These scores describe the overall market environment, not just the displayed tenor. The chart and chain table below are specific to the weekly expiration.
75
38
62
0.93
| Metric | Value |
|---|---|
| Expiration The Friday this report's chain data and all strike-level calculations are anchored to. Every wall, freshness reading, and expected move figure refers to options expiring on this date specifically. | 2026-10-09 |
| Weekly Expected Move The market's own estimate of how far SPY will travel between now and expiration, derived from near-the-money call and put premiums. Think of it as the ±1σ boundary the options market is currently pricing. Strikes inside this range are in play this week; strikes outside it are structural context, not active battleground. | 8.84 |
| Dominant Call Wall Strike The highest-impact upside wall for this expiry after relevance filtering. Distance to spot comes first, then fresh activity and OI size. This is meant to surface the call wall that actually matters this week, not a distant tail hedge. | 785.0 |
| Dominant Call Wall Offset How far the dominant call wall sits above current spot in strike points. When this remains inside roughly a few expected moves, it is active structure. If it drifts much farther out, it becomes background context rather than a live ceiling. | 5.4887 |
| Nearest Large Call Wall The closest meaningful upside OI cluster to current spot, even if it is not the largest by raw size. This is the wall that matters most for near-term price behavior - it can act as a magnet drawing price toward it, a ceiling capping upside, or an acceleration point if broken through with momentum. | 780.0 |
| Nearest Large Call Offset Distance in strike points from spot to the nearest meaningful call wall. When this is inside the expected move (less than the EM value), the wall is an active structural feature of this expiry. When it exceeds the EM, it is background context only. | 0.4887 |
| Dominant Put Wall Strike The highest-impact downside wall for this expiry after relevance filtering. Distance to spot comes first, then fresh activity and OI size. This is meant to capture the put wall shaping this week's tape, not a remote disaster hedge parked far below the market. | 767.0 |
| Dominant Put Wall Offset Distance in strike points from spot to the dominant put wall. This should now reflect an actionable support area rather than a deep tail hedge unless the displayed chain itself is extremely sparse. | -12.5113 |
| Nearest Large Put Wall The closest meaningful downside OI cluster to current spot. This is the put wall that matters this week - it can act as a support floor, a profit target for bear put spreads, or a level that absorbs a downside move before it can extend further. | 775.0 |
| Nearest Large Put Offset Distance in strike points from spot to the nearest meaningful put wall. When inside the expected move, this wall is structurally active and must be accounted for in strike placement. A short put above a nearby fresh wall means selling directly into active hedging demand. | -4.5113 |
| ATM Call IV Implied volatility of the call option closest to current spot. Reflects the market's near-term uncertainty premium for upside moves. Compare to ATM Put IV to assess skew direction. | 11.626 |
| ATM Put IV Implied volatility of the put option closest to current spot. Reflects the near-term uncertainty premium for downside moves. Typically higher than call IV due to structural put demand from hedgers. | 11.626 |
| Put/Call IV Ratio ATM Put IV divided by ATM Call IV. Above 1.0 means the market is paying more to hedge downside than upside - the normal state reflecting structural put demand. Below 1.0 means calls are richer, signaling unusual upside hedging demand or a momentum-driven call-buying environment. At exactly 1.0 the skew is flat, which is atypical and worth noting. | 1.0 |
| Support Zone The price area where put-side pressure in the structural profile is most concentrated and strongest. This is where dealer long-put exposure creates the largest mechanical buying impulse on a decline - not a guaranteed floor, but the level where downside momentum is most likely to slow or stall based on current OI distribution. | 770.38 |
| Resistance Zone The price area where call-side pressure is most concentrated. This is where dealer short-call exposure creates the largest mechanical selling impulse on a rally - not a guaranteed ceiling, but the level where upside momentum is most likely to meet structural friction. | 780.0 |
| Pin Zone The price level where put support and call resistance are most balanced and mutually offsetting in the near-term chain. In a pinning regime, spot gravitates toward this level as expiration approaches because dealer hedging flows on both sides converge there, suppressing directional movement. This is the structural equilibrium for the current expiry - not a prediction, but the center of gravity implied by the OI distribution within the expected move range. | 775.19 |
| Flip Zone The price level where the net pressure profile crosses zero - transitioning from net put-supportive below to net call-resistive above, or vice versa. Below the flip, put pressure dominates and the tape tends to find structural support. Above it, call pressure dominates and upside tends to meet resistance. The flip is the dividing line between two structurally different environments. When spot is near the flip zone, small moves can shift the directional character of the tape meaningfully. | 784.82 |
| Gamma Vacuum Above A flag indicating that open interest above spot is thin relative to the ATM complex. When true, an upside move has less natural resistance from dealer hedging - once price clears nearby call walls, it can accelerate more easily through the vacuum. This amplifies the risk for short calls and the opportunity for long calls. It does not mean a move is imminent, only that the path of least resistance overhead is cleaner than usual. | True |
| Gamma Vacuum Below The same concept applied to the downside. When true, a decline has less structural support from put OI below spot, meaning a breakdown can travel faster and further before finding a natural floor. When false, downside OI is dense enough to slow a move through dealer delta-hedging flows. | False |
| Spot/Vol State The combined directional and volatility environment at report generation time. Spot up / VIX down is the Vanna melt-up regime - mechanical dealer buying as vol compresses, favorable for long premium fading and short puts, hostile for short calls. Spot down / VIX up is the stress regime - mechanical hedging demand, favorable for long puts, hostile for short puts. The other two states (spot up / VIX up and spot down / VIX down) reflect breakout and low-conviction drift environments respectively. | Spot ↑ / VIX ↓ |
| Days To Weekly Expiration Calendar days remaining until the expiration date this report is anchored to. As this approaches zero, Charm acceleration increases, Gamma becomes more concentrated near ATM strikes, and pinning dynamics intensify. At 3 DTE or fewer, the expected move shrinks rapidly and strike placement precision matters more than at 5+ DTE. | 3 |
| Price History (5d / 20d windows) | |
|---|---|
| 3-Day Return | 1.28% |
| 5-Day Return | 2.21% |
| 20-Day Return | 2.24% |
| Above 5-Day MA | Yes |
| Above 20-Day MA | Yes |
| Distance vs 5-Day MA | 1.22% |
| Distance vs 20-Day MA | 1.80% |
| VIX / Volatility | |
|---|---|
| VIX (30-Day) | 15.4 |
| VIX9D | 12.78 |
| VIX | 15.4 |
| VIX9D / VIX raw | 0.8299 |
| VIX9D / VIX smoothed | 0.8299 |
| Term-structure regime (4-state) | standard_baseline |
| Term-structure size modifier | 0.93 |
| Velocity circuit-breaker | No |
| VIX Below 20-Day MA | Yes |
| VIX vs 20-Day MA | -3.23% |
| Spot/Vol State | Spot ↑ / VIX ↓ |
Systemic governor: current weekly IVTS maps to a base size of 0.93x. Credit and debit structures may still size differently below based on verdict-specific rules [details].
Each verdict explains exactly which signals triggered it with the actual numbers. Short call risk block = 75/65, short put risk block = 38/65, premium selling risk = 62/70.
| Structure | Factors | Context |
|---|---|---|
Bear Call Credits: avoid ↓size: pass IVTS is 0.830 in a standard baseline regime, and the market is too hostile for selling premium here. Even though this is a defined-risk spread, the short-premium setup is not acceptable. | Directional (primary) Vacuum (secondary) Call Wall (secondary) Flow (secondary) Systemic (systemic) Tape (secondary) | Additionally: Spot up / vol down (vanna melt-up): vol sellers suppressing IV while price lifts. Directionally hostile for short calls, though less explosive than a vol-up breakout.; Gamma vacuum above spot with active upside momentum: thin OI above means a move higher can accelerate through short strikes with no natural resistance.; IVTS regime standard_baseline (0.830): low-vol dealer flows can amplify upside squeezes through call walls - short call exposure is elevated in this environment.; Price is +2.2% over 5d and above the 20d MA - upside momentum is intact. |
Bull Put Credits: allow ↑size: 0.93x IVTS is 0.830 in a standard baseline regime, so the volatility background is close to normal. Because this is a short-premium credit spread, it still inherits that systemic governor directly. | Directional (primary) Put Wall (secondary) Flow (secondary) | Spot up / vol down: tape moving in favor of this position, puts moving OTM and vol dynamics supportive. Put wall at 775 is only 4.5pts below spot (0.58%, 0.51x EM) - structurally relevant support, but not yet a full battleground. Wall freshness 0.84 - modest activity near this level. Put-side volume/OI freshness near spot is 0.84 - modest put activity near ATM. Strike placement: the 775 put wall is inside this expiry's expected move (0.51x EM). A short strike below 775 is defensible only if the wall is holding as genuine support - entering above a wall with fresh put flow means selling into active hedging demand. |
Bull Call Debits: allow ↑size: 1.00x IVTS is 0.830 in a standard baseline regime, so the volatility backdrop remains close to normal. This is a defined-risk debit spread, and because the setup itself is allowed it can still use full size even while credit structures continue to key off the systemic governor. | Directional (primary) Vacuum (secondary) Call Wall (secondary) Payoff Efficiency (secondary) Flow (secondary) Regime (secondary) | Spot up / vol down: price moving in the right direction but vol compressing. Low-conviction grind - delta is working, vega is not. Manageable for a debit but not the ideal entry. Gamma vacuum above spot: thin OI means if a move starts it has room. Favorable for a long call if the catalyst arrives. Call wall at 780 is 0.5pts above spot (0.06x EM - inside the expected move). For this spread, the wall is primarily a profit target rather than a hard barrier. Wall freshness 0.47 - some active flow at this level. Nearby call-wall complex: 780 / 783 / 785. Payoff efficiency is modest: the nearest upside target at 780 is close enough that the spread has room to work, but not much room to outperform. Call-side volume/OI freshness near spot is 0.47 - modest call activity near ATM. Strike placement: the 780 call wall is inside the expected move (0.06x EM). Long strike below, short strike at or just above 780 - the wall is your profit target, not a barrier. The spread is sized for a move to the wall, not through it. |
Bear Put Debits: avoid ↓size: pass IVTS is 0.830 in a standard baseline regime, but the more important issue is the structure itself. This debit spread is not favored here, so the correct size is no entry. | Directional (primary) Put Wall (secondary) Payoff Efficiency (secondary) Flow (secondary) Regime (secondary) Systemic (secondary) | Additionally: Price +2.2% over 5d and above the 20d MA - bear puts are fighting a tape that is leaning up. The trade needs a reversal not yet in the data.; Payoff efficiency is constrained: the first meaningful downside objective is the 775 put wall, so the structure needs a precise move rather than open downside.; Regime is pinning: tape range-bound. Downside debits face the same theta problem as upside debits - paying for a move the structure is actively resisting.; IVTS standard_baseline: calm vol environment. Buying put premium into low IVTS means paying for optionality the market is not pricing as urgent. |
Both ranges are computed directly from the live options chain. The displayed chart and chain table above use the weekly lane only.
| Range | Expected Move | EM Up | EM Down | Expiry | Source | ATM Call Bid | ATM Put Bid |
|---|---|---|---|---|---|---|---|
| Weekly | 8.84 | 778.48 | 760.8 | 2026-10-09 | nyse_weekly_em_csv | 4.75 | 4.08 |
| 30 DTE | 34.24 | 803.88 | 735.4 | 2026-11-06 | ivts_scaled_from_weekly_em_csv | None | None |
Freshness is volume/open interest. Width % is bid/ask width relative to midpoint. Strike and OI cells are highlighted: dominant call wall nearest call wall resistance zone near ATM (<0.75%) nearest put wall dominant put wall support zone. Freshness cells: ≥1.0 ≥0.5 ≥0.25.
| Calls | Puts | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Strike | Dist | Bid | Ask | Mid | IV % | OI | Vol | Fresh | Width % | Strike | Dist | Bid | Ask | Mid | IV % | OI | Vol | Fresh | Width % |
| 780.00 | 0.49 | 3.23 | 3.25 | 3.24 | 11.58 | 34679.00 | 14989.00 | 0.43 | 0.62 | 780.00 | 0.49 | 3.28 | 3.29 | 3.29 | 11.58 | 1495.00 | 5864.00 | 3.92 | 0.30 |
| 781.00 | 1.49 | 2.72 | 2.74 | 2.73 | 11.40 | 2898.00 | 3112.00 | 1.07 | 0.73 | 779.00 | -0.51 | 2.83 | 2.84 | 2.83 | 10.82 | 1037.00 | 11367.00 | 10.96 | 0.35 |
| 782.00 | 2.49 | 2.27 | 2.29 | 2.28 | 11.29 | 3516.00 | 2627.00 | 0.75 | 0.88 | 778.00 | -1.51 | 2.43 | 2.44 | 2.44 | 10.98 | 718.00 | 5250.00 | 7.31 | 0.41 |
| 783.00 | 3.49 | 1.88 | 1.89 | 1.88 | 11.15 | 10896.00 | 3268.00 | 0.30 | 0.53 | 777.00 | -2.51 | 2.08 | 2.09 | 2.08 | 11.16 | 921.00 | 3305.00 | 3.59 | 0.48 |
| 784.00 | 4.49 | 1.53 | 1.55 | 1.54 | 11.06 | 6331.00 | 1856.00 | 0.29 | 1.30 | 776.00 | -3.51 | 1.78 | 1.79 | 1.79 | 11.34 | 1507.00 | 1456.00 | 0.97 | 0.56 |
| 785.00 | 5.49 | 1.24 | 1.25 | 1.25 | 10.98 | 125938.00 | 14119.00 | 0.11 | 0.80 | 775.00 | -4.51 | 1.53 | 1.54 | 1.54 | 11.55 | 10073.00 | 4175.00 | 0.41 | 0.65 |
| 786.00 | 6.49 | 0.99 | 1.00 | 0.99 | 10.93 | 4988.00 | 3170.00 | 0.64 | 1.01 | 774.00 | -5.51 | 1.31 | 1.32 | 1.31 | 11.76 | 3803.00 | 3703.00 | 0.97 | 0.76 |
| 787.00 | 7.49 | 0.78 | 0.79 | 0.79 | 10.88 | 33367.00 | 6416.00 | 0.19 | 1.27 | 773.00 | -6.51 | 1.12 | 1.13 | 1.12 | 11.99 | 3901.00 | 3869.00 | 0.99 | 0.89 |
| 788.00 | 8.49 | 0.61 | 0.62 | 0.61 | 10.83 | 3667.00 | 1808.00 | 0.49 | 1.63 | 772.00 | -7.51 | 0.96 | 0.97 | 0.96 | 12.23 | 4435.00 | 2823.00 | 0.64 | 1.04 |
| 789.00 | 9.49 | 0.47 | 0.48 | 0.47 | 10.84 | 1496.00 | 2782.00 | 1.86 | 2.11 | 771.00 | -8.51 | 0.83 | 0.84 | 0.83 | 12.47 | 4276.00 | 2005.00 | 0.47 | 1.20 |
| 790.00 | 10.49 | 0.36 | 0.37 | 0.36 | 10.82 | 10776.00 | 5371.00 | 0.50 | 2.74 | 770.00 | -9.51 | 0.72 | 0.73 | 0.72 | 12.76 | 14070.00 | 9993.00 | 0.71 | 1.38 |
| 791.00 | 11.49 | 0.28 | 0.29 | 0.29 | 10.88 | 3287.00 | 1471.00 | 0.45 | 3.51 | 769.00 | -10.51 | 0.62 | 0.63 | 0.62 | 13.02 | 3265.00 | 1242.00 | 0.38 | 1.60 |
| 792.00 | 12.49 | 0.21 | 0.22 | 0.21 | 10.88 | 1127.00 | 1098.00 | 0.97 | 4.65 | 768.00 | -11.51 | 0.54 | 0.55 | 0.55 | 13.32 | 6352.00 | 2064.00 | 0.32 | 1.83 |
| 793.00 | 13.49 | 0.16 | 0.17 | 0.17 | 10.92 | 6499.00 | 984.00 | 0.15 | 6.06 | 767.00 | -12.51 | 0.47 | 0.48 | 0.47 | 13.61 | 64556.00 | 9382.00 | 0.15 | 2.11 |
| 794.00 | 14.49 | 0.13 | 0.14 | 0.14 | 11.13 | 1670.00 | 253.00 | 0.15 | 7.41 | 766.00 | -13.51 | 0.42 | 0.43 | 0.42 | 13.98 | 2504.00 | 495.00 | 0.20 | 2.35 |
| 795.00 | 15.49 | 0.10 | 0.11 | 0.11 | 11.23 | 4818.00 | 892.00 | 0.19 | 9.52 | 765.00 | -14.51 | 0.37 | 0.38 | 0.38 | 14.30 | 16515.00 | 1899.00 | 0.11 | 2.67 |
| 796.00 | 16.49 | 0.07 | 0.08 | 0.08 | 11.18 | 3571.00 | 238.00 | 0.07 | 13.33 | 764.00 | -15.51 | 0.33 | 0.34 | 0.34 | 14.65 | 2224.00 | 246.00 | 0.11 | 2.99 |
| 797.00 | 17.49 | 0.06 | 0.07 | 0.07 | 11.49 | 2987.00 | 1074.00 | 0.36 | 15.38 | 763.00 | -16.51 | 0.29 | 0.30 | 0.29 | 14.95 | 3892.00 | 8463.00 | 2.17 | 3.39 |
| 798.00 | 18.49 | 0.05 | 0.06 | 0.06 | 11.76 | 1252.00 | 1251.00 | 1.00 | 18.18 | 762.00 | -17.51 | 0.26 | 0.27 | 0.27 | 15.30 | 4244.00 | 507.00 | 0.12 | 3.77 |
| 799.00 | 19.49 | 0.04 | 0.05 | 0.04 | 11.93 | 6534.00 | 191.00 | 0.03 | 22.22 | 761.00 | -18.51 | 0.23 | 0.24 | 0.23 | 15.60 | 3605.00 | 1068.00 | 0.30 | 4.26 |
| 800.00 | 20.49 | 0.03 | 0.04 | 0.04 | 12.03 | 13377.00 | 1800.00 | 0.13 | 28.57 | 760.00 | -19.51 | 0.21 | 0.22 | 0.21 | 16.00 | 20224.00 | 3614.00 | 0.18 | 4.65 |
| 801.00 | 21.49 | 0.03 | 0.04 | 0.04 | 12.53 | 3426.00 | 110.00 | 0.03 | 28.57 | 759.00 | -20.51 | 0.19 | 0.20 | 0.20 | 16.36 | 2209.00 | 555.00 | 0.25 | 5.13 |
| 802.00 | 22.49 | 0.03 | 0.04 | 0.04 | 13.03 | 1580.00 | 40.00 | 0.03 | 28.57 | 758.00 | -21.51 | 0.18 | 0.19 | 0.18 | 16.84 | 2017.00 | 445.00 | 0.22 | 5.41 |
| 803.00 | 23.49 | 0.02 | 0.03 | 0.03 | 12.99 | 4335.00 | 61.00 | 0.01 | 40.00 | 757.00 | -22.51 | 0.16 | 0.17 | 0.17 | 17.13 | 3666.00 | 165.00 | 0.05 | 6.06 |
Flow freshness: Volume divided by open interest. Blue suggests older/parked positioning, pink suggests moderate active repositioning, and red suggests very fresh participation at that strike.
Wall lines: The nearest large open-interest cluster on each side. A nearby wall can act like a magnet or a pin; no nearby wall can leave room for acceleration.
Pressure profile: A proxy curve of local options pressure across nearby price levels. It is not true dealer gamma, but it helps visualize where the neighborhood may feel sticky versus empty.
Short call risk: Composite risk of selling upside calls into the current benchmark tape and chain structure.
Premium selling risk: Broad warning score for short convexity trades when the environment looks unstable or one-way.
Each structure has one directional enemy and one systemic enemy. Red/avoid requires the directional enemy to be active - systemic stress alone caps at amber/caution. Exception: IVTS velocity halt is a hard stop on all short convexity regardless of direction.
| allow | Vol is elevated or has recently spiked and spot is pushing higher. Both delta and vega are working in your favor: price moving toward your long strike, vol expansion increasing the value of your position. Gamma vacuum above means the move has room to run once it starts. This is the environment you want - buying into confirmed momentum with structural room overhead. |
| caution | Spot is rising but vol is compressing. Delta is working in your favor but vega is not. Low-conviction grind where the spread earns slowly through price movement alone. A nearby call wall compresses the profit window - you are paying for a move that may stall at resistance. Manageable but not ideal. |
| avoid | Pinning regime with a fresh call wall directly overhead and no directional momentum. Structure is suppressing movement, theta is burning daily, and you are paying for a breakout the market is pinning against. Also avoid when vol is already elevated but not rising - you may be buying expensive optionality into a move that has already happened. |
| allow | Spot is declining and vol is rising or has recently spiked. Delta and vega both working in your favor simultaneously. Put freshness elevated - real hedging demand confirming directional conviction. The nearest put wall is far enough below spot to leave room for the move to pay off before support absorbs it. Gamma vacuum below is a bonus: thinner structure means the breakdown can extend further. |
| caution | Spot is declining but vol is flat or compressing. You have directional signal but no vega tailwind, and you may be overpaying for premium the market is not pricing as urgent. Or spot is falling into a nearby put wall - the floor absorbs the move before the spread becomes meaningfully profitable. Wall proximity is the critical qualifier: a put wall inside the expected move within reach of your short strike is often a payoff killer. |
| avoid | Pinning regime, vol calm, spot going nowhere. You are paying theta every day for a directional move the structure is actively resisting. Also avoid when vol has already spiked from a prior move and is now elevated without continuing to rise - you are buying expensive premium into a regime that is stabilizing, not accelerating. |
| allow | Spot is flat to slightly declining and vol is calm or compressing. Your short calls are moving further out of the money on the directional side, and vol suppression is reducing the premium you owe on any close. A call wall above the short strike helps - pinning forces are working in your favor. IVTS calm with no velocity halt. This is the environment where short calls earn quietly and mechanically. |
| caution | Spot is rising while vol is compressing - the Vanna melt-up regime. Spot moving toward your short strike while dealers are mechanically buying creates squeeze risk even if vol is subdued. A nearby call wall with fresh OI means real positioning overhead that could amplify a push through. Or spot down but systemic stress is building - directional is working for you but the environment is becoming less forgiving. Size down. |
| avoid | Spot rising while vol is also rising. This is the worst state for short calls: directional and volatility both working against the position simultaneously. A breakout with vol expansion can overwhelm OI resistance and carry through short strikes without pausing. Also unconditional: IVTS velocity halt fires regardless of directional state - hard stop on all short convexity. |
| allow | Vol is elevated or has recently spiked and spot is stable or recovering. You are selling rich premium into fear and collecting at a level where if spot holds or recovers, you win on both delta and vega simultaneously. The put wall below the short strike is parked and stale - genuine structural floor, not an active battleground. This is the ideal entry: selling into a vol spike, not into complacency. |
| caution | Vol is elevated but spot is still drifting lower. Delta is working against you but vol suppression is not yet happening. Or vol is calm and spot is flat - the credit looks attractive but premium is thin and the cushion is limited. A nearby put wall with fresh flow means selling into active hedging demand rather than above a passive floor. Within one point of the put wall is not a bull put setup regardless of what the premium looks like. |
| avoid | Spot declining and vol rising simultaneously. Delta and vega are both working against the position. The spread bleeds from both sides. Especially dangerous when put freshness is elevated - real hedging demand means the move is being actively confirmed by flow, not just drifting. Also: IVTS velocity halt is a hard stop - a dislocating term structure means the environment can reprice against you faster than the spread can absorb. |