$SPY sitting at $767.43, up 1.73%, right on the crack.
The setup: $767 shows -$86M gamma, $99M of it expiring today. Price is 43 cents above it. Dealers just flipped short gamma at spot.
The cushion is all today's expiration — +$263M. Everything else is about -$182M. Once 4PM hits, that support evaporates.
$770 is the line (+$205M), but $130M of that also expires today. Above that, $775 and $780 hold decent gamma. Below, $767 is the crack, $762.60 is the flip to negative gamma, and $750 shows -$139M.
Flow peaked 10 minutes ago. Composite still lean bullish at +22.2, engine at +81M, net premium +$718M. Calls hold 69% of premium. But put volume is 5.8M contracts vs 4.9M calls. Puts opening 6.5 to 1, calls 10.1 to 1.
Price held, but the structure underneath is thinning into the close. If $767 cracks, the gamma flip at $762.60 is next. If it holds through expiration, $770 is the test.
The setup: $767 shows -$86M gamma, $99M of it expiring today. Price is 43 cents above it. Dealers just flipped short gamma at spot.
The cushion is all today's expiration — +$263M. Everything else is about -$182M. Once 4PM hits, that support evaporates.
$770 is the line (+$205M), but $130M of that also expires today. Above that, $775 and $780 hold decent gamma. Below, $767 is the crack, $762.60 is the flip to negative gamma, and $750 shows -$139M.
Flow peaked 10 minutes ago. Composite still lean bullish at +22.2, engine at +81M, net premium +$718M. Calls hold 69% of premium. But put volume is 5.8M contracts vs 4.9M calls. Puts opening 6.5 to 1, calls 10.1 to 1.
Price held, but the structure underneath is thinning into the close. If $767 cracks, the gamma flip at $762.60 is next. If it holds through expiration, $770 is the test.
