Straight down to the dominant strike, and the VIX high in the same minute
7375 led the board in 87% of the day's reads. The low was one point above it.
- SPX open
- 7,418.29
- High
- 7,450.12
- Low
- 7,376.00
- Close
- 7,408.10
- 0DTE net gamma positive
- 80%
- All-expiry net gamma positive
- 96%
- VIX open → close
- 19.45 → 18.86
- VIX high
- 20.26
09:43 ET
11:31 ET
of the session's minutes
of the session's minutes
The dive and the bounce
The story
- 7375 was the largest positive strike in 87% of samples, nearly all puts customers had sold.
- Price fell 74 points from the 09:43 high straight to it. Low 7376.00 at 11:31. VIX high 20.26 at 11:30.
- Put premium kept being sold through the low: -$16M at 11:30, -$29M by 13:30.
- What did NOT line up, and should be said: charm was suppressive until 14:30 and 0DTE net delta never turned positive. This was a strike and put sellers, nothing else.
- Then what: +41 off the low by 12:30, a second hold at 14:00 with the strike at +$4.0B, close 7408.10.
Minute by minute
The beats
09:43 ET
session high 7448.94
10:00 ET
7375 becomes the largest positive strike, +$1.2B of puts
11:31 ET
session low 7376.00; 7375 at +$2.9B; VIX high 20.26 a minute earlier
12:30 ET
7417; puts sold -$23M
14:00 ET
second test, 7395; 7375 at +$4.0B
15:30 ET
7400
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
09:43 ET — Session high 7448.94
More of this session
The short cut
The short cut
9 slides
The case, slide by slide
Slide 1 / 9
Same pattern
The dive and the bounce
1:16The floor built while they sold
Sellers leaned on it all morning. The low printed two points above the strike being built.
The dive and the bounce
1:07Named before the open: support off the dominant positive strike at 7655
Posted before the open. Tested five and a half hours later.
The dive and the bounce
1:11VIX at 22 and a 155-point reversal off the 7250 put strike
The day after a 120-point drop. The low was seven points above one strike.
The dive and the bounce
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.