Flow SPX Daily: December 3 Analysis & December 4 Plan
Wednesday saw modest accumulation but also significant deep ITM liquidation at $6000 strike
Market Summary
SPX Performance:
Tuesday Close: 6,829.38
Wednesday Open: 6,815.23 (gap down)
Low: 6,810.43 (immediate test)
High: 6,862.42 (afternoon push)
Close: 6,849.71 (+20.33, +0.30%)
Intraday Range: 52 points
VIX Action:
Tuesday Close: 16.58
Pre-Market High: 17.28
Open: 16.98
High: 17.28 (pre-market)
Low: 15.93 (afternoon)
Close: 16.09 (-0.49, -2.95%)
Volume Profile: Gap down open, immediate test of 6,810 LOD in first 30 minutes, steady grind higher all day, afternoon acceleration through 6,850 to 6,862 HOD, slight pullback to 6,849 close.
Tuesday’s Forecast Validation
Forecast Review (Tuesday, Dec 2 → Wednesday, Dec 3):
Tuesday Close: SPX 6,829.38 | VIX 16.58
Scenario 1: Grind Higher & Test 6,900 (50% - Base Case) - Validated
Tuesday’s forecast called for SPX to grind higher, test 6,865 resistance, potentially push toward 6,900. The setup was clear: Tuesday’s $829M accumulation, deep ITM gamma rebuild (+$563M), VIX at 16.58 showing complacency.
Here’s what actually happened: SPX gapped down to 6,815.23, not the expected 6,830-6,840 open. Immediately tested 6,810.43 LOD (the critical 6,825 support failed briefly). But then the grind higher started. SPX moved steadily from 6,810 to 6,862 over the course of the day. That’s a 52-point rally from the low. The afternoon push took out 6,850, cleared 6,860, and reached 6,862.42 HOD. Close at 6,849.71 was just above the 6,850 level. VIX collapsed from 16.98 open to 15.93 low, closing at 16.09.
The Verdict: Right on Direction
The grind higher happened. The move toward 6,865 happened (reached 6,862). The VIX collapse happened. What didn’t happen was the clean upside continuation from the open. The gap down and immediate test of 6,810 was a scare. But once that low held, the forecast played out. SPX rallied 52 points from LOD, VIX dropped 3%, and we closed above 6,850.
The 6,825 support level I cited broke briefly (6,810 LOD), but the 6,800 floor held. That was the key. The gamma structure Tuesday built provided enough support to stop the selling at 6,810 and fuel the rally.
What Wednesday’s Gap Down Meant
The gap down to 6,815 (14 points below Tuesday’s close) tested conviction immediately. VIX spiked to 17.28 pre-market. Some overnight catalyst or profit-taking triggered selling. But the key was the LOD at 6,810.
Tuesday’s forecast identified 6,825 as the new support level from the gamma rebuild. The breach to 6,810 was only 15 points deeper. More importantly, it held there. No breakdown below 6,800. The deep ITM gamma support Tuesday built ($563M at $5000 and $6000 strikes) kicked in. Dealers had to buy to hedge those positions, and that buying stopped the slide at 6,810.
Once 6,810 held, the path was clear. SPX ground higher all day. No resistance until 6,850, which was cleared easily. The afternoon push to 6,862 took us within 3 points of Tuesday’s forecast target of 6,865.
Wednesday’s Flow: $8.30 Billion - The Biggest Day of The Week So Far
Premium Flow Summary
Total Premium: $8,301.39M (Largest flow day of the week) Calls: $6,186.60M (74.5%) Puts: $2,114.78M (25.5%) Put/Call Ratio (Premium): 0.34 (Calls dominate even more than Tuesday)
