$SPY opens at $775.92, down 0.17% — one dollar below the regime line at $777.03. Final day of the cold PPI signal window.
Yesterday dipped to $773.61, tagged the old $774 ceiling that held all summer, then closed back at $777.22. That level is now support.
Options surface near neutral at -$105M. Composite +17.0, also neutral. Premium is 70% calls, $353M net.
The gamma structure is binary around $777:
Below the line: ~$730M negative gamma from $765 to $777. Biggest strike is $767 at -$150M, nearly all expiring tomorrow. Dealers amplify moves down here.
Above the line: ~$1.2B positive gamma from $778 to $790. $780 holds +$223M, $785 holds +$283M. Dealers absorb moves up here.
One dollar of price separates the two regimes.
The cold PPI signal (published Sept 10) closes today. Historical 20-day average after a cold print: +1.22%, 72% win rate, p = 0.004. $SPY is currently +2.39% from the Sept 10 close of $757.83. Anything above $767.08 beats the average. The official result is today's close.
$774 is support. $775.92 is price. $777 is the line. $780 is the first magnet. $779.09 is the record close.
A dollar from the line. The signal window closes today.
Yesterday dipped to $773.61, tagged the old $774 ceiling that held all summer, then closed back at $777.22. That level is now support.
Options surface near neutral at -$105M. Composite +17.0, also neutral. Premium is 70% calls, $353M net.
The gamma structure is binary around $777:
Below the line: ~$730M negative gamma from $765 to $777. Biggest strike is $767 at -$150M, nearly all expiring tomorrow. Dealers amplify moves down here.
Above the line: ~$1.2B positive gamma from $778 to $790. $780 holds +$223M, $785 holds +$283M. Dealers absorb moves up here.
One dollar of price separates the two regimes.
The cold PPI signal (published Sept 10) closes today. Historical 20-day average after a cold print: +1.22%, 72% win rate, p = 0.004. $SPY is currently +2.39% from the Sept 10 close of $757.83. Anything above $767.08 beats the average. The official result is today's close.
$774 is support. $775.92 is price. $777 is the line. $780 is the first magnet. $779.09 is the record close.
A dollar from the line. The signal window closes today.