FOMC in negative gamma: down 77, up 110, down 137
All-expiry gamma was negative every minute. Price travelled 324 points to close 102 lower.
- SPX open
- 7,418.16
- High
- 7,450.84
- Low
- 7,313.92
- Close
- 7,316.40
- 0DTE net gamma positive
- 22%
- All-expiry net gamma positive
- 0%
- VIX open → close
- 18.74 → 20.30
- VIX high
- 20.42
14:55 ET
15:59 ET
of the session's minutes
of the session's minutes
The negative gamma regime
The story
- All-expiry net gamma negative 100% of minutes; 0DTE negative 78%. VIX 18.7 to 20.5.
- Morning: -77 to 7341.25 at 12:15. Then +110 into the statement, high 7450.84, put premium sold -$27M on the way.
- Last hour: -137 to 7313.92, through every strike, to the 7325/7320 put spread that had been building since 10:00.
- Then what: compare with 06-04. Same kind of event risk is not the variable. The sign of the book is.
Minute by minute
The beats
10:00 ET
0DTE -$1.0B, all-expiry -$3.8B
12:15 ET
morning low 7341.25 — 77 lower; 7325 building, +$2.8B of puts
14:55 ET
session high 7450.84, under 7475 (+$3.1B); puts sold -$27M
15:58 ET
7319.65 on the way to the 15:59 low, 7313.92; 7325 at +$17.3B against 7320 at -$22.4B
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 / 4
10:00 ET — 0DTE -$1.0B, all-expiry -$3.8B
More of this session
The short cut
The short cut
7 slides
The case, slide by slide
Slide 1 / 7
Same pattern
The negative gamma regime
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