Max Delta 6 SPY 0DTE Mid-Day Intelligence Report

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July 2, 2025 · 12:00 PM ET

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1. Metadata & Regime

• SPY Spot / Prev: $618.98 / $617.65 (+0.21%)

• SPX: 6 212.78 vs 6 198.01

• VIX: 16.77 (↑0.06)

• Regime Class: Gamma-Trap (mixed gamma/delta environment)

• Max Δ Score: +$664 211 (dealer net long delta)

• Pinning Force Index: 0.42 (moderate pin risk)

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2. Dealer Hedge Profile

Measure Value Strike Net GEX +$56.5 M γ $620 Net DEX –$1.84 M Δ $622 Max Γ Strike $620 Hum of gamma buys Max Δ Strike $610 Peak dealer delta Flip Strike $620 Γ sign flip

• Dealers are long gamma at $620 but slightly short delta at $622, indicating the market may pin near $620–$622.