VIX ran to the expiring contract's largest strike and turned — and so did SPX
Tuesday, the day before VIX expiry. VIX went from 17.6 to 23.3 in three hours.
- SPX open
- 7,438.66
- High
- 7,483.15
- Low
- 7,237.85
- Close
- 7,386.42
- 0DTE net gamma positive
- 34%
- All-expiry net gamma positive
- 53%
- VIX open → close
- 18.06 → 19.80
- VIX high
- 23.29
09:49 ET
12:40 ET
of the session's minutes
of the session's minutes
The VIX Tuesday
The story
- SPX fell 245 points, 7483.15 to 7237.85. VIX 17.6 to 23.29. VIX1D 9.8 to 26.3.
- On the VIX dashboard, the weekly contract expiring the next morning had its largest positive gamma strike at 23.
- VIX high: 23.29 at 12:41. SPX low: 12:40. Both turned.
- On the way down the call line fell to -$73M at the low while the put line barely moved: all of the flow was in calls.
- Under SPX the largest positive strike was 7215 (+$3.3B of puts), 23 points below the low.
- Then what: +149 into the close, 7386.42, with puts sold from -$4.5M to -$35.6M.
Minute by minute
The beats
09:49 ET
SPX high 7483.15; VIX 17.6; VIX1D 9.8
11:00 ET
7390; call premium -$29.8M — calls being dumped
12:00 ET
7309; VIX 21.0; charm +$5.3B, suppressive
12:40 ET
SPX low 7237.85; call premium near -$73M
12:41 ET
VIX high 23.29. In the contract expiring next morning, 23 was the largest positive gamma strike
16:00 ET
SPX 7386.42, +149 off the low; VIX 19.8
From the product
The dashboard at each beat
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Dashboard frame 1 / 6
09:49 ET — SPX high 7483.15; VIX 17.6; VIX1D 9.8
More of this session
The whole session on the dashboard
The real dashboard, the session replayed
The short cut
10 slides
The case, slide by slide
Slide 1 / 10
Same pattern
The VIX Tuesday
1:11The Tuesday before VIX expiry: the flow never confirmed, so no follow-through
Negative gamma, suppressive charm, price falling — and the put line never turned up.
The VIX Tuesday
1:07Market is in negative gamma now: faster and farther, both ways
Up 34, then down 52. Same day, same regime.
The VIX Tuesday
1:07The bearish mirror: calls sold, puts bought, negative gamma all day
Flip every signal from the bullish days. This is that day.
The VIX Tuesday
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.