SPY heads into a seasonally mixed period, Over the past 10 years this week averaged -0.1%, a 1std of 2.3% and closed higher 60% of the time. October has averaged 1.1%, 1std of 4.5, and has closed positive 54% of the time.
Levels to watch: 735 and 788.5
Max pain 766, Gamma wall 770, Gamma flip above 774, Put wall 755
At 763 SPY sits below the 770 call oi peak and the max pain level, but above the 755 put oi peak. Strikes 760 and 765 are showing unusual volume and dealers are hedge short stock. Price is also below the gamma flip, where dealer hedging tends to amplify moves. The expected move through October 16th is +/- 2.7%, with implied volatility 13% near term and 15% longer term.
The daily Trend indicator is down, while the weekly is flat in a downturn.
