Extreme

The market sold off after the rally from the release of the FOMC minutes. The sell-off reached extreme level as many market breadth indicators reached level that could trigger a brief relief rally.

From the weekly options open interest for the SPY, the data show a net increase on OTM CALL open interest and a net decrease on ITM PUT open interest. This could be an indication the options players are betting on the SPY to rally into OpEx. Early read from the OI implies a pin between 193.5 and 194 for the SPY, which translates to upper level near the 1942 for the SP500. As the potential pin value changes, I will tweet the pin value updates on twitter @smtraderCA during trading hours.

SPX
(Click on the chart to enlarge)


SPY