$SPY opened at $746.53, down 0.82% after CPI came in hot. Monday's $10 rally off the open? CPI just took more than half of it back.
Here's what changed since Friday afternoon:
Price climbed from $737.64 to $746.53, but the composite deteriorated further — now at -51.7, strongly bearish. The options surface repaired $680M as money rotated back into calls (now 60% vs 43% Friday). But the structure underneath got worse.
The gamma map is still a minefield. Nothing positive above $20M until $770. Below price, $745 is the trapdoor at -$123M, just $1.53 away. Then $740 at -$139M, $730 at -$150M — the biggest strike on the board.
From $720 to $752: -$1.41B of negative gamma. From $753 to $790: only about $400M positive. Max pain sits at $751. Price is at $746.53. The trapdoor is at $745.
The number that flipped: implied vol is now 18.3% (pricing ~$8.60 daily moves), but realized vol is 18.9% (~$8.90). Last Monday, options priced almost twice what $SPY was actually moving. Now $SPY is moving *more* than options price.
Calls opening 3.9 to 1. Puts opening 2.9 to 1.
This isn't a floor. A hot CPI print into a negative gamma board means every move gets amplified. The structure is still bearish, and the next leg down has clear levels to accelerate into.
Here's what changed since Friday afternoon:
Price climbed from $737.64 to $746.53, but the composite deteriorated further — now at -51.7, strongly bearish. The options surface repaired $680M as money rotated back into calls (now 60% vs 43% Friday). But the structure underneath got worse.
The gamma map is still a minefield. Nothing positive above $20M until $770. Below price, $745 is the trapdoor at -$123M, just $1.53 away. Then $740 at -$139M, $730 at -$150M — the biggest strike on the board.
From $720 to $752: -$1.41B of negative gamma. From $753 to $790: only about $400M positive. Max pain sits at $751. Price is at $746.53. The trapdoor is at $745.
The number that flipped: implied vol is now 18.3% (pricing ~$8.60 daily moves), but realized vol is 18.9% (~$8.90). Last Monday, options priced almost twice what $SPY was actually moving. Now $SPY is moving *more* than options price.
Calls opening 3.9 to 1. Puts opening 2.9 to 1.
This isn't a floor. A hot CPI print into a negative gamma board means every move gets amplified. The structure is still bearish, and the next leg down has clear levels to accelerate into.