The Tuesday before VIX expiry: the flow never confirmed, so no follow-through
Negative gamma, suppressive charm, price falling — and the put line never turned up.
- SPX open
- 7,612.30
- High
- 7,617.26
- Low
- 7,572.69
- Close
- 7,585.68
- 0DTE net gamma positive
- 67%
- All-expiry net gamma positive
- 18%
- VIX open → close
- 16.84 → 17.36
- VIX high
- 17.84
09:30 ET
10:53 ET
of the session's minutes
of the session's minutes
The VIX Tuesday
The story
- Tuesday before the September monthly VIX expiry and the Fed. VIX1D went 12.0 to 17.0 on the day.
- 09:59 — gamma negative, charm suppressive, price falling. But premium showed the call line AND the put line falling, -$2.7M and -$3.4M. The bearish pair is calls sold with puts bought; the put side never showed up. No confirmation.
- 10:53 — SPX low 7572.69. VIX high 17.84, same minute.
- On the VIX dashboard the expiring contract had market makers short about 374,000 calls. Positive gamma sat at 16.5 and 17 (puts sold), negative at 18 and 20 (calls bought). VIX stalled under 18.
- Then what: the put spread at 7555/7560 was added to all day, reached +$12.9B, and price never came within twelve points of it.
Minute by minute
The beats
09:30 ET
the opening minute is the high of the day, 7617.26
09:59 ETposted live
the post: build at 7560, suppressive charm, negative gamma, no confirming put buying
10:38 ET
the call spread above (7620/7625) is closed out
10:53 ET
SPX low 7572.69 and VIX high 17.84 in the same minute
11:48 ETposted live
the post: the dominant strike is now below price — the usual picture, inverted
15:00 ET
7560 at +$12.9B, led the board 272 minutes
In #qo-market-data, as it happened
Posted live
Build at 7560. In Suppressive charm. Gamma is negative. No confirmatory put buying though and net delta positive. Monitoring there as at the moment it is both call and put selling with premium collection.
Similar to recent days, but opposite in direction. Many recent occurrences of a dominant upper strike but now inverted with the dominant strike below.
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 opening minute is the high of the day, 7617.26
More of this session
The short cut
The short cut
12 slides
The case, slide by slide
Slide 1 / 12
Same pattern
The VIX Tuesday
1:07Market is in negative gamma now: faster and farther, both ways
Up 34, then down 52. Same day, same regime.
The VIX Tuesday
1:11VIX ran to the expiring contract's largest strike and turned — and so did SPX
Tuesday, the day before VIX expiry. VIX went from 17.6 to 23.3 in three hours.
The VIX Tuesday
1:07The bearish mirror: calls sold, puts bought, negative gamma all day
Flip every signal from the bullish days. This is that day.
The VIX Tuesday
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.