FOMC: the positioning left before the price did
At 14:08 the chart looked fine. The cushion under it was already gone.
- SPX open
- 7,601.25
- High
- 7,626.79
- Low
- 7,507.77
- Close
- 7,552.25
- 0DTE net gamma positive
- 92%
- All-expiry net gamma positive
- 0%
- VIX open → close
- 16.74 → 17.60
- VIX high
- 18.90
11:47 ET
15:27 ET
of the session's minutes
of the session's minutes
Event days
The story
- All-expiry gamma was negative the whole session; only the 0DTE book was positive. The calm was borrowed.
- 0DTE net gamma ran +$1.96B at 13:59, +$0.54B at 14:08, zero at 14:12 — with price seven points off the high.
- Price did not break 7600 until 14:31. The post in the channel one minute later: call buying has shut down.
- 115 points to 7507.77, stopping 7.77 above 7500 — the largest positive strike below price since 10:05, a put spread customers sold.
- Then what: +44 off the low into the close. It was also monthly VIX expiry morning: VIX 16.7 to 18.9 and back to 17.6.
Minute by minute
The beats
10:05 ET
7500 becomes the largest positive strike below — 107 points under price
11:47 ET
session high 7626.79
13:37 ETposted live
the post: calls bought, puts sold, supportive charm; VIX in negative gamma, VIX1D rising
13:59 ET
0DTE net gamma +$1.96B
14:12 ET
0DTE net gamma reaches zero; price still 7619
14:31 ET
price breaks 7600
14:32 ETposted live
the post: call buying has shut down
15:26 ET
low 7507.77, 7.77 above 7500 (+$18.3B, almost all puts)
16:00 ET
close 7552.25
In #qo-market-data, as it happened
Posted live
Heading into FOMC minutes. Calls are being bought, puts are being sold. In negative gamma but only just with a small move upwards getting back into stability. Supportive charm.
Outlier is $VIX which is in negative gamma and VIX1D rising into the release.
Call buying has shut down
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 / 9
10:05 ET — 7500 becomes the largest positive strike below — 107 points under price
More of this session
The whole session on the dashboard
The real dashboard, the session replayed
The short cut
14 slides
The case, slide by slide
Slide 1 / 14
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.