Market is in negative gamma now: faster and farther, both ways
Up 34, then down 52. Same day, same regime.
- SPX open
- 7,635.47
- High
- 7,663.63
- Low
- 7,611.20
- Close
- 7,631.54
- 0DTE net gamma positive
- 54%
- All-expiry net gamma positive
- 62%
- VIX open → close
- 15.91 → 16.20
- VIX high
- 16.80
11:53 ET
14:46 ET
of the session's minutes
of the session's minutes
The VIX Tuesday
The story
- Tuesday before a weekly VIX expiry. VIX 15.9 to a high of 16.80, VVIX 86 to 91.
- 10:20 — 0DTE net gamma negative. The note posted with it: faster, farther moves, in both directions.
- Up first: 7629 to 7663 by 11:53, stopped under 7680, which had gone to +$8.4B.
- Then down 52 points to 7611.20 at 14:46. The strike there, 7610, was negative (-$5.6B). Negative strikes do not hold price, they let it through — and the low was made on it only because the day ran out.
- Then what: VIX printed its high in the same minute as the SPX low, and both reversed into the close.
Minute by minute
The beats
10:00 ET
0DTE net gamma -$2.9B
10:20 ETposted live
the post: market is in negative gamma now
10:50 ETposted live
the post: pausing on entry into the prior day's range
11:53 ET
session high 7663.63, under 7680 (+$8.4B, a sold call spread against -$6.6B at 7685)
14:46 ET
session low 7611.20 on a NEGATIVE strike, 7610; VIX high 16.80 in the same minute
In #qo-market-data, as it happened
Posted live
Market is in negative gamma now
Faster, farther traveling moves, in both directions, can happen in negative gamma conditions. Seeing a squeeze like this isn't uncommon.
Market pausing on entry into prior day's range. Monitoring for whether that was the high of the move and it rejects lower
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
10:00 ET — 0DTE net gamma -$2.9B
More of this session
The short cut
The short cut
11 slides
The case, slide by slide
Slide 1 / 11
Same pattern
The VIX Tuesday
1:11The 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.
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.