
Most gamma at price expires today. $772, $771, and $770 carry about $220M of 0DTE negative gamma that disappears at 4PM. $767 is different — almost all of its -$221M expires tomorrow.
ATM IV is 13.5% calls, 13.6% puts. Skew is flat. Realized vol (30-day) is 10.3%.
Price is down almost 0.8% and nobody is paying up for protection. This is positioning flow, not fear. Puts are being bought, but implied vol isn't repricing. The structure is amplifying the move, not pricing in panic.
Price dropped from $775.92 to $771.19. Options surface collapsed from -$105M to -$1.01B. The composite flipped from +17.0 to -7.4. Premium shifted from 70% calls to 46% calls. Net premium went from +$353M to -$128M. Engine fell from +6M to -110M.
The options surface turned ten times more negative in three and a half hours. Money rotated from calls to puts. New puts are opening 5.7 to 1 over closing.
Price is sitting $5.81 below the regime line at $777. Every strike from $760 to $776 is negative gamma — about $1.0B between $765 and $776. Dealers are amplifying moves here, not absorbing them.
Key strikes:
$772: -$161M
$770: -$136M
$767: -$221M
$765: -$126M
Most gamma at price expires today. $772, $771, and $770 carry about $220M of 0DTE negative gamma that disappears at 4PM. $767 is different — almost all of its -$221M expires tomorrow.
ATM IV is 13.5% calls, 13.6% puts. Skew is flat. Realized vol (30-day) is 10.3%.
Price is down almost 0.8% and nobody is paying up for protection. This is positioning flow, not fear. Puts are being bought, but implied vol isn't repricing. The structure is amplifying the move, not pricing in panic.