Max Delta 6 SPY 0DTE “June 23” Mid-Day Intelligence Report

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Max Delta 6 SPY 0DTE “June 23” Mid-Day Intelligence Report
As of June 23, 2025 • 12:26 PM ET

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1. Market Snapshot

• Spot Price: $594.59 (↔︎ vs. 11:00 AM)

• SPX: 5 969.78 vs. 5 967.84 (+0.04 %)

• VIX: 21.52 vs. 20.62 (+0.90) — volatility drifting higher on two-way flow

• Touch Odds: 595 Call @ 94.0 % • 574 Put @ 24.6 %

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2. Dealer Hedge Regime

Metric Value Interpretation Net DEX –$5.85 M Dealers net-short delta — selling into rallies λ-DEX –$0.57 B Concentrated put-delta block well below (~574) — deep support zone Net GEX +$0.07 M γ-equiv. Slight net-long gamma — dealers buy dips, sell rallies λ-GEX +$14.55 M Gamma liquidity cluster around spot (~600) — broad ATM support Flip Strike $602 (+7.41) Above this, hedges flip to selling into rallies