The call wall and the put wall are the strikes where dealer gamma is most concentrated. In regular hours price often slows near them. A weekend move on the index perp can carry the implied SPY level right up to one. That calls for a different reading from the weekday case, because the thing that gives a wall its effect was switched off the whole time.
What a wall does in regular hours
A wall acts through hedging. As price nears a strike with heavy gamma, dealers adjust their hedges, and that flow tends to lean against the move. Gamma walls, explained covers the mechanism. What a wall is and is not covers the limits, the main one being that a wall is a concentration of positioning and never a floor or a ceiling by rule.
Nothing was hedged on the way
Over a weekend the options market is shut. No dealer hedged against the perp’s move, because no SPY option traded. The perp has no walls of its own. So when the implied level reaches Friday’s call wall, it has arrived there without meeting any of the flow that would have met it on a Tuesday afternoon. The wall has not been tested. It has only been approached on another venue.
Three places the level can land
Short of the wall: Friday’s structure is intact and the wall is still ahead of price. The distance to it is smaller, and that is the note to make.
At the wall: the open would sit where hedging was most concentrated on Friday. The first minutes then show whether that concentration is still there.
Through the wall: the strike that capped price on Friday would be behind it at the open. A level that was resistance in the map becomes a level price is already past, which is the situation in when the call wall breaks, reached by a gap instead of a push.
The wall you saw may not be the wall you get
Friday’s map included contracts that expired on Friday. Those are gone on Monday. A wall built mostly on the expiring contracts can shrink or move. A wall built on later expiries is more likely to be standing where you left it. Check which kind it was before leaning on it. The fresh map at the open is the authority, and Sunday’s reading is preparation for it.
Where to read it
Trader shows the call and put walls for SPY, QQQ and IWM with the index perps’ move since the close beside them. The perp gives the level. The map says what stands at that level. Neither is a forecast of where the cash market opens.