VIX 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.
- SPX open
- 7,287.67
- High
- 7,412.68
- Low
- 7,257.33
- Close
- 7,394.00
- 0DTE net gamma positive
- 79%
- All-expiry net gamma positive
- 34%
- VIX open → close
- 21.31 → 19.58
- VIX high
- 22.58
15:36 ET
11:01 ET
of the session's minutes
of the session's minutes
The dive and the bounce
The story
- All-expiry gamma positive only 34% of minutes; 0DTE 79%. The front book was the only cushion.
- Low 7257.33 at 11:01, seven points above 7250, the largest positive strike. VIX high 22.58 a minute later.
- Puts were sold all day (-$35M). Calls were not bought until after 14:30 — the second leg.
- 14:12 — 0DTE net delta crossed above zero. Price added another 60 points.
- Then what: high 7412.68 into the 7400 strike. +155 low to high.
Minute by minute
The beats
09:30 ET
VIX 21.3 after a -120 session
11:01 ET
session low 7257.33; 7250 at +$1.1B of puts; VIX 22.3
13:30 ET
7353; puts sold -$15M
14:12 ET
0DTE net delta crosses above zero
15:00 ET
7350 at +$2.5B, calls now bought
15:36 ET
session high 7412.68 into 7400 (+$2.5B); premium net +$33M
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 — VIX 21.3 after a -120 session
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
1:11Straight 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.
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.