SPY opened Wednesday at $766.43, up 1.60% post-election. The overnight move was clean: price ran from $754 to $766, the options surface flipped from -$1.8B to +$106M, and the composite swung from -20.1 to +24.2. That's a $1.9B surface shift in under 24 hours.
The election hedge came off hard. The $740 Wednesday puts that were holding -$75M yesterday are down to under $9M. ATM IV dropped 3 points — calls from 19.1% to 15.5%, puts from 18.7% to 15.8%. The event passed, price moved away from the protection, and vol collapsed.
Price is now $7.60 above the gamma flip at $758.83. That puts us in positive gamma territory — dealers buy dips, sell rips. The cushion is above price now, not below. From $759 to $790, there's about $1.0B of positive gamma. Below $758, it's -$850M.
Key strikes: $767 is a hidden cliff with -$50M expiring today. $770 holds +$149M, but $82M of that expires at 4PM. $775 and $780 are each over +$100M. $800 is the biggest positive strike at +$161M. Below, $760 is max pain at -$37M, $750 is -$147M, and $740 is -$142M.
ATM IV is back to normal skew — 15.5% calls, 15.8% puts. Realized vol is 11.4%. Options are now pricing about $7.60 a day, down from $9.
The line is $770. Price is $766.43. The flip is $758.83. Conditions improved overnight. The question is how much of that $770 strike survives today's expiration.
The election hedge came off hard. The $740 Wednesday puts that were holding -$75M yesterday are down to under $9M. ATM IV dropped 3 points — calls from 19.1% to 15.5%, puts from 18.7% to 15.8%. The event passed, price moved away from the protection, and vol collapsed.
Price is now $7.60 above the gamma flip at $758.83. That puts us in positive gamma territory — dealers buy dips, sell rips. The cushion is above price now, not below. From $759 to $790, there's about $1.0B of positive gamma. Below $758, it's -$850M.
Key strikes: $767 is a hidden cliff with -$50M expiring today. $770 holds +$149M, but $82M of that expires at 4PM. $775 and $780 are each over +$100M. $800 is the biggest positive strike at +$161M. Below, $760 is max pain at -$37M, $750 is -$147M, and $740 is -$142M.
ATM IV is back to normal skew — 15.5% calls, 15.8% puts. Realized vol is 11.4%. Options are now pricing about $7.60 a day, down from $9.
The line is $770. Price is $766.43. The flip is $758.83. Conditions improved overnight. The question is how much of that $770 strike survives today's expiration.
