SPX gamma regime flipped positive Friday, but institutions piled into puts at the highest rate this series has recorded. Vol put/call hit 1.80 — highest in 120+ sessions. That's the tell.
CPI brought buyers, OPEX drained the near-dated puts that built last week's crisis chain, and the fear didn't leave. It rolled forward into the next cycle.
Headline improved: gamma from -$477M to +$128M, SPX up 65 points, flip levels cleaning from 11 to 5. The chain eased across the board — 7,500 from -$186M to -$109M, 7,550 from -$131M to -$77M, 7,600 from -$115M to -$89M.
Then look at what survived.
Friday's OPEX rolled off 102% of the positive gamma in the system. The stabilizing positions expired. Net gamma across all remaining expirations is negative.
The +$128M reads positive only because the distant magnets at 7,800 to 8,000 outweigh what sits locally. Spot at 7,657 is still 14 points below the flip, and everything from 7,500 to 7,650 is still negative.
Same split we've tracked for a month. What changed is that the positive side of it is now entirely composed of positions that expired.
Practical consequence for this week: wider intraday ranges. The gamma that compressed daily moves into 30 to 50 points is gone. Price moves more freely now, in both directions, on the same news.
September 18 monthly carries 57% of remaining gamma. That's the next structural event.
Range today: 7,600 to 7,725.
CPI brought buyers, OPEX drained the near-dated puts that built last week's crisis chain, and the fear didn't leave. It rolled forward into the next cycle.
Headline improved: gamma from -$477M to +$128M, SPX up 65 points, flip levels cleaning from 11 to 5. The chain eased across the board — 7,500 from -$186M to -$109M, 7,550 from -$131M to -$77M, 7,600 from -$115M to -$89M.
Then look at what survived.
Friday's OPEX rolled off 102% of the positive gamma in the system. The stabilizing positions expired. Net gamma across all remaining expirations is negative.
The +$128M reads positive only because the distant magnets at 7,800 to 8,000 outweigh what sits locally. Spot at 7,657 is still 14 points below the flip, and everything from 7,500 to 7,650 is still negative.
Same split we've tracked for a month. What changed is that the positive side of it is now entirely composed of positions that expired.
Practical consequence for this week: wider intraday ranges. The gamma that compressed daily moves into 30 to 50 points is gone. Price moves more freely now, in both directions, on the same news.
September 18 monthly carries 57% of remaining gamma. That's the next structural event.
Range today: 7,600 to 7,725.
