Calls sold, puts bought, and the 7700 strike underneath
The flow was bearish all morning. The low printed six points above the one strike that mattered.
- SPX open
- 7,750.19
- High
- 7,750.19
- Low
- 7,706.12
- Close
- 7,718.36
- 0DTE net gamma positive
- 73%
- All-expiry net gamma positive
- 59%
- VIX open → close
- 14.03 → 14.53
- VIX high
- 14.53
09:30 ET
11:31 ET
of the session's minutes
of the session's minutes
The dive and the hold
The story
- Jobs day. The opening print, 7750.19, was the high — on the strike that by 10:00 was +$6.2B against -$5.8B one strike up, a sold call spread.
- By 11:11 call premium was -$12.9M and put premium +$5.0M. Calls sold, puts bought — the bearish mirror of a squeeze.
- Under price sat 7700 at +$3.1B and 7675 at +$2.5B, both almost entirely puts that customers had sold.
- Low 7706.12 at 11:31, 6.1 points above 7700. Put buying stopped growing after noon.
- Then what: net gamma turned positive again by 14:00 and the afternoon range was 12 points.
Minute by minute
The beats
09:30 ET
the open is the high: 7750.19, on the strike
10:00 ET
7750 at +$6.2B against -$5.8B at 7755: a sold call spread on the open print
11:11 ETposted live
the post: calls -$12.9M, puts +$5.0M; 7700 +$3.1B below
11:31 ET
session low 7706.12
14:00 ET
0DTE net gamma back to +$5.2B
16:00 ET
close 7718.36
In #qo-market-data, as it happened
Posted live
Call selling and put this morning. 7700 large round number and large positive gamma strike through OPEX just below. Still a lot of green on the screen with semis up strong so no widespread selling. SPX tagging 20d SMA now as well. VIX contained too. IWM green on the screen too.
Have a good weekend and holiday to those who celebrate. Hope today was a good day and you stayed out of trouble with the data. Market is back in positive gamma. Bears fumbled the day.
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 / 6
09:30 ET — The open is the high: 7750.19, on the strike
More of this session
The short cut
The short cut
10 slides
The case, slide by slide
Slide 1 / 10
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.