Max Delta SPY 0DTE Mid-Day Intelligence Report

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Comprehensive Market Analysis
SPY 0-DTE, July 11, 2025 Mid-Day

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1. Executive Summary

By integrating order‐flow, greeks, dealer positioning and pinning metrics, we observe a cohesive picture: intra-day dealer hedging is imposing net negative delta/gamma pressure around the 620–625 strikes, which coincides with heavy open interest “pinning” there. Although headline implied volatility has edged down, short-gamma exposures and put‐heavy order flow create asymmetric convexity risk. In a quantitative Q-model framework (e.g. Cont & de Larrard 2013), these conditions tend to produce mean‐reversion around the pin level, with outsized tail-risk should SPY breach the pinned zone.

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2. Macros & Regime Signals

Metric Value Interpretation Spot 623.59 Down ~2 points from open (625.82) IV / RV 13.74% / 9.92% IV > RV ⇒ traders pay slight vol premium GEX Regime Negative Dealers net short gamma (convexity) DEX Regime Negative Dealers net short delta (directional) Regime Class Expansion Market breadth still moderately supportive Term-Structure Slope –0.03 Slightly inverted skew term structure

Academic Note: A negative gamma/delta regime tends to amplify directional moves, as dealers must buy into weakness and sell into strength (e.g. Cetin et al. 2006).