The floor built while they sold
Sellers leaned on it all morning. The low printed two points above the strike being built.
- SPX open
- 7,611.44
- High
- 7,647.99
- Low
- 7,592.28
- Close
- 7,619.96
- 0DTE net gamma positive
- 99%
- All-expiry net gamma positive
- 97%
- VIX open → close
- 17.65 → 17.00
- VIX high
- 17.72
12:53 ET
10:55 ET
of the session's minutes
of the session's minutes
The dive and the bounce
The story
- Gap down 46. Positive gamma built at 7590 while price fell toward it: +$2.3B by 10:55, nearly all puts sold.
- Low 7592.28, two points above it, never traded again.
- 11:34 — the 0DTE net delta line crossed above zero in the middle of a 25-point run.
- Calls bought and puts sold together took net premium from +$2M to +$21.5M at 12:51 — two minutes before the high.
- Then what: 7660 (+$11.7B against -$5.5B at 7665, a sold call spread) stopped it, and the afternoon was 13 points wide.
Minute by minute
The beats
09:30 ET
gap down 46
10:08 ETposted live
the post: 7640 building, supportive charm
10:55 ET
session low 7592.28; 7590 at +$2.3B, +$2.1B of it puts
11:34 ET
0DTE net delta crosses above zero; price runs 25 points 11:29-11:44
11:55 ETposted live
the post: 7660 build, call flow and put selling
12:51 ET
premium peaks +$21.5M: calls +$11.7M, puts -$9.8M
12:53 ET
session high 7647.99
15:00 ET
seven strikes, +$22B, thirteen points of range
In #qo-market-data, as it happened
Posted live
7640 building, supportive charm, positive gamma
7660 build. Call flow/put selling in SPX
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
09:30 ET — Gap down 46
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 dive and the bounce
1:07Named before the open: support off the dominant positive strike at 7655
Posted before the open. Tested five and a half hours later.
The dive and the bounce
1:11Straight down to the dominant strike, and the VIX high in the same minute
7375 led the board in 87% of the day's reads. The low was one point above it.
The dive and the bounce
1:11VIX at 22 and a 155-point reversal off the 7250 put strike
The day after a 120-point drop. The low was seven points above one strike.
The dive and the bounce
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.