Max Delta SPY 0DTE Intelligence Report for August 29, 2025

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📊 Max Delta Intelligence Report — SPY 0DTE (Aug 29, 2025)

1. Metadata

• Spot Price ≈ 647 (from Max Delta / flip data).

• Prev Close not included in file, but derivative structures imply a flat-to-slightly higher open.

• Market Regime: GEX Negative, DEX Positive → divergence regime, typical of volatile intraday swings (Andersen et al., 2022).

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2. ALPHA Metrics

• Golden Call: 624 → Optimal balance of delta²/(gamma·theta). Ask ≈ 25.48, Last ≈ 25.7.

• Golden Put: 685 → Higher premium (≈ 46.15), wide spread 2.83.

• Lambda Call: 656 / Lambda Put: 644 → Skewed elastic exposures cluster just above/below spot.

• POT (Call): 649.0 (96.4%) → Extremely high probability of touch above spot.

• POT (Put): 624.0 (5.0%) → Negligible downside touch probability.

Interpretation: Golden Call and POT (Call) alignment suggest long call premium near 624–649 strikes has highest convexity-adjusted payoff potential.