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SPY (767.40) sits in a pocket: −$425M of gamma at 764 below it and +$555M at 770 above it. 764 is the largest negative strike on the board, 3.40 under spot, and 760 (−$182M), 762 (−$90M) and 765 (−$173M) sit around it. 770 is the largest positive, 2.60 over spot and inside the top of the expected move (772.05), with 769 (+$198M) and 771 (+$197M) either side of it.
Wednesday's map is gone. Wednesday's open showed a +$787M chain with a 760 call wall, a 767 put wall and a 763.71 flip, with SPY at 762.37. Today the chain nets +$256M (+$1,525M above spot, −$1,269M below), the call wall is 770, the put wall is 764 and the flip has jumped to 774.72, 7.32 over spot and past the top of the expected move. Spot is 5.03 higher than Wednesday's open, sitting right on 767, which was Wednesday's put wall and is +$51M today. Implied vol (ATM) is 16, down from 23, and the expected move is ±0.6% (±$4.65, or 762.75–772.05).
The weak strikes are underneath. 64 of the chain's 110 strikes are negative, summing to −$1,378M against the +$256M total, and 755 through 763 alone net −$534M. Max pain is 766, 1.40 below spot. The feed carries only the 0DTE chain (one expiry, 220 contracts), so open interest further out is not in these numbers.
Net gamma by strike near spot: 755 −$37M, 756 −$15M, 757 −$23M, 758 −$61M, 759 −$32M, 760 −$182M, 761 −$49M, 762 −$90M, 763 −$44M, 764 −$425M, 765 −$173M, 766 −$50M, 767 +$51M, 768 −$58M, 769 +$198M, 770 +$555M, 771 +$197M, 772 +$11M, 773 +$135M, 774 +$115M, 775 +$160M, 776 +$52M, 777 +$39M, 778 +$23M. The chain has 64 negative strikes in all, summing to −$1,378M, against a +$256M total.
Flip · Call wall · flip and status pulled live per ticker, not estimated. Five of the eight return a flip, and all five are above it — AAPL is 1.1% over, APP 1.7% over, DAL 8.0% over, MRNA 12.2% over and INTC 22.7% over; AMD, NVDA and TSLA have none. The feed holds 30 live prints totalling $2.49M (five prints that expired yesterday are excluded), and the largest is AMD's $431K call. These eight names account for 22 of them and $2.15M, $989K of it calls and $1.17M puts.
| Ticker | Spot | Flip | Call Wall | Status | Today's flow |
|---|---|---|---|---|---|
| AAPL | 352.83 | 348.97 | 350 | ABOVE FLIP | Seven put prints for $677,293, all 11/6: three $345 puts for $439,428 ($265,743, $158,380 and $15,305, 2.2% out of the money), three $350 puts for $199,568 (0.8% out) and a $347.5 put for $38,297 (1.5% out). AAPL is 1.1% over its 348.97 flip at 352.83 (+1.0%), with the 350 call wall 0.8% below spot and the 345 put wall 2.2% below, so the $345 puts sit on the put wall and the $350 puts on the call wall. Chain gamma is +$568M, the largest of the eight. Four more $350 puts that expired yesterday are excluded. |
| AMD | 465.67 | — | 500 | NO FLIP | One call print: a $550C 12/18 for $431,250, 18.1% out of the money and the largest print in the feed. AMD is at 465.67, quoted down 4.7%, with no reliable flip; the 500 call wall is 7.4% overhead and the 450 put wall is 3.4% below. Chain gamma is −$32M (nearest expiry 11/6). |
| MRNA | 255.5 | 227.69 | 250 | ABOVE FLIP | Two call prints for $274,055, both 11/20: a $280C for $160,865 (9.6% out of the money) and a $290C for $113,190 (13.5% out). MRNA is 12.2% over its 227.69 flip at 255.5 (−1.3%), with the 250 call wall 2.2% below spot and the 257.5 put wall 0.8% above it, so both calls are struck well past the call wall. Chain gamma is +$33M. |
| APP | 334 | 328.52 | 340 | ABOVE FLIP | One put print: a $235P 11/6 for $196,101, flagged as a floor print in the feed and 29.6% out of the money. APP is 1.7% over its 328.52 flip at 334, quoted up 22.9%, with the 340 call wall 1.8% overhead and the 300 put wall 10.2% below. Chain gamma is +$29M. |
| INTC | 56.52 | 46.05 | 63 | ABOVE FLIP | One put print: a $50P 12/18 for $190,000, 11.5% out of the money. INTC is 22.7% over its 46.05 flip at 56.52 (−3.0%), with the 63 call wall 11.5% overhead and the 55 put wall 2.7% below. Chain gamma is −$13M. |
| NVDA | 196.53 | — | 207.5 | NO FLIP | Four prints for $184,781: a $210C 11/13 for $82,205 (6.9% out of the money), a $190P 11/6 for $59,176 (3.3% out) and two $160P 11/20 for $28,000 and $15,400 (18.6% out). NVDA is at 196.53 (−1.8%) with no reliable flip; the 207.5 call wall is 5.6% overhead and the 200 put wall sits 1.8% above spot. Chain gamma is −$106M, the most negative of the eight. |
| TSLA | 376.26 | — | 400 | NO FLIP | One call print: a $387.5C 11/6 for $113,120, 3.0% out of the money. TSLA is at 376.26 (−2.3%) with no reliable flip; the 400 call wall is 6.3% overhead and the 380 put wall sits 1.0% above spot. Chain gamma is −$79M. |
| DAL | 88.7 | 82.13 | 90 | ABOVE FLIP | Five call prints for $88,198, all $93C 11/6: $19,635, $18,601, $17,600, $17,088 and $15,274 (4.8% out of the money). DAL is 8.0% over its 82.13 flip at 88.7 (−0.6%), with the 90 call wall 1.5% overhead and the 81 put wall 8.7% below. Chain gamma is +$34M. |
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