Max Delta 6 SPY 0 DTE Mid-Day Intelligence Report

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Snapshot: 12:00 PM ET, June 30, 2025 (0 DTE expiration)

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1. Metadata & Market Regime

• SPY Spot / Prev Close: $616.60 / $614.91 (↑ 0.28 %)

• SPX (Last): n/a / 6 173.07

• VIX: n/a / n/a

• GEX Regime: Positive (dealers net long gamma)

• DEX Regime: Positive (dealers net long delta)

• Max Δ Score: –$19.6 K (slight net short dealer delta)

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2. Dealer Hedge Profile

Metric Value Strike Net GEX +$453 K γ $615 Net DEX +$505 K Δ $615 Max Γ Strike $615 Peak γ Max λ-GEX Strike $615 Peak λγ Flip Strike $615 Γ sign chg

Dealers’ largest gamma & delta exposures sit right at $615, forming a “gamma well” pinning price.