SPX closed Thursday at 7,353.73, down 335 points (-4.36%). That was far below our 7,620–7,760 range. The map said a break of 7,650 would bring in 7,600. It did, in the first 20 minutes, and then the AI selloff took it much further than one day's positioning could price.
The structure flipped with it. Net gamma went from +$137M to -$1.21B, a $1.35B swing in one session. ATM IV jumped from 14.6% to 23.9%.
Spot now sits in a stack of negative strikes:
7,400: -$83M (top put-volume strike Thursday)
7,350: -$74M (spot)
7,300: -$101M (heaviest on the board)
7,250: -$84M
7,200: -$68M
The flip starts at 7,490, but the zone runs all the way to 7,690. Positive gamma doesn't really return until about 7,700. Dealers will add to moves in either direction until then.
Thursday's flow was split. Puts piled into 7,000–7,400. But calls traded heavily at 7,700 and 7,750. Somebody is positioned for a snapback. Volume put/call was 1.37, lower than you'd expect on a -4% day.
Today is a weekly expiry, and it's in this map. With IV at 23.9%, a normal day is about ±110 points.
Hold 7,300 and 7,400–7,490 is the test overhead. Lose 7,300 and 7,200 is next.
Predicted range: 7,240–7,470.
The structure flipped with it. Net gamma went from +$137M to -$1.21B, a $1.35B swing in one session. ATM IV jumped from 14.6% to 23.9%.
Spot now sits in a stack of negative strikes:
7,400: -$83M (top put-volume strike Thursday)
7,350: -$74M (spot)
7,300: -$101M (heaviest on the board)
7,250: -$84M
7,200: -$68M
The flip starts at 7,490, but the zone runs all the way to 7,690. Positive gamma doesn't really return until about 7,700. Dealers will add to moves in either direction until then.
Thursday's flow was split. Puts piled into 7,000–7,400. But calls traded heavily at 7,700 and 7,750. Somebody is positioned for a snapback. Volume put/call was 1.37, lower than you'd expect on a -4% day.
Today is a weekly expiry, and it's in this map. With IV at 23.9%, a normal day is about ±110 points.
Hold 7,300 and 7,400–7,490 is the test overhead. Lose 7,300 and 7,200 is next.
Predicted range: 7,240–7,470.
