Edge Sheet
Tuesday, Oct 27: the SPX game plan, locked before the bell and graded after the close.
Today’s calls
Only made when the data supports one. Each is scored after the close.
SPX closes between 7,575 and 7,779
±1.33% (102 pts) from yesterday's close, the 1-standard-deviation move priced by VIX and weighted for today’s catalysts. Closes land inside it about 68% of the time.
Closed at 7,723 (+0.60%), inside the range
Trend day: moves can run
60% of similar days closed far from where they opened, against 50% on a typical day.
Range day: closed 39% of the range from the open
No direction lean today: days like this one closed above their open about as often as any other day.
Key levels
SPX points, highest first. Distance is from the prior close.
- +2σ expected move7,881+204
- +1σ expected move7,779+102
- 5-day high7,770+93
- 20-day average7,727+50
- Pivot R17,706+29
- Prior day high7,702+25
- 50-day average7,697+20
- Prior close7,677
- Pivot S17,644-33
- Prior day low7,640-37
- 5-day low7,612-65
- −1σ expected move7,575-102
- −2σ expected move7,473-204
Pro adds dealer gamma levels: call wall, put wall and gamma flip.
Market type
Expected move ±102.1 pts (1.33%), catalysts elevated
Volatility curve is calm (near-term below longer-term); options are pricing more movement than SPX has been delivering; trend is sideways.
- VIX
- 17.76
- 67th pct (1y)
- 20d realized vol
- 9.6%
- Vol premium
- +8.7
- VIX minus realized
- VIX curve
- contango
- 3M 20.48
- Trend
- Range
- 20 vs 50-day
See the odds behind every call
Pro shows the full ‘days like today’ tables (gap, VIX, streak, trend, weekday) and dealer gamma levels from the live SPY option chain.
Days like today
2,740 SPX sessions over 10.9 years. Base rate: 54% of days closed above their open. Measured from the open, so the gap itself doesn’t count.
On the calendar today
With how SPX has moved on these days before
- Social: Geopolitics chatter 2.7× normal All dayGeopolitics is 2.7× its usual share of index chatter (23 posts).
- Social: Fed & rates chatter 2× normal All dayFed & rates is 2× its usual share of index chatter (7 posts).
- Social: Bonds & yields chatter 1.9× normal All dayBonds & yields is 1.9× its usual share of index chatter (7 posts).
Stocks in play
Overnight filings, earnings reactions and the biggest movers
Scorecard
Every call since launch, graded in public: 14 trading days