Max Delta SPY 0DTE Mid-Day Intelligence Report

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Max Delta SPY 0DTE Mid-Day Intelligence Report
July 7, 2025 · 12:20 PM ET

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1. Market Snapshot

• Spot: $620.11 (lower from open $623.57)

• Total OI: 170.3 K

• Total Volume: 2.30 M

• Put/Call OI Ratio: 0.69 (call-heavy open interest)

• Vol/OI Ratio: 13.52 (very active trading vs. OI)

• P/C Volume Ratio: 0.90 (balanced flow)

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2. Delta Overview

Metric Value Max Delta Strike 625 Net DEX –$2.02 M ℓ-DEX (Call) +$163.15 M ℓ-DEX (Put) –$309.65 M Delta Slope +$3.79 M/strike Delta Curvature +$749.02 M DEX Above/Below Spot –$949.14 K / –$1.07 M

• Large positive curvature: dealers positioned for a tightening of moves around 620–625.

• Net DEX modestly negative, but call-skewed ℓ-DEX suggests hedging flow if spot rallies.