SPY closed at $769.79 on Thursday, flat on the day, but the flow underneath flipped hard.
Between 10AM and 2:43PM:
• Price: $767.28 → $769.79
• Composite Score: -51.6 → +23.7 (lean bullish)
• Options surface: -$1.69B → -$1.22B
• Engine: -7M → +11M
• Net premium: +$276M → +$408M
• Premium mix: 64% calls → 60% calls
Most bearish read of the week at 10AM. Lean bullish by afternoon. New calls opening 10 to 1 over closing.
Where price is sitting:
First real positive strike is $775, $5 above price. About $1.4B of negative gamma between $750 and $774.
Key strikes:
• $772: -$118M (but that's two positions netting out — today's expiring calls add +$112M, tomorrow's OPEX puts carry -$214M)
• $768: -$144M
• $765: -$223M, the biggest strike on the board, and max pain
• $760: -$129M
The hidden cliff at $772:
At 4PM today's calls expire. What's left at $772 is a -$214M Friday cliff, two dollars above price.
OPEX setup:
• $765: -$110M of its -$223M expires tomorrow
• $768: -$73M expires tomorrow
• $772: -$214M expires tomorrow
Above: $775 (+$107M) and $780 (+$113M).
Volatility:
ATM IV: 14.3% calls, 13.8% puts. Down from this morning. The fear premium came out.
$775 is the line. $769.79 is price. $772 is tomorrow's cliff. $765 is max pain.
The flow turned bullish this afternoon. The structure still has $1.4B of negative gamma underneath into OPEX.
Between 10AM and 2:43PM:
• Price: $767.28 → $769.79
• Composite Score: -51.6 → +23.7 (lean bullish)
• Options surface: -$1.69B → -$1.22B
• Engine: -7M → +11M
• Net premium: +$276M → +$408M
• Premium mix: 64% calls → 60% calls
Most bearish read of the week at 10AM. Lean bullish by afternoon. New calls opening 10 to 1 over closing.
Where price is sitting:
First real positive strike is $775, $5 above price. About $1.4B of negative gamma between $750 and $774.
Key strikes:
• $772: -$118M (but that's two positions netting out — today's expiring calls add +$112M, tomorrow's OPEX puts carry -$214M)
• $768: -$144M
• $765: -$223M, the biggest strike on the board, and max pain
• $760: -$129M
The hidden cliff at $772:
At 4PM today's calls expire. What's left at $772 is a -$214M Friday cliff, two dollars above price.
OPEX setup:
• $765: -$110M of its -$223M expires tomorrow
• $768: -$73M expires tomorrow
• $772: -$214M expires tomorrow
Above: $775 (+$107M) and $780 (+$113M).
Volatility:
ATM IV: 14.3% calls, 13.8% puts. Down from this morning. The fear premium came out.
$775 is the line. $769.79 is price. $772 is tomorrow's cliff. $765 is max pain.
The flow turned bullish this afternoon. The structure still has $1.4B of negative gamma underneath into OPEX.