SPX dealer gamma positioning
Monday, January 8, 2024 · reconstructed from the 0DTE options tape
SPX opened at 4,703.74 and closed at 4,763.77, up 1.28% on the session (range 4,703.74–4,764.05). The close sat 84.7 points above the zero-gamma flip at 4,679.1 — dealer hedging in vol-dampening territory. Call resistance 4,760, put support 4,770. 0DTE ATM IV opened at 7.4%.
Price crossed the flip once, first at 09:31 ET. The tape spent 97% of the day above VWAP. The expected-hold band 4,679.1–4,767.6 contained the entire session.
| Open → Close | 4,703.74 → 4,763.77 (+1.28%) |
| Session range | 4,703.74 – 4,764.05 |
| VWAP at the close | 4,731.77 |
| Zero-gamma flip | 4,679.1 |
| Call resistance | 4,760 |
| Put support | 4,770 |
| Expected-hold band | 4,679.1 – 4,767.6 |
| 0DTE ATM IV at the open | 7.4% |
| Net-gamma percentile | 88 |
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.