SPY opened at $773.11, down 0.63% after a hot CPI print. Core 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. Hot across the board.
Price fell back under the regime line. From yesterday 2:45pm to today 10:23am:
Price: $777.62 → $773.11
Options surface: +$280M → -$1.33B
Composite: +23.6 → -11.9
Premium: 66% calls → 55% calls
Net premium: +$488M → +$85M
Engine: +70M → -27M
Every reading got worse. Tuesday closed $778.01, $1.08 short of the record close. The print took it straight into the cliff.
Every strike from $765 to $777 is negative gamma — about $1.2B of it. The first positive strike is $778, $4.89 above price. Dealers are amplifying moves here, not absorbing them.
Biggest strikes:
$773 (-$189M), right at price
$772 (-$276M), the biggest strike on the board
$770 (-$155M)
$765 (-$150M)
Friday is monthly OPEX. Most of the cliff expires with it:
$772: -$201M of its -$276M expires Friday
$773: -$123M of its -$189M expires Friday
The trapdoor is real for two and a half sessions. Then most of it rolls off.
Above, the magnets shrank. $780 is +$119M and $785 is +$118M, both about half of yesterday. About $640M of positive gamma between $778 and $790.
ATM IV: 14.0% calls, 13.1% puts. Up from 12.9% yesterday. Realized vol: 9.5%. Implied vol jumped, but calls are priced above puts. Puts are opening 2.2 to 1 over closing, but nobody is paying up for protection.
$778 is the line. $773.11 is price. $772 is the cliff. $767 is max pain. $765 is the floor of the negative zone.
Hot print. Wrong side of the line. The biggest strike on the board is a dollar below.
$SPY $QQQ
Price fell back under the regime line. From yesterday 2:45pm to today 10:23am:
Price: $777.62 → $773.11
Options surface: +$280M → -$1.33B
Composite: +23.6 → -11.9
Premium: 66% calls → 55% calls
Net premium: +$488M → +$85M
Engine: +70M → -27M
Every reading got worse. Tuesday closed $778.01, $1.08 short of the record close. The print took it straight into the cliff.
Every strike from $765 to $777 is negative gamma — about $1.2B of it. The first positive strike is $778, $4.89 above price. Dealers are amplifying moves here, not absorbing them.
Biggest strikes:
$773 (-$189M), right at price
$772 (-$276M), the biggest strike on the board
$770 (-$155M)
$765 (-$150M)
Friday is monthly OPEX. Most of the cliff expires with it:
$772: -$201M of its -$276M expires Friday
$773: -$123M of its -$189M expires Friday
The trapdoor is real for two and a half sessions. Then most of it rolls off.
Above, the magnets shrank. $780 is +$119M and $785 is +$118M, both about half of yesterday. About $640M of positive gamma between $778 and $790.
ATM IV: 14.0% calls, 13.1% puts. Up from 12.9% yesterday. Realized vol: 9.5%. Implied vol jumped, but calls are priced above puts. Puts are opening 2.2 to 1 over closing, but nobody is paying up for protection.
$778 is the line. $773.11 is price. $772 is the cliff. $767 is max pain. $765 is the floor of the negative zone.
Hot print. Wrong side of the line. The biggest strike on the board is a dollar below.
$SPY $QQQ