Put selling all morning, supportive charm, and 7650 overhead
The whole book was negative gamma. The 0DTE book was building a ceiling.
- SPX open
- 7,631.44
- High
- 7,646.86
- Low
- 7,611.81
- Close
- 7,637.71
- 0DTE net gamma positive
- 77%
- All-expiry net gamma positive
- 32%
- VIX open → close
- 15.43 → 15.43
- VIX high
- 15.99
15:54 ET
10:11 ET
of the session's minutes
of the session's minutes
The bullish stack
The story
- All-expiry gamma positive in only 32% of minutes; 0DTE positive in 77%. Two books, two answers.
- 10:38 — put premium -$14.7M and falling, charm negative at spot, 7650 the largest positive strike.
- 7650 went +$2.1B to +$17.7B by noon. Price climbed to 7637 and stopped.
- Then what: high 7646.86 at 15:54, 3.1 under the strike. Day before monthly expiry.
Minute by minute
The beats
10:11 ET
session low 7611.81, twelve points above 7600 (+$2.9B)
10:38 ETposted live
the post: put selling all morning, supportive charm, largest gamma above at 7650
12:00 ET
7650 at +$17.7B
14:00 ET
price 7637; 0DTE net delta +$10.4B
15:54 ET
session high 7646.86 — under 7650
In #qo-market-data, as it happened
Posted live
Put selling all morning. Supportive charm Gamma through tomorrow afternoon largest above at 7650.
From the product
The dashboard at each beat
Premium Flow, Cumulative Net Delta and Gamma Flow By Strike on one screen, replayed to the minute. Real frames, nothing redrawn. Click the right of the frame to step to the next beat.
Dashboard frame 1 / 5
10:11 ET — Session low 7611.81, twelve points above 7600 (+$2.9B)
More of this session
The short cut
The short cut
9 slides
The case, slide by slide
Slide 1 / 9
Same pattern
The bullish stack
1:16Calls bought, puts sold, net delta at the highs: the run to 7750
At 11:23 four things lined up on one screen. Seven minutes later price was 35 points higher.
The bullish stack
1:117675 builds, charm turns supportive, and price is there 35 minutes later
The strike was 21 points above price when it started to grow.
The bullish stack
1:07A pop in gamma at 7730 and 7740, and the squeeze 49 minutes later
Two strikes lit up at 10:28. Price was 17 points under them.
The bullish stack
These pages describe what the displays show and what the data did on the sessions shown. They are not trading advice, and a past session is not a forecast of a future one.