SPX continued to move lower today, coming just within 18 points of the lower end of the weekly expected move. While it closed no where near the lows, the overall theme of the day was still choppy with a downside bias.

The net change of just -12 points doesn’t tell the full story, but the major takeaway is that today severely lacked momentum. The key gamma level to the downside heading into today was 7760, which SPX did hit and actually slightly peeked below it, with the low being 7653. The price action outside of this level was short lived and SPX closed back within our call and put walls.

The daily chart is an orderly walk lower, with each candle over the past few days technically making a new low, but nothing that really stands out. It is a quiet walk down towards the lower end of the expected move.

We may or may not even tag the lower end of the expected move tomorrow, despite being so close today. The major theme of the past few weeks has been that the second half of the week is the opposite of the first half.

Here we are on Tuesday, nearly tagged the expected move level. If the pattern from the past few weeks hold, then within the next couple of days we should be unchanged or even positive for the week.

I think it is fair to say that the majority of trade since early August has occurred inside of this marked range. We nearly tagged the lower end of it, and if the probability is to be believed, then we should be heading back up really soon.

Eventually all trends break, and you can never know when it actually will. For the time being, the market has been in chop mode so we can assume that would continue.

The key levels for tomorrow are 7635 to the downside and 7700 to the upside. A break of either of these with momentum could likely trigger a small gamma squeeze and we could see acceleration in those respective directions.

The dashboard shows that the options market/order flow is pricing for that squeeze, with the walls being quite aggressive and pretty far from the levels I mentioned above.

The market is pricing in a 54 point expected move tomorrow, with the gamma levels being 7750 and 7600. The call wall would put SPX at green for the week, while the put wall is well outside of the weekly expected move.

The market is expecting volatility, but we’ll see if that actually plays out. Micron earnings are also after the close tomorrow.

Let’s see what happens!

Good luck!