Latest / MenthorQ Daily / CPI Today: SPX at a Critical Gamma Level | MenthorQ Daily - Nov 10th 2026

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CPI Today: SPX at a Critical Gamma Level | MenthorQ Daily - Nov 10th 2026 · MenthorQ Daily

• 0:00
  SPEAKER_00: Hi traders.
• 0:01
  SPEAKER_00: Today at 8 30 Eastern, we get the last inflation print before the Fed meets in December.
• 0:05
  SPEAKER_00: And for the first time, there's no official 12-month number.
• 0:08
  SPEAKER_00: It all comes down to one reading: Core CPI month on month.
• 0:12
  SPEAKER_00: The SP closed yesterday right on 7550.
• 0:15
  SPEAKER_00: It's the only strike in the chain where dealers cushion the move.
• 0:17
  SPEAKER_00: Let's get into it.
• 0:20
  SPEAKER_00: This is Mentor Q Daily.
• 0:22
  SPEAKER_00: Gamma levels, volatility, and AI.
• 0:25
  SPEAKER_00: Every angle, every morning.
• 0:29
  SPEAKER_00: This is Mentor Q Daily, the morning market brief from Mentor Q.
• 0:33
  SPEAKER_00: Three stories today.
• 0:35
  SPEAKER_00: First, the CPI gate, and why 7550 is the line that matters on the SP.
• 0:39
  SPEAKER_00: Second, why Monday's rally was mostly mechanical and what the trend following models tell us about it.
• 0:45
  SPEAKER_00: And third, the bill for AI.
• 0:47
  SPEAKER_00: It's moving from the companies that buy chips to the companies that make them, and NVIDIA sits right in the middle.
• 0:52
  SPEAKER_00: Let's start with the number everyone's waiting for.
• 0:54
  SPEAKER_00: October CPI lands at 8.30 Eastern.
• 0:57
  SPEAKER_00: It's the last inflation report before the Fed's December 9th meeting.
• 1:00
  SPEAKER_00: After Friday's strong payrolls, a December hike is about 80 to 86% priced.
• 1:05
  SPEAKER_00: And there's a twist.
• 1:07
  SPEAKER_00: Last year's government shutdown meant October 2025 prices were never collected.
• 1:11
  SPEAKER_00: So there's no official 12-month rate this time.
• 1:13
  SPEAKER_00: Expect noisy headlines.
• 1:14
  SPEAKER_00: The one number that counts is core month on month.
• 1:17
  SPEAKER_00: Consensus is 0.2%.
• 1:19
  SPEAKER_00: The two-year yield already knows what it's afraid of.
• 1:21
  SPEAKER_00: It's up to 4.61% this morning.
• 1:24
  SPEAKER_00: The market is leaning toward a firm print before it's even out.
• 1:27
  SPEAKER_00: So what is Mentor Q seeing?
• 1:29
  SPEAKER_00: Let's look at the gamma levels on the SP.
• 1:31
  SPEAKER_00: The index closed at 7,549.94.
• 1:35
  SPEAKER_00: That's basically on the 7550 strike.
• 1:37
  SPEAKER_00: And 7550 is the only strike with positive gamma across this week's expires.
• 1:42
  SPEAKER_00: Positive gamma means dealers cushion the move.
• 1:44
  SPEAKER_00: Below it, gamma is negative.
• 1:46
  SPEAKER_00: Dealers chase the move, so swings get bigger.
• 1:48
  SPEAKER_00: Total net gamma is minus$526 million.
• 1:52
  SPEAKER_00: We're in a negative regime, sitting on one small shelf.
• 1:55
  SPEAKER_00: Today's expected move is plus or minus 72.6 points.
• 1:59
  SPEAKER_00: That's how far options say price can go.
• 2:01
  SPEAKER_00: It puts the edge of today's range at roughly 7477 on the downside and 76.23 on the upside.
• 2:08
  SPEAKER_00: So what does that mean for you?
• 2:09
  SPEAKER_00: If the SP holds above 7550 after the print, the squeeze has room to run towards 7675.
• 2:15
  SPEAKER_00: That's the high volatility level, the line where Calm turns into volatility.
• 2:19
  SPEAKER_00: Get back above it, and the regime flips to positive gamma.
• 2:22
  SPEAKER_00: If the index loses 7550, the hedging flips to amplifying.
• 2:26
  SPEAKER_00: Put support at 7500 is the first target, and there's a heavy negative cluster at 7510 and 7520 right beneath it.
• 2:33
  SPEAKER_00: A soft core, 0.16 or below, is the print that moves everything.
• 2:38
  SPEAKER_00: A hot one, 0.25 or above, locks in December and hands the tape back to the sellers.
• 2:43
  SPEAKER_00: Anything in between, and the index likely swings inside that expected range.
• 2:46
  SPEAKER_00: One more thing, the 10-year auction at 1 p.m.
• 2:49
  SPEAKER_00: Eastern.
• 2:49
  SPEAKER_00: A weak result could push yields up, even after a friendly print.
• 2:53
  SPEAKER_00: But why did the SP get back to 7550 so fast in the first place?
• 3:01
  SPEAKER_00: Monday was the best session for US stocks since the April rally.
• 3:05
  SPEAKER_00: The SP gained 2.35%.
• 3:07
  SPEAKER_00: The Philadelphia Semiconductor Index jumped 6.85%.
• 3:11
  SPEAKER_00: And the VIX fell 5.7 points to just under 20%.
• 3:14
  SPEAKER_00: That's its biggest one-day drop since April 2025.
• 3:17
  SPEAKER_00: The headline was friendly.
• 3:18
  SPEAKER_00: U.S.
• 3:18
  SPEAKER_00: Iran talks back on track and crude down more than 4%.
• 3:22
  SPEAKER_00: But the fuel was positioning.
• 3:24
  SPEAKER_00: Last week saw the heaviest cut in hedge fund exposure since the pandemic, and systematic funds bought a record volume of put options.
• 3:30
  SPEAKER_00: When that many people are light and hedged, any good headline force is buying.
• 3:34
  SPEAKER_00: What's Mentor QCing?
• 3:35
  SPEAKER_00: The QCTA model tracks trend following funds.
• 3:38
  SPEAKER_00: As of Friday, they'd gone short every major equity index.
• 3:42
  SPEAKER_00: Minus 0.35% in SP futures, minus 1.4% in NASDAQ futures.
• 3:48
  SPEAKER_00: A month ago?
• 3:48
  SPEAKER_00: Both long.
• 3:49
  SPEAKER_00: That's between the third and the tenth percentile of the past year.
• 3:52
  SPEAKER_00: In plain terms, they'd already sold most of what they were going to sell.
• 3:56
  SPEAKER_00: That's why Monday met so little resistance.
• 3:58
  SPEAKER_00: And it creates an asymmetry.
• 4:00
  SPEAKER_00: A further leg down has less force selling behind it, while a recovery forces them to buy back.
• 4:05
  SPEAKER_00: The vol control model adds the other half.
• 4:07
  SPEAKER_00: One month realized volatility jumped above three month realized, and the ratio fell below one.
• 4:12
  SPEAKER_00: Funds that target a fixed level of volatility have had to cut exposure.
• 4:15
  SPEAKER_00: Here's the catch.
• 4:16
  SPEAKER_00: Monday's rally counts as volatility too, so they'll be slow to buy back.
• 4:20
  SPEAKER_00: So does a bounce like this mark the bottom?
• 4:22
  SPEAKER_00: Usually not.
• 4:23
  SPEAKER_00: In one study of the high beta momentum basket, none of the eight comparable bounces mark the final low.
• 4:28
  SPEAKER_00: What to watch?
• 4:29
  SPEAKER_00: The VIX is pinned around 20.
• 4:31
  SPEAKER_00: As long as it stays there, the repair can continue.
• 4:33
  SPEAKER_00: The level that it changed the picture?
• 4:35
  SPEAKER_00: 22.
• 4:36
  SPEAKER_00: That's the zero DTE gamma wall, and it's close to the swing model's risk trigger.
• 4:40
  SPEAKER_00: A close above 22 would say the volatility event isn't over.
• 4:44
  SPEAKER_00: Below, 17 is the floor where put gamma sits.
• 4:47
  SPEAKER_00: And the thing that could reopen it all isn't macro.
• 4:50
  SPEAKER_00: It's the AI trade.
• 4:55
  SPEAKER_00: Under the index, the AI story is changing shape.
• 4:58
  SPEAKER_00: Credit protection on a group of chipmakers has roughly doubled since August to around 160 basis points.
• 5:04
  SPEAKER_00: For the first time in months, it costs more to insure the companies that make the chips than the hyperscalers that buy them.
• 5:09
  SPEAKER_00: And hyperscaler free cash flow turned negative in the third quarter, about minus$31 billion.
• 5:14
  SPEAKER_00: Debt now funds roughly a third of this year's CapEx.
• 5:17
  SPEAKER_00: So the market's asking a simple question.
• 5:19
  SPEAKER_00: Who ends up holding the chips?
• 5:20
  SPEAKER_00: Demand itself is fine, by the way.
• 5:22
  SPEAKER_00: TSMC's October revenue was up 60% from a year ago.
• 5:26
  SPEAKER_00: This is about financing, not usage.
• 5:28
  SPEAKER_00: Nvidia is where it all meets.
• 5:30
  SPEAKER_00: On Monday, while every other chip stock in the index rallied, it fell 4.3% to 178.67.
• 5:36
  SPEAKER_00: That's its lowest close since April.
• 5:38
  SPEAKER_00: Its board has opened an investigation into the CEO, and the White House is reported to be weighing new export controls.
• 5:44
  SPEAKER_00: Results come on November 17th, and a closed-door house briefing has been requested for the day after.
• 5:49
  SPEAKER_00: What's Menthor Q seeing?
• 5:51
  SPEAKER_00: Look at the volatility panel.
• 5:53
  SPEAKER_00: One month implied volatility on NVIDIA is 56.7%.
• 5:57
  SPEAKER_00: That's the 99th percentile of the past year.
• 5:59
  SPEAKER_00: Realized is 48.
• 6:00
  SPEAKER_00: So NVIDIA is the only instrument we're tracking today where options are pricing more movement than the stock has delivered.
• 6:06
  SPEAKER_00: The event premium is already in the chain.
• 6:07
  SPEAKER_00: Don't expect the usual post-earnings volatility crush this time.
• 6:10
  SPEAKER_00: So what does that mean for you?
• 6:12
  SPEAKER_00: 180 is the first test.
• 6:13
  SPEAKER_00: That's zero DTE put support sitting just above Monday's close.
• 6:17
  SPEAKER_00: Reclaim it, and it's the first sign the selling is exhausted.
• 6:20
  SPEAKER_00: Above, 185 and 190 are negative gamma clusters where a rally runs into dealer selling.
• 6:26
  SPEAKER_00: 195 is the high volatility level.
• 6:28
  SPEAKER_00: Below, watch 175 and 172.50, the edge of today's expected range.
• 6:34
  SPEAKER_00: And mark November 20th.
• 6:35
  SPEAKER_00: That monthly expiry carries about a quarter of the SP's net gamma and a fifth of Nvidia's.
• 6:40
  SPEAKER_00: It's the biggest positioning reset on the calendar.
• 6:43
  SPEAKER_00: Let's wrap it up.
• 6:44
  SPEAKER_00: Let's recap.
• 6:45
  SPEAKER_00: One, today's CPI decides the tape, and core, month on month, is the only number that matters.
• 6:50
  SPEAKER_00: Two, Monday's rally was mostly mechanical.
• 6:52
  SPEAKER_00: Trend followers are short, and volatility funds will be slow to come back.
• 6:56
  SPEAKER_00: 3.
• 6:57
  SPEAKER_00: AI risk is moving into chipmaker credit, and Nvidia's options are already pricing it.
• 7:01
  SPEAKER_00: The levels for today.
• 7:02
  SPEAKER_00: On the SP, 7550 is the pivot.
• 7:05
  SPEAKER_00: 7500 below, 7675 above.
• 7:08
  SPEAKER_00: On the VIX, 22 is the line.
• 7:10
  SPEAKER_00: And on NVIDIA, it's 180.
• 7:12
  SPEAKER_00: Coming up, the 10-year auction at 1 p.m.
• 7:15
  SPEAKER_00: Eastern, Core Weave Earnings Tonight, PPI on Friday, Nvidia's results on the 17th, and the monthly expiry on the 20th.
• 7:21
  SPEAKER_00: This is for educational purposes only, not investment advice.
• 7:27
  SPEAKER_00: Every level we talked about today is live on the MentorQ dashboard, and you can ask Queen about any ticker anytime.
• 7:33
  SPEAKER_00: Find it all at mentorq.com.
• 7:36
  SPEAKER_00: See you tomorrow morning.