Max Delta SPY 0-DTE Intelligence Report

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1. Executive Summary

SPY is trading just under prior close (622.75 vs 623.62), caught between a positive delta/gamma regime and a heavy open interest cluster at 625 – 623. Dealers are net long delta and long gamma, compressing realized volatility. Time decay around 623 is aggressive, but the positive convexity profile and a modest put-call OI skew suggest a controlled grind higher—barring a catalytic event.

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2. Macro & Regime Signals

• Spot / SPX: 622.75 / 6 249.09 (Prev 6 259.75)

• IV / RV: 12.76% / 9.96% (IV > RV → vol premium)

• VIX: 17.28 (Prev 16.40) ↑ (implied vol pick-up)

• GEX Regime: Positive → dealers net long convexity

• DEX Regime: Positive → dealers net long directional exposure

• Term-Structure Slope: –0.05 (slight inversion at wings)

• Regime Class: Normal

Interpretation: A positive delta/gamma regime typically dampens spot volatility as dealer hedging cushions moves (Cont & de Larrard, 2013).