CPI morning on the zero gamma line, and the dominant upper strike again
At 10:34 it was one push from negative gamma. It never got the push.
- SPX open
- 7,636.75
- High
- 7,677.02
- Low
- 7,636.75
- Close
- 7,656.85
- 0DTE net gamma positive
- 96%
- All-expiry net gamma positive
- 98%
- VIX open → close
- 16.12 → 15.89
- VIX high
- 16.17
10:00 ET
09:30 ET
of the session's minutes
of the session's minutes
Event days
The story
- CPI before the open put price on the zero gamma line, 7630 on the owner's premarket read.
- 10:34 — net gamma down to +$2.1B and falling. 10:47 pullback low 7650.19 with net gamma still +$1.2B. It never crossed.
- By 13:00 the familiar picture: one dominant strike above, 7680 at +$10.4B with -$9.7B one strike up. A sold call spread.
- Then what: after the first five minutes the whole day fit between 7650 and 7677. 0DTE net gamma positive 96% of minutes.
Minute by minute
The beats
10:34 ETposted live
the post: on the edge of dipping back into negative gamma
10:47 ET
the pullback low, 7650.19; 0DTE net gamma +$1.2B, not negative
11:27 ET
back to 7675
11:53 ETposted live
the post: stick saved; a dominant upper strike, as seen many times
13:00 ET
7680 at +$10.4B against -$9.7B at 7685
15:00 ET
7665 and 7670 at +$14B and +$12.7B; price 7665
In #qo-market-data, as it happened
Posted live
Headsup. On the edge of dipping back into negative gamma
Stick saved and they have built out the similar profile we have seen many times now with a dominant upper strike
Nothing exciting after the morning. Have a good weekend. Here is an early look at the profiles through OPEX Broadly positive net gamma.
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
10:34 ET — The post: on the edge of dipping back into negative gamma
More of this session
The short cut
The short cut
11 slides
The case, slide by slide
Slide 1 / 11
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.