Daily Retrospective: CPI Volatility Tests Key Support

PART 1: THE CLOSING VERDICT (10:00 PM ET)

PART 2: QUANTITATIVE SIGNALS

• Volume Profile: Value migrated lower today following the CPI release. The closing price settled within the lower distribution of yesterday's range, suggesting buyers were hesitant to reclaim the 6,860 pivot.
• VOLD Analysis: Selling pressure was dominant in the morning session but neutralized by 2:00 PM ET. However, a late-day divergence appeared where price drifted lower while VOLD remained relatively flat, indicating a lack of aggressive selling into the close—more likely position squaring ahead of PPI.
• Gamma Levels: The market respected the 6,880 Call Wall in the morning, rejecting swiftly upon the initial test. On the downside, the 6,825 Put Wall held firm, absorbing the mid-day liquidation break. We are currently pinned between these major gamma nodes.

PART 3: TOMORROW'S WATCHLIST

• Key Levels:
  • Resistance: 6,865 (Overnight Pivot), 6,885 (Call Wall).
  • Support: 6,825 (Gamma Support), 6,800 (Psychological/Trendline).
• Economic Events:
  • Thursday, Feb 12: PPI (Producer Price Index) @ 8:30 AM ET.
  • Thursday, Feb 12: Initial Jobless Claims @ 8:30 AM ET.
• Scenario:
  • Bull Case: If 6,825 holds through the PPI release, look for a reversion trade back to the 6,865 balance area.
  • Bear Case: If 6,825 breaks with volume, the door opens to 6,800. A loss of 6,800 triggers significant dealer de-hedging (gamma flip) targeting 6,750.

PART 4: 1DTE SPX OPTION RECOMMENDATIONS

• Trade Idea 1: Iron Condor (Neutral/Rangebound)

  • Structure: Sell 6,800 Put / Sell 6,885 Call. Buy wings 20-25 points out.
  • Rationale: With PPI on deck, implied volatility is elevated. Expecting the 6,800-6,885 range to contain price action unless the data is a massive outlier (>2 standard deviations).
  • Risk Management: Stop loss at 2x credit received.

• Trade Idea 2: Bearish Put Spread (Hedge)

  • Structure: Buy 6,830 Put / Sell 6,810 Put.
  • Rationale: Cheap protection against a PPI hot print breaking the 6,825 support shelf.
  • Risk Management: Target 100% ROI, exit if SPX reclaims 6,850.

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