Updated November 4, 2026, 3:55 PM ET
▼ NEGATIVE GAMMA
Negative gamma — spot below the 7684 flip
Momentum over mean-reversion; dealer hedging amplifies moves.
Net GEX +1B → -0BSpot -3 ptsspot 7683.82 · band ±10% · 2026-11-04 20:55Z
Net GEX (all strikes)
-0.22 B$
per 1% move
Gamma flip (zero-γ)
7684
spot below → negative
Call wall (max +GEX)
7800
upside magnet
Put wall (max −GEX)
7500
downside rail
Short-dated γ
0-1DTE 33%
≤7d 55% · front-loaded
Liquidity / fragility
DEEP
VIX term structure gauge
VIX / VIX3M
16.88 / 18.92
term 0.892
GEX by strike — M$/1% (band ±10%)
Worth noting. REGIME FLIP: the board crossed from positive to negative gamma since the last snapshot.
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): 0.0% · last session +0.00% · AUM $215B | target 10% | max 2.0x | cadence d/w/m 35/30/35%
| 1d % chg | Est flow $bn |
|---|
| -3.0% | -44.04 |
| -2.0% | -22.58 |
| -1.0% | -5.45 |
| +1.0% | -8.98 |
| +2.0% | -27.16 |
| +3.0% | -47.61 |
| From a -2% day | Cumulative $bn |
|---|
| day 1 | -9.63 |
| day 5 | -16.56 |
| day 10 | -18.44 |
| day 21 | -22.58 |
Estimate — trust the shape and day-over-day change, not the absolute level.