Max Delta SPY 0DTE Mid-Day Intelligence Report

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July 10, 2025 · 12:00 PM ET

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1. Mid-Day Market Snapshot

• Spot: $625.63

• Prev Close: $624.06

• Total OI: 180.34 K

• Total Volume: 2.09 M

• P/C OI Ratio: 0.73

• Vol/OI Ratio: 11.59

• Call Flow Imbalance: +$547.4 K

• Put Flow Imbalance: +$267.6 K

• Net Flow Bias: +$279.8 K

Heavy call flows pushing into lunchtime; spot has poked above the morning pin.

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2. Delta Profile

Metric Value Max Delta 623 Max ℓ-DEX Strike 623 Net DEX + $3.16 M ℓ-DEX (Call) + $376.98 M ℓ-DEX (Put) – $143.64 M Lambda DEX + $878.18 M DEX Strength 0.48 DEX Momentum – 0.40 % Delta Slope + $3.56 M/strike Delta Curvature – $1.37 B Call DEX + $4.84 M Put DEX – $1.68 M DEX Above/Below Spot + $1.48 M / + $1.68 M

Takeaway: Strong dealer delta‐hedging at 623, with net positive delta around spot.