Monday · 10 June 2025 — SPY Week-Open Preview
The macro calendar is almost empty. Apart from wholesale-inventory revisions at 10 a.m. ET and a pair of Treasury bill auctions, there is no scheduled U.S. data. That leaves index-option positioning in charge until traders pivot to Wednesday’s CPI print and Thursday’s ECB meeting. Treasury supply is heavy all week, so any sharp rise in yields could still weigh on equity multiples, but futures were quiet in Sunday evening trade.
Option-market backdrop
Net gamma remains firmly positive at roughly +143 k, with about 62 percent on the call side. The largest call-side “anchor” is at **600**, while the deepest put-side pocket is at **595**. SPY closed almost exactly in between at **599.14**. When price sits inside such a band, dealer hedging usually dampens volatility and encourages a mean-reverting tape—unless fresh, directional option flow drives price out of the range.
Technical state of play
A daily indicator board shows ten bullish and four bearish signals: price is still above its 20-, 50- and 200-day averages, and the RSI hovers near 65. Momentum gauges—MACD, Stochastics and ADX—are fading, warning that upside follow-through could prove sluggish without a catalyst. Seasonally, June averages only a +0.7 percent gain, with a tendency to chop until mid-month macro events clear.
Likely intraday narratives
1. Pin-day drift around 599-600
The most probable scenario is simple equilibrium: price oscillates in a two- or three-point band, held in place by positive gamma. Expect soft volume, declining VIX and quick reversions every time price strays from the mid-599s.
2. Upper-rail squeeze
If early sweep buying punches SPY through 600 and holds, dealer hedging can add fuel, lifting price toward 602.5 and perhaps 605. Look for large call blocks and a pick-up in short-dated implied vol to confirm the move. Absence of flow usually leads to quick give-backs.
3. Lower-rail fade
Pre-CPI hedging could flare up; a clean break under 595 would flip gamma locally negative and invite a swift slide to 592.9–593. Two five-minute closes beneath 595 on expanding volume—and a concurrent rise in short-dated vol—would mark that transition.
Subjectively, pin-action has about a 45 percent chance, an upside squeeze 30 percent, and a downside fade 25 percent.
Trade frameworks to consider
* Continuation through 600: Should SPY accept above 600 on strong tape momentum, a short-dated 600/602 call debit-spread offers limited risk (Friday’s debit was roughly \$0.60) for a potential 1½- to two-point capture.
* False break at 600: If SPY tags 600 but flow stalls, fading back toward 598 with a tight half-point stop often pays quickly. Profits tend to materialise within minutes when gamma is positive.
*595 breakdown: A decisive loss of 595 favours a 595 put—or a 595/590 put spread—expiring 10 June. Friday’s debit near \$0.80 risks roughly 0.3 percent of notional per contract with 593-ish as an initial objective.
Keep sizes small ahead of Wednesday’s CPI: volatility normally compresses into the release, then jumps. Pass on any structure where the bid-ask is wider than 15 percent of mid. With net long gamma still dominant, be prepared for violent mean-reversion if fresh option flow fails to reinforce the initial direction.
Bottom line
Absent a news shock, the path of least resistance is sideways churn in the 595-600 pocket. A measured breakout above 600 can extend to 602-605, but only if new call flow arrives. Conversely, a real break below 595 should accelerate quickly toward the mid-592s before buyers resurface. Trade the edges of the box, cap risk tightly, and dial exposure down as CPI day approaches.
*(For educational purposes only; not investment advice.)*
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