Edge Sheet
Wednesday, Oct 28: 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 7,605 and 7,840
±1.52% (117 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 7,744 (+0.28%), 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 22% 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 move7,958+235
- +1σ expected move7,840+117
- 5-day high7,770+47
- Pivot R17,747+24
- Prior day high7,736+13
- 20-day average7,730+7
- Prior close7,723
- 50-day average7,697-26
- Pivot S17,688-35
- Prior day low7,677-46
- 5-day low7,612-111
- −1σ expected move7,605-118
- −2σ expected move7,488-235
Pro adds dealer gamma levels: call wall, put wall and gamma flip.
Market type
Expected move ±117.5 pts (1.52%), catalysts extreme
Volatility curve is calm (near-term below longer-term); options are pricing more movement than SPX has been delivering; today's catalysts rate extreme; trend is sideways.
- VIX
- 17.40
- 58th pct (1y)
- 20d realized vol
- 9.8%
- Vol premium
- +7.7
- VIX minus realized
- VIX curve
- contango
- 3M 19.94
- 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
2,741 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: Fed & rates chatter 3.4× normal All dayFed & rates is 3.4× its usual share of index chatter (18 posts).
- FOMC rate decision 2:00 PM ETMoved SPX 0.91% on average · closed green 45% of 60 times · 1.26× a normal day
Stocks in play
Overnight filings, earnings reactions and the biggest movers
- FReports earnings before today’s openearnings
- FDXReports earnings before today’s openearnings
- GOOGLReports earnings before today’s openearnings
- MSFTReports earnings before today’s openearnings
- BAReported earnings after yesterday’s closeearnings
- HOODReported earnings after yesterday’s closeearnings
- KOReported earnings after yesterday’s closeearnings
- PYPLReported earnings after yesterday’s closeearnings
Scorecard
Every call since launch, graded in public: 14 trading days