Where was dealer gamma on SPX days that moved 2% or more?
SPX sessions moving 2% or more · 27 sessions · the archive filtered by the dealer book · all sessions · the calendar
Short answer. 27 of 1,103 archived SPX sessions matched. Of them 41% closed above the zero-gamma flip (archive 84%) and 7% held the expected-hold band (archive 60%). Counts over finished sessions, recomputed as the archive grows; a share equal to the archive's is a base rate, not a pattern.
27 of 1,103 sessions match. Of them 41% closed above the flip (archive 84%), 7% held the expected-hold band (archive 60%), mean open-to-close move 3.06% (archive 0.60%).
Every row is a finished SPX session and links to its page, where the same numbers stand with the day's events and a free minute-by-minute replay. The filters are the closing measurements those pages print: the zero-gamma flip against the close and the open, the net-gamma percentile, how often the flip was crossed, whether the expected-hold band held, and the calendar event the day carried. The shares above are counts over the matched days next to the same counts over the whole archive; a share that matches the archive is a base rate, not a pattern.
| Session | Close | Move | Flip | vs flip | Pctl | Cross | Band | Events |
|---|---|---|---|---|---|---|---|---|
| 2025-11-20 | 6,539.17 | -3.04% | 6,518.4 | +20.8 | 96 | 12 | broke | NFP, Claims, EIA |
| 2025-10-10 | 6,552.80 | -2.81% | 6,541.3 | +11.5 | 36 | 0 | held | UMich |
| 2025-04-09 | 5,454.52 | +10.00% | 5,453.0 | +1.5 | 83 | 3 | broke | VIX settlement, EIA, Auctions |
| 2025-04-08 | 4,987.15 | -4.77% | 5,026.0 | -38.9 | 1 | 17 | broke | Auctions |
| 2025-04-07 | 5,063.06 | +3.30% | 5,035.1 | +28.0 | 83 | 14 | broke | Halts |
| 2025-04-04 | 5,074.67 | -3.70% | 5,076.0 | -1.3 | 83 | 3 | broke | NFP, Fed |
| 2025-03-03 | 5,849.17 | -2.04% | 5,819.7 | +29.5 | 0 | 4 | broke | ISM, Housing |
| 2025-02-27 | 5,862.32 | -2.05% | 5,855.7 | +6.6 | 75 | 0 | held | Housing, GDP, Claims, EIA |
| 2024-12-18 | 5,872.81 | -2.88% | 5,971.1 | -98.3 | 0 | 5 | broke | Housing, VIX settlement, EIA, FOMC |
| 2023-03-16 | 3,960.81 | +2.36% | 3,944.6 | +16.2 | 100 | 10 | broke | Housing, Claims, EIA |
| 2023-03-09 | 3,917.82 | -2.06% | 3,950.9 | -33.1 | 0 | 1 | broke | Claims, EIA, Fed, Auctions |
| 2022-11-30 | 4,075.67 | +2.89% | 4,113.2 | -37.5 | 1 | 11 | broke | GDP, VIX settlement, JOLTS, EIA, Fed, Opex |
| 2022-11-02 | 3,760.95 | -2.27% | 3,792.3 | -31.4 | 21 | 13 | broke | Refunding, VIX settlement, EIA, FOMC |
| 2022-10-28 | 3,901.02 | +2.38% | 3,895.9 | +5.1 | 100 | 4 | broke | PCE, UMich |
| 2022-10-21 | 3,753.64 | +2.73% | 3,755.3 | -1.7 | 92 | 2 | broke | Opex |
| 2022-10-14 | 3,586.86 | -2.87% | 3,563.8 | +23.1 | 11 | 23 | broke | Retail sales, UMich |
| 2022-10-13 | 3,670.01 | +4.81% | 3,674.2 | -4.2 | 0 | 14 | broke | CPI, Claims, EIA, Auctions |
| 2022-09-21 | 3,790.82 | -2.29% | 3,805.7 | -14.9 | 84 | 6 | broke | VIX settlement, EIA, FOMC |
| 2022-09-13 | 3,931.77 | -2.27% | 3,956.7 | -24.9 | 0 | 11 | broke | CPI, Auctions |
| 2022-08-26 | 4,058.52 | -3.35% | 4,090.8 | -32.3 | 1 | 7 | broke | PCE, Fed, UMich |
| 2022-06-28 | 3,822.21 | -2.57% | 3,851.4 | -29.2 | 1 | 1 | broke | Confidence, Auctions |
| 2022-06-24 | 3,912.02 | +2.14% | 3,886.9 | +25.1 | 100 | 8 | broke | Housing, UMich, Opex |
| 2022-05-18 | 3,924.20 | -2.87% | 3,961.3 | -37.1 | 41 | 15 | broke | Housing, VIX settlement, EIA, Auctions |
| 2022-05-04 | 4,300.15 | +2.88% | 4,302.9 | -2.7 | 12 | 4 | broke | Refunding, VIX settlement, ISM, EIA, FOMC |
| 2022-04-29 | 4,131.27 | -2.73% | 4,168.8 | -37.5 | 0 | 1 | broke | PCE |
| 2022-04-26 | 4,177.05 | -2.16% | 4,189.3 | -12.3 | 14 | 13 | broke | Housing, Confidence |
| 2022-04-22 | 4,271.75 | -2.43% | 4,264.7 | +7.1 | 99 | 8 | broke | UMich |
Turn a filter into a rule
A count is where a question starts. The Lab takes a rule in plain
words ("sell the 0DTE straddle at 10:00 on days that opened below the flip with the
percentile under 20"), compiles it against every archived session and reports the
out-of-sample verdict with day-clustered intervals. An assistant with the
MCP server can page through the same archive with
list_sessions and get_session.
Measurements are model output derived from public trade and quote data; they are approximations and can be wrong. Nothing here is investment advice; see the Terms.