$SPY opened Friday at $776.65, up 0.35%, back above the regime line at $774.04 and just $2.44 from the record close at $779.09.
The Cold PPI Signal closed out after 20 days: +2.12% from the Sep 10 entry at $757.83, beating the historical 20-day average of +1.22% by 0.90 points. 72% win rate, statistically significant at p = 0.004. Even Thursday's -0.42% dip couldn't drag it below the line.
Overnight repair was textbook. Yesterday's 1:30PM session was the worst read of the week — price at $771.19, options surface at -$1.01B, composite at -7.4, net premium at -$128M, engine at -110M. By this morning: price $776.65, surface +$414M, composite +22.9, net premium +$299M, engine +1M. Premium mix flipped from 46% calls to 70% calls. Same pattern we've tracked all quarter: afternoon put wave hits, overnight flow repairs it.
Structure is clean but conditional. About $1.5B of positive gamma stacked between $775 and $790 — $777 at +$147M, $780 at +$278M, $785 at +$247M, $790 at +$140M. Below the regime line, about $670M of negative gamma between $760 and $774, with $765 at -$113M as the largest and max pain.
The catch: today's expiration holds +$426M of gamma — essentially the entire positive surface. Most of $777 and more than half of $780 expire at 4PM. The cushion is real today, thinner on Monday.
ATM IV at 12.6% calls, 13.1% puts. Realized vol at 9.9%. Calm and getting calmer.
Week: last Friday close $769.64, now $776.65, up 0.91%.
$774 is the line. $776.65 is price. $777 and $780 are the magnets. $779.09 is the record close. Signal closed above its average. Structure repaired overnight. Last session of the week.
The Cold PPI Signal closed out after 20 days: +2.12% from the Sep 10 entry at $757.83, beating the historical 20-day average of +1.22% by 0.90 points. 72% win rate, statistically significant at p = 0.004. Even Thursday's -0.42% dip couldn't drag it below the line.
Overnight repair was textbook. Yesterday's 1:30PM session was the worst read of the week — price at $771.19, options surface at -$1.01B, composite at -7.4, net premium at -$128M, engine at -110M. By this morning: price $776.65, surface +$414M, composite +22.9, net premium +$299M, engine +1M. Premium mix flipped from 46% calls to 70% calls. Same pattern we've tracked all quarter: afternoon put wave hits, overnight flow repairs it.
Structure is clean but conditional. About $1.5B of positive gamma stacked between $775 and $790 — $777 at +$147M, $780 at +$278M, $785 at +$247M, $790 at +$140M. Below the regime line, about $670M of negative gamma between $760 and $774, with $765 at -$113M as the largest and max pain.
The catch: today's expiration holds +$426M of gamma — essentially the entire positive surface. Most of $777 and more than half of $780 expire at 4PM. The cushion is real today, thinner on Monday.
ATM IV at 12.6% calls, 13.1% puts. Realized vol at 9.9%. Calm and getting calmer.
Week: last Friday close $769.64, now $776.65, up 0.91%.
$774 is the line. $776.65 is price. $777 and $780 are the magnets. $779.09 is the record close. Signal closed above its average. Structure repaired overnight. Last session of the week.