Max Delta SPY 0DTE Mid-Day Intelligence Report

Powered by Max Delta 6

July 8, 2025 · 12:20 PM ET

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1. Market Snapshot

• Spot: $620.82 → $621.14 → $620.82 → $621.14 → $620.82 → $620.82

• Total OI: 169.35 K → 129.82 K → 169.35 K

• Total Volume: 2.43 M → 574.2 K → 2.43 M

• Put/Call OI Ratio: 0.92 → 0.94 → 0.92

• Vol/OI Ratio: 14.34 → 4.42 → 14.34

• P/C Volume Ratio: 1.01 → 0.76 → 1.01

• Call Flow Imbalance: +$482 .5 K

• Put Flow Imbalance: +$403 .7 K

• Net Flow Bias: +$78.8 K

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2. Delta Structure

Metric Value Max Delta 618 Max ℓ-DEX Strike 620 Net DEX +$670.9 K ℓ-DEX (Call) +$280.8 M ℓ-DEX (Put) –$208.0 M Delta Slope +$7.47 M/strike Delta Curvature +$94.7 M DEX Above/Below Spot +$896.9 K / –$226.0 K

• Rich long-delta build at and above spot; convexity favors pinning near 620.

• Strong call-side skew: dealers are long deltas for upside buffers.