SPY Implied Move This Week
The weekly move the options market is pricing into SPY (S&P 500) — the expected range in dollars, the put, call and hedge walls that box it in, the week’s US macro calendar, and the running record of how often SPY has actually finished inside the range.
From a spot of $763.25, options price SPY inside $751.04 to $775.46 by Friday’s close — a one-standard-deviation range implied by the at-the-money straddle on the weekly expiry.
Heavy put positioning tends to act as a floor and heavy call positioning as a ceiling; above the hedge wall moves dampen, below it they accelerate. Walls move every session — these are Friday’s close.
Did SPY stay inside the range?
SPY has closed the week inside its implied range 6 of the last 10 weeks we have priced. Small sample — the desk started publishing recently and this table grows by one row a week.
| Week | Implied | Range | Actual | Inside? |
|---|---|---|---|---|
| Oct 19 | ±1.6% | $751.04–$775.46 | in progress | — |
| Oct 12 | ±1.1% | $770.01–$787.13 | -2.0% | BROKE OUT |
| Oct 5 | ±1.1% | $761.17–$778.11 | +1.2% | BROKE OUT |
| Sep 28 | ±1.3% | $761.32–$781.38 | -0.2% | INSIDE |
| Sep 21 | ±1.1% | $753.31–$770.07 | +1.3% | BROKE OUT |
| Sep 14 | ±1.4% | $753.59–$774.99 | -0.3% | INSIDE |
| Sep 7 | ±1.0% | $762.49–$777.89 | -0.8% | INSIDE |
| Aug 31 | ±1.1% | $760.89–$777.81 | +0.1% | INSIDE |
| Aug 24 | ±1.2% | $756.53–$774.91 | +0.5% | INSIDE |
| Aug 17 | ±1.0% | $768.58–$784.10 | -1.4% | BROKE OUT |
| Aug 10 | ±1.2% | $763.98–$782.54 | +0.4% | INSIDE |
Actual = the close-to-close move from the Friday the week was priced to the Friday it ended, so it is measured on exactly the horizon the straddle covered.
US macro calendar this week
The scheduled US releases inside this week’s expiry — the events the implied range above already has to cover.
| Date | Event | Impact |
|---|---|---|
| Oct 20 | Building Permits (Sep) | High |
| Oct 20 | Housing Starts (Sep) | High |
| Oct 22 | Initial Jobless Claims (Oct/17) | High |
| Oct 22 | Continuing Jobless Claims (Oct/10) | High |
| Oct 22 | Jobless Claims 4-Week Average (Oct/17) | High |
Elsewhere on the desk
SPY implied move, explained
How is SPY’s weekly expected move calculated?
From the at-the-money straddle on the weekly expiry: the call plus the put at the strike nearest spot, divided by the spot price. Buy that straddle and you break even only if SPY moves at least that far in either direction, so it is what the move currently costs — not a forecast.
Is the implied move the same as a 1-standard-deviation range?
Close enough to be used that way. The ATM straddle approximates a one-sigma move over the life of the option, which means roughly a two-in-three chance of finishing inside the range if the market’s implied volatility is right. The table above shows how that has actually played out for SPY.
What do the put, call and hedge walls add?
The implied move tells you how far; the walls tell you where the resistance is inside that distance. Heavy put open interest below spot tends to act as support, heavy call open interest above it as resistance, and the hedge wall marks the modelled flip between dampening and accelerating moves.
How often is this updated?
The week’s pricing is set from Friday’s close and published Friday evening, then stays live through the week. Straddles reprice continuously, so the live number drifts intraday; the range here is the one struck at the close the week began from.
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Educational, not investment advice. Options involve risk. Implied moves reflect at-the-money straddle prices and shift intraday; the historical table is a small and growing sample, not a forecast.