According to former hedge fund analyst Alphatica, SPY (SPDR S&P 500 ETF Trust) closed Friday at $737.55, down 2.6% on the day. Option expiration cleared $871 million in negative gamma at the $740 strike, reducing total negative GEX from an intraday peak of $1.847 billion to $868 million, easing selling pressure. Multiple indicators turned bearish: a composite score of -22.9, an IV skew of +5.35%, and $3 billion in single-day put premiums. Bullish factors include a Vanna reading of 190,800, which could trigger buying if IV declines from 15.7%. Alphatica noted that Monday’s market could face two potential scenarios, and attention should be paid to whether institutions rebuild market structure.
SPY drops 2.6% as options expiry reduces negative gamma selling pressure
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Summary
SPY fell 2.6% to $737.55 on Friday, pressured by the options market. Expiry reduced negative gamma at the $740 strike from $1.847 billion to $868 million. On-chain data shows a composite score of -22.9, an IV skew of +5.35%, and a daily put premium of $3 billion. A Vanna reading of 190,800 suggests buying could follow if IV declines from 15.7%. Institutions may be rebuilding market structure ahead of Monday’s open.
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