August monthly OPEX lands tomorrow. Here's what ten years of data actually say.
$SPY gapped lower on 7 of 10. Then closed above the open on 7 of 10. Five of those seven gap-down years recovered intraday.
Open to close averaged +0.264%. Close to close only +0.137%. The weakness shows up in the gap, not the session itself.
We pulled full chains back to 2016 and measured dealer gamma at each pre-OPEX Thursday close. Six years positive, four negative.
Positive gamma years averaged a 0.677% intraday range. Negative years averaged 1.098%. Direction? No edge either way.
Gamma sign tells you how far price can move. It does not tell you which direction.
Going into tomorrow: gamma reads -$1.60bn, mildly negative. Delta is positive, but it's been positive all ten years for structural reasons and carries zero information.
Our read: expect a range above 1.0%, no directional edge.
$SPY $QQQ
$SPY gapped lower on 7 of 10. Then closed above the open on 7 of 10. Five of those seven gap-down years recovered intraday.
Open to close averaged +0.264%. Close to close only +0.137%. The weakness shows up in the gap, not the session itself.
We pulled full chains back to 2016 and measured dealer gamma at each pre-OPEX Thursday close. Six years positive, four negative.
Positive gamma years averaged a 0.677% intraday range. Negative years averaged 1.098%. Direction? No edge either way.
Gamma sign tells you how far price can move. It does not tell you which direction.
Going into tomorrow: gamma reads -$1.60bn, mildly negative. Delta is positive, but it's been positive all ten years for structural reasons and carries zero information.
Our read: expect a range above 1.0%, no directional edge.
$SPY $QQQ