Home › Blog › Daily Market Review

Daily Market Review · US close

SPX jumps 1.3% to 7,619 and dealer gamma flips positive as VIX drops to 17.5

Daily Market ReviewBy QuantDaddyWednesday, November 11, 20268 min read

Chips and CoreWeave led a rebound from Tuesday's CPI selloff. Net GEX swung from −⁠$51.1B to +⁠$5.4B as SPX closed 6 points above its 7,613 flip. VIX fell 1.97 to 17.49 and the VIX futures curve is back in full contango, but 21-day realized vol rose to 21.7.

Scoreboard

Dealer gamma by expiry window. All = every listed expiry; Weekly = contracts expiring within 7 calendar days; Monthly = within 30 days. Net GEX in $ per 1% move.

1. The tape: chips and CoreWeave lead a post-CPI rebound

The S&P 500 rose 98 points (1.31%) to 7,619, recovering Tuesday's loss and more. The Nasdaq Composite gained 1.60% to 25,466, which Yahoo Finance noted erased its post-election losses, and the Nasdaq-100 rose 2.28% to 28,374. The Dow added 0.49% to 52,486 and the Russell 2000 0.88% to 2,846. Tech did most of the lifting: at midday 18 of the 20 best S&P 500 performers were tech names, while health care, staples and consumer discretionary lagged.

CoreWeave rose about 24% to $60.51 after reporting third-quarter revenue up 168% to $3.7 billion and raising its full-year outlook to $13.0–13.3 billion. Memory and AI-infrastructure stocks followed: SanDisk gained 13.3%, Dell and Arm about 12%, Micron more than 10%. Nvidia rose 2.9% to $173.73, ending a two-day slide tied to reports about its CEO, even as Baird cut the stock to Neutral. Apple hit a record high.

The cash Treasury market was closed for Veterans Day, so rates did not reprice after Tuesday's jump; the 10-year was indicated near 5.0%. Futures pricing still treats a December Fed hike as close to fully priced, with a small chance of 50 bp. WTI crude edged up to about $86, and bitcoin rose about 1% to $74,300.

Why it matters for vol: Tuesday's surface priced about 74 points for Wednesday and SPX moved 98, a day after CPI delivered only 29 of its 90 priced points. Even so, implied vol fell across the board as the rally lifted SPX over its gamma flip. The market is treating the CPI scare as over, while realized vol keeps rising.

2. Dealer gamma: back above the flip

Net GEX across all expiries swung to +⁠$5.4B per 1% move from −⁠$51.1B. The flip was little changed at 7,613 (7,610 Tuesday), and SPX closed 6 points above it. Most of the swing came from price, not positioning: Tuesday's modeled profile was already near zero around 7,620. With the close sitting right on the flip, small moves change the sign.

The strike map now splits cleanly at spot. Everything above 7,620 is positive, with the largest call-side buckets at 7,700 (+$4.0B), 8,000 (+$3.8B), 7,800 (+$3.7B) and 7,900 (+$3.1B). Below, the largest negative buckets are 7,500 (−⁠$6.5B), 7,400 (−⁠$4.8B), 7,300 (−⁠$4.5B) and 7,600 (−⁠$3.6B), the last just 19 points under the close.

The modeled profile crosses zero near 7,614 and reads about +$4B at the close. It is very steep here: about −⁠$10B at 7,600 and −⁠$42B at 7,550, against about +$27B at 7,650 and +$62B at 7,700. Below 7,500 (−⁠$69B) it keeps falling toward a floor near −⁠$120B around 7,180. A 1% move either way changes the dealer picture a lot.

The next two days tip the balance. Without the Nov 12 and Nov 13 expiries, modeled gamma at spot is about −⁠$3.5B, with the flip near 7,625, just above the close.

The longer-dated book is slightly long. Without everything through the Nov 20 monthly, gamma at spot is about +$6B (about −⁠$17B Tuesday), with a flip near 7,599, 20 points below the close.

Weekly vs monthly: long gamma this week, short through the monthly

The SPX windows now disagree on sign (numbers in the dealer-gamma table under the scoreboard). The weekly flip (7,589) is 30 points below the close and the monthly flip (7,630) 11 points above it, with the all-expiry flip in between.

SPX weekly: the next 7 days hold +$8.2B, from −⁠$12.0B, more than the whole book's +$5.4B. The window covers five expiries, Nov 12 to Nov 18, so it now includes PPI, Cisco and Applied Materials, and the first expiry after Nvidia's results. The call wall rose back to 7,650 (31 points above) and the put wall jumped to 7,600 from 7,510 (19 points below). The largest weekly buckets sit just above spot, 7,640 (+$2.3B) and 7,650 (+$2.2B); the largest negative ones are back at 7,520 (−⁠$1.2B) and 7,510 (−⁠$1.0B).

SPX monthly: the 30-day window shrank to −⁠$5.4B from −⁠$45.8B, with the flip at 7,630, the call wall at 7,700 and the put wall at 7,500. Its largest buckets are 7,500 (−⁠$4.5B) and 7,700 (+$3.5B). That leaves about −⁠$13.5B in expiries 8–30 days out, including the Nov 20 monthly, while everything beyond 30 days nets to about +$10.8B (about −⁠$5B on Tuesday).

NDX jumped 2.28% to 28,374 and turned positive at +⁠$0.51B from −⁠$1.33B, 108 points above its 28,266 flip. Weekly is +$0.53B (flip 27,892, call wall 28,500, put wall 28,300) and monthly +$0.65B (flip 28,167, call wall 29,675, put wall 28,000). The monthly book is dominated by one call-side bucket at 29,700 (+$0.59B), against 27,000 (−⁠$0.26B) and 28,000 (−⁠$0.20B) below.

RUT rose 0.88% to 2,846 and moved back into positive gamma at +$0.88B from −$0.14B, 17 points above its 2,829 flip, with the call wall at 2,850 and the put wall at 2,800.

3. The VIX complex: full contango again

The whole curve moved lower, most in the one-week to one-month part. VIX1D fell 1.31 to 12.64, VIX9D 2.50 to 16.04 and VIX 1.97 to 17.49. VIX3M lost 1.40 to 19.24, VIX6M 0.91 to 21.08 and VIX1Y 0.54 to 22.22. The index curve slopes upward from one day to one year, with a 4.7-point gap between VIX and VIX1Y.

November futures settled at 18.05, down 1.85, and December at 18.40, down 1.11. M1→M2 turned positive at +1.95% from −1.98%: November now sits under December, so the front-month inversion is gone and the curve rises all the way to 21.20 in July. November trades 0.56 above spot VIX a week before its Nov 18 expiration. VVIX fell 6.2 to 90.5.

VIX/VIX3M fell to 0.909 from 0.943. It is still higher than 72% of the past year's sessions, down from 83% on Tuesday, so one-month vol is easing back toward a normal spread to three months.

4. Implied vs realized: the gap widens to 4.2 points

SPX 21-day realized vol rose to 21.7 from 21.2 as Wednesday's 1.3% move joined the window. With VIX at 17.5, the gap is −4.2 points, the most negative of any session in the past year. Thirty-day ATM IV (13.6%) is about 8 points under realized. Options are pricing a much calmer month than the one just delivered. The Nov 5 and Nov 9 moves stay in the realized window into early December, so realized vol will stay high for a while even if the tape calms down; if it does not, implied vol looks cheap against it.

5. SPX surface: lower and flatter, a small Nvidia bump

Thirty-day ATM IV fell to 13.6% from 15.2%, and 30-day skew (90% vs 110%) flattened to 10.4 points from 11.9. The 90-day minus 30-day slope steepened to +0.5 points. The 7-day smile (Nov 18) runs from about 38% at 88% of the forward to about 13% at the money, bottoms near 11% around 103% and curls up to about 19.5% at 108%. The 30-day curve (Dec 11) runs from about 26.5% to a floor near 11.5% around 105%.

Event premiums shrank but did not disappear. Thursday's expiry is 13.5% ATM, about 65 points, and Friday Nov 13 is 13.9% (PPI, after Cisco and Applied Materials), about 95 points through that day. Nov 16 and Nov 17 drop to 11.3% and 11.9%, then Nov 18, the first expiry after Nvidia, is 13.2%, about 140 points through that day. The Nov 20 monthly is 13.4%, about 170 points.

6. Cross-asset Vol Sentiment: flat despite the SPX reset

The cross-asset Vol Sentiment score places volatility in 14 equity, currency, rates, credit and commodity markets within its own one-year range (0 = stress, 100 = calm). On the one-year window it was 44.5, against 44.6 on Tuesday (a revised reading). It is under the 50 midpoint, below 54.9 a week ago and 58.6 a month ago, and higher than 29% of the past year's sessions. The one-month window slipped to 45.9 from 49.6, while the three-month window edged up to 32.1 from 31.6.

US rates (17.5) is the only market in the stressed zone below 20, with US high yield (20.0) right on the line and Japan (21.5) just above. US equities score 43.3. USD/JPY (80.4) is the only calm market, ahead of copper (71.7), gold and Europe (both 69.2). EUR/USD (25.4) and EM FX (30.4) are now among the weaker readings. The backdrop did not follow the SPX vol complex lower: with rates and credit still near the top of their vol ranges, the broad picture remains on the stressed side of neutral. It is context, not a trading signal.

Calendar: the week ahead

Economic data & Fed

Earnings

Volatility dates (expirations, events)

What I'm watching

• 7,589 to 7,630. The weekly flip (7,589), the all-expiry flip (7,613) and the monthly flip (7,630) bracket the close. The profile swings from about −$10B at 7,600 to +$27B at 7,650, so the sign of dealer gamma depends on which side of this band SPX settles.
• 7,600 and 7,650. The weekly put wall (7,600, next to the −$3.6B bucket) and the weekly call wall (7,650, with +$2.2B at 7,650 and +$2.3B at 7,640). This week's long gamma is concentrated just above spot.
• 7,500. Still the largest negative strike (−⁠$6.5B) and the monthly put wall. Below 7,550 the profile is back near −⁠$42B and falls fast.
• Realized vs implied. 21-day realized vol 21.7 vs VIX 17.5 and 30-day ATM IV 13.6%: the widest discount of implied to realized in the past year. Wednesday's 98-point move beat the roughly 74 points priced for it.
• Event premiums and the VIX curve. Friday's PPI expiry prices about 95 points and the post-Nvidia Nov 18 expiry 13.2% vs 11.9% for Nov 17. VX November (18.05) is under December (18.40) for the first time this month; a return to inversion would be the first sign the reset is fading.

Sources

• TheStreet: Stock Market Today (Nov. 11, 2026): Nasdaq, S&P 500 gain after CoreWeave earnings beat; Apple hits new record
• Yahoo Finance: Stock market today: Dow, S&P 500, Nasdaq rise as chip stock rally rekindles AI trade
• 24/7 Wall St: S&P 500 Closes Up 1.3% as Tech Pulls the Market Higher
• Cisco IR: Conference Call for Q1 Fiscal Year 2027 Financial Results
• Applied Materials IR: Fourth Quarter and Fiscal 2026 Results
• NVIDIA IR: Conference Call for Third-Quarter Financial Results
• FXEmpire: The Week Ahead: CPI and Tech Earnings Test a Fragile Stock Market
• Xoomar: US Economic Calendar
• FedRateCalc: November 2026 U.S. Economic Calendar
• TheStreet Pro: Earnings, week of Nov 16 – Nov 20
• Macroption: VIX Expiration Calendar 2026

Volatility data: ilovevol.app. GEX assumes dealers are long calls and short puts. VIX futures use settlement prices. Implied moves are approximations from expiry ATM IV over the trading sessions to expiry. Vol Sentiment: ilovevol.app cross-asset score (0 = stress, 100 = calm), one-year window unless noted; day-over-day changes use the latest (revised) prior row.

This review is for informational and educational purposes only and is not investment advice. See the disclaimer.