Election Day open: $SPY at $754, up 0.25%. Monday closed at $752.10 — the lowest close in 30 days, breaking below the $755 falling wedge.
The flow came back. The structure didn't.
Overnight shift (Mon 2:50PM → Tue 10:12AM):
Price: $753.42 → $754.00
Composite: -46.6 → -20.1 (still lean bearish)
Options surface: -$1.69B → -$1.80B
Engine: -225M → +7M
Net premium: -$1.12B → +$337M
Premium mix flipped: 30% calls → 70% calls
Gamma map:
$SPY is $4.61 under the $758.61 gamma flip. Still in negative gamma territory.
Upside strikes (positive gamma):
$761: +$14M (mostly today's calls)
$770: +$27M
$775: +$35M
$780: +$55M
Total calls above $759: ~$360M
Downside strikes (negative gamma):
$755: -$111M
$750: -$215M
$745: -$180M
$740: -$285M (now the biggest strike on the board)
$730: -$173M
$730 to $757 range: -$1.58B of negative gamma. Dealers are short gamma underneath current price.
Election hedges:
More put open interest expires Wednesday than today. The hedge is sitting on the day after.
$740 Wednesday puts: -$69M yesterday → -$75M now
$756 Wednesday puts: -$35M
$755 Wednesday puts: -$27M
Options are pricing ~$9/day. $SPY has been moving $5.
$758.61 is the flip. $754 is price. $740 is the cliff. Buyers showed up, but dealers are still short gamma underneath. Tonight decides which one wins.
The flow came back. The structure didn't.
Overnight shift (Mon 2:50PM → Tue 10:12AM):
Price: $753.42 → $754.00
Composite: -46.6 → -20.1 (still lean bearish)
Options surface: -$1.69B → -$1.80B
Engine: -225M → +7M
Net premium: -$1.12B → +$337M
Premium mix flipped: 30% calls → 70% calls
Gamma map:
$SPY is $4.61 under the $758.61 gamma flip. Still in negative gamma territory.
Upside strikes (positive gamma):
$761: +$14M (mostly today's calls)
$770: +$27M
$775: +$35M
$780: +$55M
Total calls above $759: ~$360M
Downside strikes (negative gamma):
$755: -$111M
$750: -$215M
$745: -$180M
$740: -$285M (now the biggest strike on the board)
$730: -$173M
$730 to $757 range: -$1.58B of negative gamma. Dealers are short gamma underneath current price.
Election hedges:
More put open interest expires Wednesday than today. The hedge is sitting on the day after.
$740 Wednesday puts: -$69M yesterday → -$75M now
$756 Wednesday puts: -$35M
$755 Wednesday puts: -$27M
Options are pricing ~$9/day. $SPY has been moving $5.
$758.61 is the flip. $754 is price. $740 is the cliff. Buyers showed up, but dealers are still short gamma underneath. Tonight decides which one wins.
