Max Delta SPY 0-DTE Mid-Day Intelligence Report

Powered by Max Delta 6

July 14, 2025 – 12:00 ET

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1. Market Snapshot & Regime

• SPY Spot: 623.95 (Prev 623.62)

• SPX: 6 261.36 (Prev 6 259.75)

• VIX: 17.12 ↑ from 16.40

• Implied vs. Realized Vol: IV 10.2% > RV 9.96% (vol premium)

• GEX Regime: Positive (dealer gamma long)

• DEX Regime: Positive (dealer delta long)

• Regime Class: Normal

Dealers remain net long both convexity and directional, dampening spot swings and encouraging a measured drift.

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2. Order Flow & Pinning Forces

• Call/Put Volume Ratio: 0.79 (light puts)

• Call Flow Imbalance: +538 K

• Put Flow Imbalance: +288 K

• Net Flow Bias: +251 K (lean bullish)

• Key Pin Levels:

  • 625 → 13.8% of OI

  • 624 (Spot) → 11.6%

  • 623 → 7.0%

• Aggregate “Pin” Above/Below Spot:

  • Above: 1.21 B (5.61%)

  • Below: 1.05 B (4.01%)

Heavy open interest around 624–625 exerts a magnetic effect, as dealer hedges buy low/sell high into that zone.