Calls 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.
- SPX open
- 7,686.71
- High
- 7,756.76
- Low
- 7,686.71
- Close
- 7,747.59
- 0DTE net gamma positive
- 99%
- All-expiry net gamma positive
- 96%
- VIX open → close
- 15.02 → 14.29
- VIX high
- 15.09
14:17 ET
09:30 ET
of the session's minutes
of the session's minutes
The bullish stack
The story
- 0DTE net gamma was positive in 99% of minutes. The day never had room to fall far.
- 09:46 — 7750 took the lead on the board at +$3.2B, almost all calls, and charm at spot turned negative, which is the supportive side.
- 11:00 to 11:23 — call premium went from -$2.1M to +$4.9M while put premium went from -$0.3M to -$8.3M. Calls bought, puts sold, together.
- In the same 23 minutes the 0DTE net delta line went from +$1.4B to +$10.7B, its high of the day to that point.
- Price went 7711 to 7747 by 11:30 and then spent four hours under 7750 while that strike grew to +$49B.
- Then what: the largest positive strike of the day was the target and then the ceiling. High 7756.76, close 7747.59.
Minute by minute
The beats
09:46 ETposted live
7750 becomes the largest positive strike; charm turns supportive
10:10 ET
the morning pullback ends at 7691.39
11:00 ET
before: call premium -$2.1M, 0DTE net delta +$1.4B
11:23 ETposted live
the post: calls +$4.9M, puts -$8.3M, net delta +$10.7B, 7750 at +$8.7B
11:30 ET
7747 — ten points of the run left
13:30 ET
7750 at +$19.9B; price parked beneath it
14:17 ET
session high 7756.76
15:30 ET
7750 at +$49.1B; price 7750.71
In #qo-market-data, as it happened
Posted live
7750 gamma rising. Now in supportive charm
Call buying/put selling on the tape. Net delta at the highs. Supportive charm. 7750 peak gamma strike.
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 / 8
09:46 ET — 7750 becomes the largest positive strike; charm turns supportive
More of this session
The whole session on the dashboard
The real dashboard, the session replayed
The short cut
13 slides
The case, slide by slide
Slide 1 / 13
Same pattern
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
1:07Put selling all morning, supportive charm, and 7650 overhead
The whole book was negative gamma. The 0DTE book was building a ceiling.
The bullish stack
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