Edge Sheet
Monday, Nov 9: 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 7,234 and 7,520
±1.94% (143 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 7,556 (+2.43%), above the range
Lean long from the open: SPX closed above its open on 66% of 277 similar days
Gap up more than 0.5%. The base rate is 54%, so this is 4.2 standard errors away from a coin flip.
Closed above the open (+1.80% from the open)
The 0.93% gap up holds and doesn't trade back to 7,377
On 277 days that opened with a gap up more than 0.5%, SPX traded back to the prior close 28% of the time.
Opened +0.62%, gap held
Trend day: moves can run
62% of similar days closed far from where they opened, against 50% on a typical day.
Trend day: closed 86% of the range from the open
Key levels
SPX points, highest first. Distance is from the prior close.
- 5-day high7,716+339
- 50-day average7,679+302
- +2σ expected move7,662+285
- 20-day average7,658+281
- +1σ expected move7,520+143
- Prior day high7,444+67
- Pivot R17,424+47
- Prior close7,377
- Prior day low7,370-7
- Pivot S17,350-27
- 5-day low7,350-27
- −1σ expected move7,234-143
- −2σ expected move7,091-286
Pro adds dealer gamma levels: call wall, put wall and gamma flip.
Market type
Expected move ±142.7 pts (1.94%), catalysts elevated
Volatility curve is calm (near-term below longer-term); options are pricing more movement than SPX has been delivering; trend is downtrend.
- VIX
- 23.37
- 95th pct (1y)
- 20d realized vol
- 19.3%
- Vol premium
- +6.3
- VIX minus realized
- VIX curve
- contango
- 3M 25.55
- Trend
- Downtrend
- 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
2,749 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: Mega-caps & earnings chatter 2.7× normal All dayMega-caps & earnings is 2.7× its usual share of index chatter (66 posts).
- Social: Economic data chatter 1.9× normal All dayEconomic data is 1.9× its usual share of index chatter (6 posts).
Stocks in play
Overnight filings, earnings reactions and the biggest movers
- ROKUChange in control (8-K)filing
Scorecard
Every call since launch, graded in public: 14 trading days