Max Delta SPY 0DTE Intelligence Report

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1. Summary

As SPY’s July 7 0DTE cycle expired, dealers ended with a slight net negative delta exposure (–$760 K) and net negative GEX (–88 K), but with strong positive curvature in both delta (+$1.14 B) and gamma (+$208 M). Pin probability at $624 was elevated (5.8%), suggesting spot gravitated there into expiration.

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2. Metadata & Key Flows

• Spot Price: $623.57 (Prev: 625.34)

• Total OI: 82.7 K

• Total Volume: 473.8 K

• Put/Call OI Ratio: 1.43 (put-heavy)

• Vol/OI Ratio: 5.73 (moderate turnover)

• P/C Volume Ratio: 0.70 (call-heavy traded flow)