MAX DELTA 0DTE SPY Intelligence Report for July 16, 2025

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Date: July 16, 2025

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1. Market Context & Metadata

• Spot: 622.48 (Prev Close 622.14)

• SPX: 6,246.21 (+2.45)

• VIX: 17.17 (↓0.21)

• IV / RV: 13.85% / 9.04% (Volatility premium ~5.5%)

• Market Status: Open

• GEX Regime: Positive

• DEX Regime: Positive

• MAX DELTA Score: 0.65 (moderate)

• Signal Confidence: 0.00

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2. Market Regime & Dealer Flows

Metric Value Net GEX +243.19 K Net DEX +341.86 K GEX Strength 0.21 DEX Strength 0.06 Flip Strike 626.00 Flip Distance +3.84 Lambda Slope +1.88 B Lambda Curvature –6.56 B Charm Curvature +2.43 B Vega Below Spot +753.70 K Fugga Above Spot +938.47 M

• Interpretation: Dealers are long gamma overall (positive GEX/DEX) and have a flip point ~626 → hedging pressure should flatten out above that level. Lambda slope positive, but strong negative curvature suggests non-linear shifts if spot moves sharply.