Max Delta SPY 0DTE Intelligence Analysis for July 18, 2025

Max Delta SPY 0DTE Open‐Session Intelligence Brief – July 18, 2025

1. Market Context & Volatility Regime
On the eve of expiration, SPY spot settled at 628.04, up from yesterday’s 624.22 close, while SPX futures edged to 6 297.36. Volatility remains suppressed: VIX at 16.52, below its prior 17.16, and spot IV/RV at 206 %/8.65 % (a 197 pt vol‐premium) indicates dealers are charging maximal extrinsic premium relative to realized moves. The computed “Gamma‐Trap” regime suggests a short‐gamma environment where dealer hedges will be wound in, culminating in convexity traps familiar from Dreman and Park’s pinning literature.