Max Delta SPY 0DTE Intelligence Report for August 5, 2025

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Max Delta 6 SPY 0DTE Intelligence Report
Date: August 5, 2025

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1. Market Context & Metadata

• Spot Price: 630.38

• SPX: Last 6,322.39 vs. Prev Close 6,329.94 (–0.12%)

• VIX: 17.89 vs. Prev 17.52 (+2.13%)

• Implied Vol (IV): 15.74% vs. Realized Vol (RV) 9.59%

• GARCH RV: 14.72% (+5.13 pp vs. RV)

• Regimes:

  • GEX Regime: Positive

  • DEX Regime: Negative

Interpretation: Elevated IV / RV spread and rising VIX signal that option‐market uncertainty is outpacing realized moves, despite a small SPX pullback. Dealers’ gamma‐exposure regime remains supportive of spot stability, but delta‐exposure has turned bearish.

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