⚠ī¸ EVENT DAY: Consumer Price Index (CPI, BLS)

Daily Briefing â€ĸ September 11, 2026 10:13 AM EDT

👀 Surface Conditions (Now)
Market Bias: Neutral 😐
30d VIX Regime: COMPLACENCY (IV Rank: 14.2%). Suggests market is underestimating risk.
0DTE VIX1D: 8.88 (Calm 0DTE Tape đŸŸĸ)
Momentum: Short-term fear is FALLING/STABLE (5-day avg: 15.27 vs 200-day avg: 18.11).
⚠ī¸ Under the Hood
Narrative Risk: 2.70/10 (Global Macro Headlines)
30D Term Structure: CONTANGO (NORMAL) (Spot: 15.96 vs Future: 16.7).
0DTE VIX1D Vol Ratio: 0.56 (CONTANGO)
Tail Risk (VVIX): 95.17 (ELEVATED)
👨‍đŸ’ģ Analyst's Take: "The market environment for Friday, September 11, 2026, is characterized by a 'volatility crush' following an in-line CPI report. With Headline CPI at 3.4% and Core CPI at 2.4% (both matching consensus), the primary source of intraday uncertainty has been removed. Market participants are now shifting focus to the FOMC policy decision scheduled for September 16. Technical drivers suggest a range-bound session with a slight bullish bias as the 'soft landing' narrative gains further traction. Volatility is expected to decay through the afternoon close."
Jump to Today's Analysis ↓

🧠 Narrative Breakdown

Overnight News Risk: 3

Asian markets closed mixed with low volatility. European indices showed minor weakness ahead of US CPI but have since stabilized. No major corporate earnings or geopolitical events occurred overnight.

Economic Data Risk: 4

August Headline CPI: 3.4% YoY (Actual) vs 3.4% (Consensus). August Core CPI: 2.4% YoY (Actual) vs 2.4% (Consensus). Real Earnings for August showed no significant deviation from trends.

Systemic Risk Risk: 2

Fiscal year ends Sept 30; budget negotiations are ongoing but not critical today. Market sentiment is currently ignoring shutdown rhetoric.

Fed Sentiment Risk: 3

No Fed officials are scheduled to speak today. Market pricing for the Sept 16 meeting remains stable following CPI.

Market Internals Risk: 3

VIX is trading near 15.0, indicating moderate complacency. Put/Call ratio of 0.85 suggests neutral positioning.

Social Chatter Risk: 2

Narrative focused on the Fed's next move and inflation cooling. No significant coordinated speculative activity detected.

Sentiment Divergence Risk: 2

Futures trend is consistent with VIX levels. No 'fear' is evident in the options market despite the sensitive date (9/11).

Geopolitical Shocks Risk: 2

Global geopolitical status remains stable for the intraday horizon. No major policy shifts from China or Russia reported this morning.

đŸŽ¯ Today's Analysis

SPY

Global Tech Risk 3.2/10

Price: $765.28 | Status: ✅ BULLISH BIAS (Skew strikes up) | Trend: LOW RISK | Time: 2026-09-11 10:13 AM EDT

📊 Market Microstructure (Shared Session Tape)
Session VWAP
$764.94 (+0.04% dist)
Total Net GEX
$0.73B (đŸŸĸ LONG GAMMA)
Gamma Flip Strike
$763
0DTE Expected Move
Âą$2.00 (763.28 - 767.28)
Institutional Put Wall
$765 (119K vol) 🛡ī¸
Institutional Call Wall
$766 (115K vol) 🛡ī¸
IRON CONDOR IV Model CRITERIA NOT MET ($0.30/pt)
  • Buy 752 Put
  • Sell 760 Put
  • Sell 769 Call
  • Buy 777 Call
Max Risk: $770 C/R Ratio: 3.70% PoP: 86.7% B/E: 759.70 - 769.30
EM Cushion: 2.25x EM Symbol IV: midIV (Rank: 33.6%)
⚠ī¸ Notes & Warnings:
  • Credit/Risk ratio outside standard range; High volatility score: 95/100; Credit below minimum
  • Elevated Implied Move: 1.05% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BEAR CALL SPREAD Model CRITERIA NOT MET ($0.21/pt)
  • Sell 768 Call
  • Buy 770 Call
Max Risk: $179 C/R Ratio: 10.50% PoP: 86.8% B/E: N/A - 768.21
EM Cushion: 1.36x EM Symbol IV: midIV (Rank: 33.6%)
⚠ī¸ Notes & Warnings:
  • Bear Call Rejection: Volatility score (95/100) indicates Systemic Fragility.
  • Elevated Implied Move: 1.05% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BULL PUT SPREAD Model CRITERIA NOT MET ($0.19/pt)
  • Buy 760 Put
  • Sell 762 Put
Max Risk: $181 C/R Ratio: 9.50% PoP: 85.2% B/E: 761.81 - N/A
EM Cushion: 1.64x EM Symbol IV: midIV (Rank: 33.6%)
⚠ī¸ Notes & Warnings:
  • Bull Put Rejection: Volatility score (95/100) indicates Systemic Fragility. Credit ($0.19) below min ($0.20).
  • Elevated Implied Move: 1.05% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)

SPX

Global Tech Risk 3.2/10

Price: $7,665.03 | Status: ✅ BULLISH BIAS (Skew strikes up) | Trend: LOW RISK | Time: 2026-09-11 10:13 AM EDT

📊 Market Microstructure (Shared Session Tape)
Session VWAP
$7666.13 (-0.01% dist)
Total Net GEX
$11.07B (đŸŸĸ LONG GAMMA)
Gamma Flip Strike
$7,650
0DTE Expected Move
Âą$21.52 (7643.51 - 7686.55)
Institutional Put Wall
$7,600 (24K vol) 🛡ī¸
Institutional Call Wall
$7,700 (41K vol) 🛡ī¸
IRON CONDOR IV Model CRITERIA NOT MET ($2.35/pt)
  • Buy 7580 Put
  • Sell 7610 Put
  • Sell 7700 Call
  • Buy 7730 Call
Max Risk: $2765 C/R Ratio: 7.80% PoP: 86.9% B/E: 7607.65 - 7702.35
EM Cushion: 2.09x EM Symbol IV: midIV (Rank: 33.4%)
⚠ī¸ Notes & Warnings:
  • Credit/Risk ratio outside standard range; High volatility score: 95/100
  • Elevated Implied Move: 1.01% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BEAR CALL SPREAD Model CRITERIA NOT MET ($1.82/pt)
  • Sell 7695 Call
  • Buy 7715 Call
Max Risk: $1818 C/R Ratio: 9.10% PoP: 89.2% B/E: N/A - 7696.82
EM Cushion: 1.39x EM Symbol IV: midIV (Rank: 33.4%)
⚠ī¸ Notes & Warnings:
  • Bear Call Rejection: Volatility score (95/100) indicates Systemic Fragility.
  • Elevated Implied Move: 1.01% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BULL PUT SPREAD Model CRITERIA NOT MET ($1.98/pt)
  • Buy 7615 Put
  • Sell 7635 Put
Max Risk: $1802 C/R Ratio: 9.90% PoP: 84.2% B/E: 7633.02 - N/A
EM Cushion: 1.40x EM Symbol IV: midIV (Rank: 33.4%)
⚠ī¸ Notes & Warnings:
  • Bull Put Rejection: Volatility score (95/100) indicates Systemic Fragility.
  • Elevated Implied Move: 1.01% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)

XSP

Global Tech Risk 3.2/10

Price: $766.50 | Status: ✅ BULLISH BIAS (Skew strikes up) | Trend: LOW RISK | Time: 2026-09-11 10:13 AM EDT

📊 Market Microstructure (Shared Session Tape)
Session VWAP
$766.61 (-0.01% dist)
Total Net GEX
$0.05B (đŸŸĸ LONG GAMMA)
Gamma Flip Strike
$766
0DTE Expected Move
Âą$1.82 (764.68 - 768.32)
Institutional Put Wall
$758 (9K vol) 🛡ī¸
Institutional Call Wall
$767 (5K vol) 🛡ī¸
IRON CONDOR IV Model CRITERIA NOT MET ($0.24/pt)
  • Buy 758 Put
  • Sell 761 Put
  • Sell 770 Call
  • Buy 773 Call
Max Risk: $276 C/R Ratio: 8.00% PoP: 86.5% B/E: 760.76 - 770.24
EM Cushion: 2.47x EM Symbol IV: midIV (Rank: 33.4%)
⚠ī¸ Notes & Warnings:
  • High volatility score: 95/100; Credit below minimum
  • Elevated Implied Move: 1.04% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BEAR CALL SPREAD Model CRITERIA NOT MET ($0.26/pt)
  • Sell 769 Call
  • Buy 771 Call
Max Risk: $174 C/R Ratio: 13.00% PoP: 85.4% B/E: N/A - 769.26
EM Cushion: 1.37x EM Symbol IV: midIV (Rank: 33.4%)
⚠ī¸ Notes & Warnings:
  • Bear Call Rejection: Volatility score (95/100) indicates Systemic Fragility.
  • Elevated Implied Move: 1.04% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BULL PUT SPREAD Model CRITERIA NOT MET ($0.16/pt)
  • Buy 761 Put
  • Sell 763 Put
Max Risk: $184 C/R Ratio: 8.00% PoP: 86.8% B/E: 762.84 - N/A
EM Cushion: 1.92x EM Symbol IV: midIV (Rank: 33.4%)
⚠ī¸ Notes & Warnings:
  • Bull Put Rejection: Volatility score (95/100) indicates Systemic Fragility. Credit ($0.16) below min ($0.20).
  • Elevated Implied Move: 1.04% (common)
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)

QQQ

Global Tech Risk 3.2/10

Price: $715.18 | Status: ✅ BULLISH BIAS (Skew strikes up) | Trend: LOW RISK | Time: 2026-09-11 10:13 AM EDT

📊 Market Microstructure (Shared Session Tape)
Session VWAP
$715.07 (+0.02% dist)
Total Net GEX
$1.09B (🔴 SHORT GAMMA)
Gamma Flip Strike
$718
0DTE Expected Move
Âą$2.66 (712.52 - 717.84)
Institutional Put Wall
$715 (108K vol) 🛡ī¸
Institutional Call Wall
$716 (96K vol) 🛡ī¸
IRON CONDOR IV Model CRITERIA NOT MET ($0.40/pt)
  • Buy 693 Put
  • Sell 708 Put
  • Sell 720 Call
  • Buy 735 Call
Max Risk: $1460 C/R Ratio: 2.70% PoP: 87.8% B/E: 707.60 - 720.40
EM Cushion: 2.25x EM Symbol IV: highIV (Rank: 44.4%)
⚠ī¸ Notes & Warnings:
  • Credit/Risk ratio outside standard range; High volatility score: 80/100; Credit below minimum
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BEAR CALL SPREAD Model CRITERIA NOT MET ($0.20/pt)
  • Sell 719 Call
  • Buy 721 Call
Max Risk: $180 C/R Ratio: 10.00% PoP: 88.1% B/E: N/A - 719.20
EM Cushion: 1.44x EM Symbol IV: highIV (Rank: 44.4%)
⚠ī¸ Notes & Warnings:
  • Bear Call Rejection: Volatility score (80/100) indicates Systemic Fragility. Credit/Risk ratio (10.0%) below 12% hurdle.
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BULL PUT SPREAD Model CRITERIA NOT MET ($0.21/pt)
  • Buy 709 Put
  • Sell 711 Put
Max Risk: $179 C/R Ratio: 10.50% PoP: 85.1% B/E: 710.79 - N/A
EM Cushion: 1.57x EM Symbol IV: highIV (Rank: 44.4%)
⚠ī¸ Notes & Warnings:
  • Bull Put Rejection: Volatility score (80/100) indicates Systemic Fragility. Credit/Risk ratio (10.5%) below 12% hurdle.
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)

NDX

Global Tech Risk 3.2/10

Price: $29,370.17 | Status: ✅ BULLISH BIAS (Skew strikes up) | Trend: LOW RISK | Time: 2026-09-11 10:13 AM EDT

📊 Market Microstructure (Shared Session Tape)
Session VWAP
$29381.52 (-0.04% dist)
Total Net GEX
$0.97B (🟡 TRANSITION (+0.17 pts))
Gamma Flip Strike
$29,370
0DTE Expected Move
Âą$112.99 (29257.18 - 29483.16)
Institutional Put Wall
$29,000 (0K vol) 🛡ī¸
Institutional Call Wall
$29,650 (1K vol) 🛡ī¸
IRON CONDOR IV Model CRITERIA NOT MET ($5.80/pt)
  • Buy 29030 Put
  • Sell 29080 Put
  • Sell 29570 Call
  • Buy 29620 Call
Max Risk: $4420 C/R Ratio: 11.60% PoP: 86.7% B/E: 29074.20 - 29575.80
EM Cushion: 2.17x EM Symbol IV: midIV (Rank: 34.8%)
⚠ī¸ Notes & Warnings:
  • High volatility score: 80/100
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BEAR CALL SPREAD Model CRITERIA NOT MET ($3.10/pt)
  • Sell 29530 Call
  • Buy 29550 Call
Max Risk: $1690 C/R Ratio: 15.50% PoP: 88.0% B/E: N/A - 29533.10
EM Cushion: 1.41x EM Symbol IV: midIV (Rank: 34.8%)
⚠ī¸ Notes & Warnings:
  • Bear Call Rejection: Volatility score (80/100) indicates Systemic Fragility.
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BULL PUT SPREAD Model CRITERIA NOT MET ($2.75/pt)
  • Buy 29180 Put
  • Sell 29200 Put
Max Risk: $1725 C/R Ratio: 13.80% PoP: 84.4% B/E: 29197.25 - N/A
EM Cushion: 1.51x EM Symbol IV: midIV (Rank: 34.8%)
⚠ī¸ Notes & Warnings:
  • Bull Put Rejection: Volatility score (80/100) indicates Systemic Fragility.
  • RALLY RISK: Asset Risk Score (3.20/10) indicates unhedged upside momentum.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)

IWM

Domestic Credit Risk 1.77/10

Price: $289.58 | Status: ✅ BULLISH BIAS (Skew strikes up) | Trend: MODERATE RISK | Time: 2026-09-11 10:13 AM EDT

📊 Market Microstructure (Shared Session Tape)
Session VWAP
$290.30 (-0.25% dist)
Total Net GEX
-$0.66B (🔴 SHORT GAMMA)
Gamma Flip Strike
$290
0DTE Expected Move
Âą$0.75 (288.82 - 290.32)
Institutional Put Wall
$290 (29K vol) 🛡ī¸
Institutional Call Wall
$291 (46K vol) 🛡ī¸
IRON CONDOR IV Model CRITERIA NOT MET ($0.12/pt)
  • Buy 284 Put
  • Sell 287 Put
  • Sell 292 Call
  • Buy 295 Call
Max Risk: $288 C/R Ratio: 4.00% PoP: 88.7% B/E: 286.88 - 292.12
EM Cushion: 3.33x EM Symbol IV: midIV (Rank: 23.7%)
⚠ī¸ Notes & Warnings:
  • Credit/Risk ratio outside standard range; High volatility score: 85/100; Credit below minimum
  • RALLY RISK: Asset Risk Score (1.77/10) indicates unhedged upside momentum.
  • ℹī¸ Transitory Chop: Trend Score (50/100) within Neutral zone (25–50) — mild intraday drift detected.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BEAR CALL SPREAD Model CRITERIA NOT MET ($0.14/pt)
  • Sell 291 Call
  • Buy 293 Call
Max Risk: $186 C/R Ratio: 7.00% PoP: 86.4% B/E: N/A - 291.14
EM Cushion: 1.90x EM Symbol IV: midIV (Rank: 23.7%)
⚠ī¸ Notes & Warnings:
  • Bear Call Rejection: Volatility score (85/100) indicates Systemic Fragility. Credit/Risk ratio (7.0%) below 8% hurdle. Credit ($0.14) below min ($0.25).
  • RALLY RISK: Asset Risk Score (1.77/10) indicates unhedged upside momentum.
  • ℹī¸ Transitory Chop: Trend Score (50/100) within Neutral zone (25–50) — mild intraday drift detected.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BULL PUT SPREAD Model CRITERIA NOT MET ($0.14/pt)
  • Buy 286 Put
  • Sell 288 Put
Max Risk: $186 C/R Ratio: 7.00% PoP: 85.5% B/E: 287.86 - N/A
EM Cushion: 2.10x EM Symbol IV: midIV (Rank: 23.7%)
⚠ī¸ Notes & Warnings:
  • Bull Put Rejection: Volatility score (85/100) indicates Systemic Fragility. Credit/Risk ratio (7.0%) below 8% hurdle. Credit ($0.14) below min ($0.25).
  • RALLY RISK: Asset Risk Score (1.77/10) indicates unhedged upside momentum.
  • ℹī¸ Transitory Chop: Trend Score (50/100) within Neutral zone (25–50) — mild intraday drift detected.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)

RUT

Domestic Credit Risk 1.77/10

Price: $2,909.55 | Status: ✅ BULLISH BIAS (Skew strikes up) | Trend: MODERATE RISK | Time: 2026-09-11 10:13 AM EDT

📊 Market Microstructure (Shared Session Tape)
Session VWAP
$2916.56 (-0.24% dist)
Total Net GEX
-$3.18B (🔴 SHORT GAMMA)
Gamma Flip Strike
$2,930
0DTE Expected Move
Âą$10.62 (2898.93 - 2920.17)
Institutional Put Wall
$2,885 (1K vol) 🛡ī¸
Institutional Call Wall
$2,935 (1K vol) 🛡ī¸
IRON CONDOR IV Model CRITERIA NOT MET ($1.50/pt)
  • Buy 2855 Put
  • Sell 2885 Put
  • Sell 2930 Call
  • Buy 2960 Call
Max Risk: $2850 C/R Ratio: 5.00% PoP: 87.4% B/E: 2883.50 - 2931.50
EM Cushion: 2.12x EM Symbol IV: midIV (Rank: 17.2%)
⚠ī¸ Notes & Warnings:
  • Credit/Risk ratio outside standard range; High volatility score: 100/100
  • Elevated Implied Move: 1.37% (common)
  • RALLY RISK: Asset Risk Score (1.77/10) indicates unhedged upside momentum.
  • ℹī¸ Transitory Chop: Trend Score (50/100) within Neutral zone (25–50) — mild intraday drift detected.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BEAR CALL SPREAD Model CRITERIA NOT MET ($1.10/pt)
  • Sell 2925 Call
  • Buy 2945 Call
Max Risk: $1890 C/R Ratio: 5.50% PoP: 88.8% B/E: N/A - 2926.10
EM Cushion: 1.46x EM Symbol IV: midIV (Rank: 17.2%)
⚠ī¸ Notes & Warnings:
  • Bear Call Rejection: Volatility score (100/100) indicates Systemic Fragility. Credit/Risk ratio (5.5%) below 8% hurdle.
  • Elevated Implied Move: 1.37% (common)
  • RALLY RISK: Asset Risk Score (1.77/10) indicates unhedged upside momentum.
  • ℹī¸ Transitory Chop: Trend Score (50/100) within Neutral zone (25–50) — mild intraday drift detected.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)
BULL PUT SPREAD Model CRITERIA NOT MET ($1.08/pt)
  • Buy 2870 Put
  • Sell 2890 Put
Max Risk: $1892 C/R Ratio: 5.40% PoP: 89.6% B/E: 2888.92 - N/A
EM Cushion: 1.84x EM Symbol IV: midIV (Rank: 17.2%)
⚠ī¸ Notes & Warnings:
  • Bull Put Rejection: Volatility score (100/100) indicates Systemic Fragility. Credit/Risk ratio (5.4%) below 8% hurdle.
  • Elevated Implied Move: 1.37% (common)
  • RALLY RISK: Asset Risk Score (1.77/10) indicates unhedged upside momentum.
  • ℹī¸ Transitory Chop: Trend Score (50/100) within Neutral zone (25–50) — mild intraday drift detected.
  • Major Event Risk: Scheduled Macro Catalyst (Binary Gap Hazard)