$SPY opened flat at $771.11 on monthly expiration — down 0.09%. Yesterday's late-session bullish flow (+$2 rip into the bell from 2:43PM) faded overnight. The composite flipped from +23.7 to -12.9. Money's still buying calls (68% of premium), but the conviction isn't holding.
The real story is the cliff at $772. Thursday's hidden -$214M strike doubled to -$442M, almost all expiring today. It's the biggest strike on the board, sitting $0.89 above price. Right above it: $773 and $775 each have +$161M — positive gamma magnets a dollar apart.
Below: $769 (-$127M), $768 (-$90M), $765 (-$182M, max pain), $760 (-$188M). About $1.7B of negative gamma from $750 to $772. About $900M of positive gamma from $773 to $790.
ATM IV: 14.0% calls, 13.5% puts. Realized vol: 9.6%. Down 0.96% for the week from $778.57.
The line is $773. Clear it and the magnets pull you higher. Fail at $772 and expiration pins you to $765. One dollar, two outcomes.
The real story is the cliff at $772. Thursday's hidden -$214M strike doubled to -$442M, almost all expiring today. It's the biggest strike on the board, sitting $0.89 above price. Right above it: $773 and $775 each have +$161M — positive gamma magnets a dollar apart.
Below: $769 (-$127M), $768 (-$90M), $765 (-$182M, max pain), $760 (-$188M). About $1.7B of negative gamma from $750 to $772. About $900M of positive gamma from $773 to $790.
ATM IV: 14.0% calls, 13.5% puts. Realized vol: 9.6%. Down 0.96% for the week from $778.57.
The line is $773. Clear it and the magnets pull you higher. Fail at $772 and expiration pins you to $765. One dollar, two outcomes.