A 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.
- SPX open
- 7,710.34
- High
- 7,741.27
- Low
- 7,689.89
- Close
- 7,730.79
- 0DTE net gamma positive
- 76%
- All-expiry net gamma positive
- 84%
- VIX open → close
- 15.04 → 14.49
- VIX high
- 15.12
13:10 ET
09:35 ET
of the session's minutes
of the session's minutes
The bullish stack
The story
- 10:28 — 7730 went to +$3.0B and 7740 to +$2.3B inside a few minutes, all calls.
- 11:17 — 7730 was +$10.6B, price was 7728, 0DTE net delta had gone +$2.3B to +$7.0B and charm was -$4.2B: supportive.
- High 7741.27 at 13:10 — the second of the two strikes named at 10:28.
- Then what: at 15:00 net gamma went negative (-$8.8B) and price fell 24 points in the last hour. The support was the structure, and the structure expired.
Minute by minute
The beats
09:35 ET
session low 7689.89
10:28 ETposted live
the post: 7730 +$3.0B, 7740 +$2.3B
11:17 ETposted live
7730 at +$10.6B; price 7728; net delta +$7.0B; charm supportive
13:10 ET
session high 7741.27, on the second strike
15:00 ET
0DTE net gamma flips to -$8.8B and price gives back 24 points
In #qo-market-data, as it happened
Posted live
Big pop in positive gamma at 7730 and 7740
There was the gamma squeeze
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
09:35 ET — Session low 7689.89
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
1:07Put 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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