Hot CPI just slammed into a thinning gamma floor.
Core CPI came in at +0.3% m/m vs +0.2% expected, +2.6% y/y vs +2.4% expected. Headline at +3.7% y/y vs +3.6% expected. The inflation surprise arrives with $SPX positioning significantly weaker than last week.
$SPX closed Tuesday at 7,805.45 — inside the predicted range for the second straight session. But beneath the quiet price action, net gamma fell for a third consecutive day: Friday +$1.17B, Monday +$1.09B, Tuesday +$967M. The gamma blanket has declined 34% from its October 6 record.
Put flow is returning. Volume put/call ratios: Friday 1.83, Monday 1.48, Tuesday 1.68. Two of the past three sessions closed above the 1.55 warning level while the gamma blanket thinned through all three. That's the setup identified by the thinning-cycle work. One more session would confirm it.
The floor weakened again: 7,800 gamma dropped from +$120M to +$106M. 7,750 gamma at -$72M, 7,725 at -$47M, and the 7,500 accelerator at -$53M. Last week all 10 leading strikes were magnets. Now an accelerator is back in the top 10.
Upside structure remains intact: 7,900 at +$203M, 8,000 at +$164M. Calls still dominate between 7,850 and 8,000, but the hot CPI print arrives with spot only 27 points above the gamma flip.
Today's decision level: 7,779. Above 7,779, dealers absorb volatility with 7,850 to 7,900 as resistance. Below 7,779, 7,750 becomes an accelerator toward 7,700. Expected range: 7,740 to 7,840.
The range is wider, the floor is thinner, and the distribution is weighted to the downside. Today is the test.
Core CPI came in at +0.3% m/m vs +0.2% expected, +2.6% y/y vs +2.4% expected. Headline at +3.7% y/y vs +3.6% expected. The inflation surprise arrives with $SPX positioning significantly weaker than last week.
$SPX closed Tuesday at 7,805.45 — inside the predicted range for the second straight session. But beneath the quiet price action, net gamma fell for a third consecutive day: Friday +$1.17B, Monday +$1.09B, Tuesday +$967M. The gamma blanket has declined 34% from its October 6 record.
Put flow is returning. Volume put/call ratios: Friday 1.83, Monday 1.48, Tuesday 1.68. Two of the past three sessions closed above the 1.55 warning level while the gamma blanket thinned through all three. That's the setup identified by the thinning-cycle work. One more session would confirm it.
The floor weakened again: 7,800 gamma dropped from +$120M to +$106M. 7,750 gamma at -$72M, 7,725 at -$47M, and the 7,500 accelerator at -$53M. Last week all 10 leading strikes were magnets. Now an accelerator is back in the top 10.
Upside structure remains intact: 7,900 at +$203M, 8,000 at +$164M. Calls still dominate between 7,850 and 8,000, but the hot CPI print arrives with spot only 27 points above the gamma flip.
Today's decision level: 7,779. Above 7,779, dealers absorb volatility with 7,850 to 7,900 as resistance. Below 7,779, 7,750 becomes an accelerator toward 7,700. Expected range: 7,740 to 7,840.
The range is wider, the floor is thinner, and the distribution is weighted to the downside. Today is the test.