SPX dealer gamma positioning
Monday, September 19, 2022 · reconstructed from the 0DTE options tape
SPX opened at 3,839.36 and closed at 3,899.47, up 1.57% on the session (range 3,839.36–3,899.82). The close sat 1.7 points below the zero-gamma flip at 3,901.2 — dealer hedging in vol-amplifying territory. Call resistance 3,910, put support 3,900. 0DTE ATM IV opened at 20.7%.
Price crossed the flip 20 times, first at 09:33 ET. The tape spent 75% of the day above VWAP. The session traded outside the expected-hold band 3,898.3–3,937.1 at some point.
| Open → Close | 3,839.36 → 3,899.47 (+1.57%) |
| Session range | 3,839.36 – 3,899.82 |
| VWAP at the close | 3,872.83 |
| Zero-gamma flip | 3,901.2 |
| Call resistance | 3,910 |
| Put support | 3,900 |
| Expected-hold band | 3,898.3 – 3,937.1 |
| 0DTE ATM IV at the open | 20.7% |
| Net-gamma percentile | 0 |
The terminal replays the full session minute by minute: dealer gamma, vanna and charm by strike, the flip and hold levels as they moved, IV and realised vol side by side. Every historical session is free and needs no account. New to these terms? Start with what GEX is.
Measurements are model output derived from public trade and quote data; they are approximations and can be wrong. Nothing here is investment advice — see the Terms.