Max Delta SPY 0DTE Mid-Day Intelligence Report

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Snapshot: 9:58 AM ET, June 27, 2025 (0 DTE June 27 Expiration)

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1. Metadata & Market Regime

• SPY Spot / Prev Close: $614.42 / $611.87

• SPX: 6 168.77 / 6 141.02

• VIX: 16.27 / 16.95

• GEX Regime: Positive (dealers long gamma)

• DEX Regime: Positive (dealers net long delta)

• Max Δ Score: –$447 K (slight net short delta persists)

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2. Dealer Hedge Profile

Metric Value Concentration Strike Net GEX +$560 K γ $614 Net DEX +$1.19 M Δ $614 Max Gamma $615 Peak hedging point Max λ-GEX Strike $615 Highest gamma wedge Flip Strike $613 Gamma/Delta flip

Insight: Dealers are long gamma and long delta around $613–$615, anchoring SPY in that corridor.