$SPY opened Monday at $778.10, flat and three bucks above the regime line. Still 99 cents shy of the record close.
Friday's close: $778.57 — missed the all-time close of $779.09 by 52 cents. Price pinned under $780 all afternoon, exactly as the gamma surface predicted.
Weekend hedge unwind: Friday 3PM, put IV was 2.3 points over calls — widest skew of the week. This morning? Flat. 12.7% calls, 12.8% puts. Nothing happened over the weekend, so the protection got sold back.
The structure:
Options surface: +$566M
Premium: 70% calls, $281M net
Engine: -2M (flat)
Composite: -14.5 (neutral)
Regime line sits at $774.97. Price is $3.12 above it. Dealers are still absorbing.
Upside: About $1.3B of positive gamma from $778 to $790.
$780 (+$252M)
$783 (+$109M)
$785 (+$288M)
$790 (+$183M)
Downside: About $440M of negative gamma from $765 to $777.
$772 (-$101M)
$765 (-$100M, also max pain)
The soft spot: Composite score slipped to -14.5 even with price flat. Premium is still 70% calls, but the engine is flat and new positioning is light. Early Monday — flow hasn't committed yet.
This week: Friday is October monthly OPEX. Most of the $785 strike (+$184M) and most of the $772 cliff (-$75M) expire Friday. That's the strike pair framing the week.
$775 is the line. $778.10 is price. $779.09 is the record. $780 is the first magnet. $785 is the OPEX magnet.
Under a dollar from a record. The hedges are off.
Friday's close: $778.57 — missed the all-time close of $779.09 by 52 cents. Price pinned under $780 all afternoon, exactly as the gamma surface predicted.
Weekend hedge unwind: Friday 3PM, put IV was 2.3 points over calls — widest skew of the week. This morning? Flat. 12.7% calls, 12.8% puts. Nothing happened over the weekend, so the protection got sold back.
The structure:
Options surface: +$566M
Premium: 70% calls, $281M net
Engine: -2M (flat)
Composite: -14.5 (neutral)
Regime line sits at $774.97. Price is $3.12 above it. Dealers are still absorbing.
Upside: About $1.3B of positive gamma from $778 to $790.
$780 (+$252M)
$783 (+$109M)
$785 (+$288M)
$790 (+$183M)
Downside: About $440M of negative gamma from $765 to $777.
$772 (-$101M)
$765 (-$100M, also max pain)
The soft spot: Composite score slipped to -14.5 even with price flat. Premium is still 70% calls, but the engine is flat and new positioning is light. Early Monday — flow hasn't committed yet.
This week: Friday is October monthly OPEX. Most of the $785 strike (+$184M) and most of the $772 cliff (-$75M) expire Friday. That's the strike pair framing the week.
$775 is the line. $778.10 is price. $779.09 is the record. $780 is the first magnet. $785 is the OPEX magnet.
Under a dollar from a record. The hedges are off.