Two verticals in one session: a floor sold in the morning, a ceiling sold at lunch
Put selling outpaced call selling all morning. By 12:45 there was a lid on it too.
- SPX open
- 7,594.74
- High
- 7,612.86
- Low
- 7,580.06
- Close
- 7,591.79
- 0DTE net gamma positive
- 87%
- All-expiry net gamma positive
- 79%
- VIX open → close
- 17.74 → 18.01
- VIX high
- 18.17
11:37 ET
10:00 ET
of the session's minutes
of the session's minutes
One strike caps the day
The story
- 10:00 — low 7580.06. Nineteen points above it a put vertical was going on: 7600 +$3.5B, nearly all puts, against -$1.9B at 7595.
- 10:22 — the post: put selling outpacing call selling all morning, VIX pulled back into positive gamma, price in supportive charm. At 10:26 puts were -$11.3M and calls flat.
- Price went straight through 7600 to 7612.86 at 11:37 — a strike being built is a magnet before it is a wall.
- 12:45 — the other side: 7610 +$9.9B of calls against -$6.9B at 7615. A sold call vertical. No bar cleared 7607 afterwards.
- Then what: 7600 peaked at +$11.1B, price spent the afternoon inside six points, and the close, 7591.79, sat between the two structures.
Minute by minute
The beats
10:00 ET
session low 7580.06; 7600 at +$3.5B, +$3.1B of it puts, against -$1.9B at 7595
10:26 ET
the post (10:22): put selling outpacing call selling, supportive charm; puts -$11.3M, calls flat
11:37 ET
session high 7612.86, 33 points off the low, through the strike
12:45 ET
the call vertical: 7610 +$9.9B against 7615 -$6.9B
14:55 ET
7600 peaks at +$11.1B; price pinned 7588-7593
15:55 ET
7590 at -$16.9B below, 7600 +$4.6B above; close 7591.79 between them
In #qo-market-data, as it happened
Posted live
Put selling outpacing call selling all morning. $VIX currently being dragged back into the pocket of positive gamma. Price in a pocket of supportive charm.
Afternoon look at the data before the close. The move in crude oil, bonds, currencies, is creating an interesting macro situation. CPI is tomorrow morning. Situation does not appear very stable.
From the product
The dashboard at each beat
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Dashboard frame 1 / 6
10:00 ET — Session low 7580.06; 7600 at +$3.5B, +$3.1B of it puts, against -$1.9B at 7595
More of this session
The short cut
The short cut
9 slides
The case, slide by slide
Slide 1 / 9
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.