Everything lined up: the dive, the bounce, and one strike left above
By 12:10 there was nothing left on the board below price.
- SPX open
- 7,391.88
- High
- 7,444.32
- Low
- 7,348.88
- Close
- 7,440.25
- 0DTE net gamma positive
- 67%
- All-expiry net gamma positive
- 100%
- VIX open → close
- 18.27 → 17.53
- VIX high
- 19.44
15:59 ET
10:15 ET
of the session's minutes
of the session's minutes
The bullish stack
The story
- All-expiry gamma positive 100% of minutes.
- 10:15 — price dove to 7348.88, between two put-side positive strikes, 7370 and 7340. VIX peaked 19.4.
- 10:30 — charm at spot flipped from suppressive to supportive and stayed there: -$2B to -$7.7B all afternoon.
- 12:02 — 0DTE net delta crossed above zero. By 12:10 the three largest positive strikes were all above price.
- Calls bought (+$11M) and puts sold (-$25M) the rest of the day. 7440 grew from +$0.8B to +$4.7B.
- Then what: price closed 7440.25 — on the strike.
Minute by minute
The beats
10:15 ET
low 7348.88, between put strikes 7370 (+$2.0B) and 7340 (+$1.6B); VIX 19.3
10:30 ET
charm turns supportive; price 7396
12:02 ET
0DTE net delta crosses above zero and stays
12:10 ET
every top strike is above price: 7440, 7435, 7430
13:30 ET
7440 at +$3.3B; calls +$10.6M, puts -$13.4M
15:23 ET
7440.17 — on the strike; premium net +$32.5M
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
10:15 ET — Low 7348.88, between put strikes 7370 (+$2.0B) and 7340 (+$1.6B); VIX 19.3
More of this session
The whole session on the dashboard
The real dashboard, the session replayed
The short cut
9 slides
The case, slide by slide
Slide 1 / 9
Same pattern
The bullish stack
1:16Calls bought, puts sold, net delta at the highs: the run to 7750
At 11:23 four things lined up on one screen. Seven minutes later price was 35 points higher.
The bullish stack
1:117675 builds, charm turns supportive, and price is there 35 minutes later
The strike was 21 points above price when it started to grow.
The bullish stack
1:07A pop in gamma at 7730 and 7740, and the squeeze 49 minutes later
Two strikes lit up at 10:28. Price was 17 points under them.
The bullish stack
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