A rally in negative gamma: spot up, vol up
Price went up 129 points, low to high. So did volatility.
- SPX open
- 7,630.62
- High
- 7,758.21
- Low
- 7,629.10
- Close
- 7,736.49
- 0DTE net gamma positive
- 7%
- All-expiry net gamma positive
- 10%
- VIX open → close
- 15.56 → 16.39
- VIX high
- 16.65
15:46 ET
09:30 ET
of the session's minutes
of the session's minutes
The negative gamma regime
The story
- Net gamma positive in 10% of minutes or fewer, both books. Tuesday before a weekly VIX expiry.
- Each positive strike above — 7650, 7690 — was reached and passed within the hour. In a positive book those are ceilings.
- Calls bought to +$25M by 15:00. 0DTE net delta positive all day, +$8B to +$12B.
- VIX rose with price, 15.56 to 16.43, and VIX1D from 9.4 to 14.4.
- Then what: high 7758.21, close 7736.49, +106 open to close. Negative gamma cuts both ways — this is the upside version.
Minute by minute
The beats
09:30 ET
the open is the low, 7629.10; 7650 +$4.3B
10:00 ET
through 7650; 7690 becomes the lead at +$5.5B
12:00 ET
through 7690; 0DTE -$9.5B
13:00 ET
calls bought +$12.6M; 7729
15:46 ET
session high 7758.21; 0DTE near -$23B; VIX1D 14.4 from 9.4
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
09:30 ET — The open is the low, 7629.10; 7650 +$4.3B
More of this session
The short cut
The short cut
9 slides
The case, slide by slide
Slide 1 / 9
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.