SPY OPEN | Wednesday October 28 | FOMC Day
$770.54. Up 0.11%. Sitting right on the line, waiting on the Fed.
YESTERDAY:
At 11:57AM $SPY was $770.51 with the rebuild complete. It closed $769.66. This morning it's back at $770.
TUE 11:57AM → WED 10:09AM:
Price: $770.51 → $770.54
Composite: +26.8 → -8.3 (neutral)
Options surface: -$391M → -$528M
Engine: +103M → -2M
Net premium: +$667M → +$294M
Premium: 77% calls → 71% calls
The flow cooled. The structure held. Calls are still 71% of premium, but the engine went flat and the composite slipped to neutral.
THE TELL:
New positions are opening about 1 to 1 against closing, on both calls and puts. Yesterday calls opened 10 to 1. Nobody is pressing a bet before 2PM.
THE MAGNETS HELD:
Yesterday's expiring calls rolled off. The positive side came through the night better than expected.
Positive gamma from $770 to $790: $657M
$775 (+$73M)
$780 (+$125M)
$800 (+$183M), the biggest positive strike on the board, and growing
$810 (+$106M)
$770 is flat at +$3M. Price is sitting on the zero line.
BELOW:
$765 (-$159M). -$101M of it expires Friday.
$763 max pain
$760 (-$140M)
$750 (-$218M), the biggest strike on the board
About $1.1B of negative gamma from $740 to $769. Only $54M of gamma expires today. The Fed hits the board as it stands.
$770 is the line. $770.54 is price. $775 and $780 are the magnets. $765 is the first cliff. Above $770 the magnets pull. Below it, $765 is the first stop. The Fed decides which side it lands on.
$770.54. Up 0.11%. Sitting right on the line, waiting on the Fed.
YESTERDAY:
At 11:57AM $SPY was $770.51 with the rebuild complete. It closed $769.66. This morning it's back at $770.
TUE 11:57AM → WED 10:09AM:
Price: $770.51 → $770.54
Composite: +26.8 → -8.3 (neutral)
Options surface: -$391M → -$528M
Engine: +103M → -2M
Net premium: +$667M → +$294M
Premium: 77% calls → 71% calls
The flow cooled. The structure held. Calls are still 71% of premium, but the engine went flat and the composite slipped to neutral.
THE TELL:
New positions are opening about 1 to 1 against closing, on both calls and puts. Yesterday calls opened 10 to 1. Nobody is pressing a bet before 2PM.
THE MAGNETS HELD:
Yesterday's expiring calls rolled off. The positive side came through the night better than expected.
Positive gamma from $770 to $790: $657M
$775 (+$73M)
$780 (+$125M)
$800 (+$183M), the biggest positive strike on the board, and growing
$810 (+$106M)
$770 is flat at +$3M. Price is sitting on the zero line.
BELOW:
$765 (-$159M). -$101M of it expires Friday.
$763 max pain
$760 (-$140M)
$750 (-$218M), the biggest strike on the board
About $1.1B of negative gamma from $740 to $769. Only $54M of gamma expires today. The Fed hits the board as it stands.
$770 is the line. $770.54 is price. $775 and $780 are the magnets. $765 is the first cliff. Above $770 the magnets pull. Below it, $765 is the first stop. The Fed decides which side it lands on.