Gamma Exposure — $SPX
Dealer positioning · flip, walls & regime
Updated July 21, 2026, 10:30 AM ET
▼ NEGATIVE GAMMA
Negative gamma — spot below the 7500 flip
Momentum over mean-reversion; dealer hedging amplifies moves.
Net GEX -24B → -2BSpot +51 ptsspot 7494.64 · band ±10% · 2026-07-21 14:30Z
Net GEX (all strikes)
-2.38 B$
per 1% move
Gamma flip (zero-γ)
7500
spot below → negative
Call wall (max +GEX)
7600
upside magnet
Put wall (max −GEX)
7400
downside rail
Short-dated γ
0-1DTE 31%
≤7d 67% · front-loaded
Liquidity / fragility
DEEP
VIX term structure gauge
VIX / VIX3M
17.38 / 19.69
term 0.883
GEX by strike — M$/1% (band ±10%)
Worth noting. Net GEX moved +21B to -2.4B — the negative-gamma pocket is shallowing.
Into the close
MOC imbalance: NYSE prints ~3:50 ET · Nasdaq 3:55–4:00 ET
- Negative gamma: dealers chase. A same-direction MOC imbalance can ACCELERATE into the bell — buy-imbal = chase up, sell-imbal = air-pocket.
- 0DTE-heavy tape: charm pin/rip is stronger — the last 30 min can decide the day.
- Size matters: an aggregate MOC over ~$1–2B is a real tide; it can flip 2:50→3:00.
Vol-control flow (estimate)
Realized vol (20d/60d blend): 11.2% · last session -0.19% · AUM $215B | target 10% | max 2.0x | cadence d/w/m 35/30/35%
| 1d % chg | Est flow $bn |
|---|
| -3.0% | -43.06 |
| -2.0% | -22.94 |
| -1.0% | -5.90 |
| +0.0% | +1.02 |
| +1.0% | -5.90 |
| +2.0% | -22.31 |
| +3.0% | -41.40 |
| From a -2% day | Cumulative $bn |
|---|
| day 1 | -9.79 |
| day 5 | -16.82 |
| day 10 | -18.73 |
| day 21 | -22.94 |
Estimate — trust the shape and day-over-day change, not the absolute level.