Market Overview
The SPY is sitting on its 2nd consecutive close below the 21 EMA and today’s price action is not doing much to clean it up. We rallied off the lows to 770.46 intraday but couldn’t hold above the 21 EMA at 770.09. The 8 EMA at 770.83 and 21 EMA at 770.09 are converging tight, which means a decisive move one way or the other is coming soon. The 50 day at 767.35 is just below current price and is the next real support level to watch if sellers press. VIX at 17.6 is not screaming panic but this needs to reclaim the 21 EMA on a closing basis or the pressure stays on.
The index flow is mixed but the biggest single trade of the morning is a $27.8M bearish SPX risk reversal out to March 2027, which sets the tone. On the other side, there are multiple bullish SPX and QQQ risk reversals scattered across December and further out expirations totaling significant notional, so this is not a clean one-directional tape. The standout single-name conviction play is NVDA, with two separate bullish risk reversals totaling over $24M, pointing to strong institutional interest on the long side in semis into year-end.
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Top Setups
Nothing in today’s flow scored >= 70.
Other interesting flows were as follows:
AXP Bullish Risk Reversal
GEO Bull Call Spread and Calls Bought
PCG Bull Call Spread
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