Max Delta 6 SPY 0DTE Intelligence Report for August 8, 2025

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1. Market Context & Metadata

• Spot Price: 636.29

• SPX: Last 6,381.88 vs. Prev Close 6,340.00 (+0.66%)

• VIX: 15.84 vs. Prev 16.57 (–4.41%)

• Implied Vol (IV): 13.69% vs. Realized Vol (RV) 9.91%

• GARCH RV: 8.13% (GARCH–RV Diff –1.78 pp)

• Avg IV/RV (Strikes): 17.13% / 9.91%

• Regimes: GEX: Positive; DEX: Positive

Interpretation: SPX has rallied into expiration morning, volatility is contracting as realized moves lag elevated IV. Both delta‐ and gamma‐exposure regimes are supportive, indicating dealer flows will dampen extremes.