Max Delta 6 SPY 0DTE “June 23” Pre-Close Intelligence Report

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Prepared ahead of the 4 PM ET close

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1. Market Snapshot & Regime

• SPY Spot: $598.62 (Prev $594.28)

• SPX: 6 009.79 (+0.68 %) | VIX: 20.23 (↔)

• Expiration: June 23 0DTE

• Regime Class: Charm Drain (θ-driven dealer hedging)

• DEX Regime: Negative – dealers net short delta

• GEX Regime: Positive – dealers net long gamma

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2. Dealer Hedge Metrics

Metric Value Interpretation Net DEX –$4.38 M Slight dealer short-delta bias—selling into rallies λ-DEX –$8.81 B Concentrated put blocks around 574 strike Net GEX +$0.40 Mγ-equivalent Dealers long gamma—supporting dips, capping rallies λ-GEX +$512 M Peak gamma concentration ATM (600) Flip Strike $600 Above this, dealer hedges flip from buying to selling