Max Delta SPY 0DTE Intelligence Report for August 4, 2025
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1. Market & Vol Snapshot
Metric Value Δ vs Prev Close SPY Spot 629.12 +7.40 SPX Index 6 311.19 +72.47 VIX 17.99 –2.39 IV (0DTE) 15.91% –0.90 pp RV (30 d) 8.48% +0.15 pp GARCH RV 8.63% +0.15 pp Avg IV (Strikes) 18.42% –0.21 pp Avg RV (Strikes) 8.48% +0.00 pp Market Status Open —
Despite a sharp SPY rally (+1.19%) and falling fear (VIX –11.7%), realized volatility has ticked up slightly, compressing the vol‐premium but leaving ample time‐decay headroom.
2. Regime Analysis
GEX Regime: Positive
DEX Regime: Positive
Regime Class: Charm Drain (elevated θ bleed)
Max Delta Score: 0.35
Signal Confidence: 100%
Bayesian Regime Prob (Charm Drain): 73%
Interpretation:
Dealers remain long net‐gamma and delta, but heavy time‐decay (θ) is draining option premium. This “Charm Drain” regime often precedes short‐squeeze rallies, as spot‐driven dealers buy back hedges.
