SPX sessions closed in negative gamma, with the net-gamma percentile 80 and above, on Treasury auction days
13 sessions · the archive filtered by the dealer book · all sessions · the calendar
13 of 1,103 sessions match. Of them 0% closed above the flip (archive 84%), 15% held the expected-hold band (archive 60%), mean open-to-close move 0.75% (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 |
|---|---|---|---|---|---|---|---|---|
| 2026-09-15 | 7,585.17 | -0.33% | 7,664.3 | -79.1 | 100 | 1 | held | Auctions |
| 2026-09-09 | 7,636.30 | -0.22% | 7,692.7 | -56.4 | 82 | 2 | held | VIX settlement, Auctions |
| 2026-06-16 | 7,511.70 | -0.61% | 7,526.0 | -14.3 | 81 | 5 | broke | Housing, Auctions |
| 2025-03-27 | 5,692.62 | -0.05% | 5,712.4 | -19.8 | 99 | 4 | broke | GDP, Claims, EIA, Auctions |
| 2024-08-07 | 5,200.16 | -1.89% | 5,221.8 | -21.6 | 81 | 10 | broke | VIX settlement, EIA, Auctions |
| 2023-10-26 | 4,136.60 | -0.95% | 4,153.9 | -17.3 | 82 | 28 | broke | Housing, GDP, Claims, EIA, Auctions |
| 2023-05-25 | 4,151.32 | +0.18% | 4,162.7 | -11.4 | 93 | 8 | broke | GDP, Claims, EIA, Auctions |
| 2023-03-21 | 4,000.74 | +0.23% | 4,003.2 | -2.5 | 95 | 26 | broke | Auctions |
| 2022-11-10 | 3,954.42 | +1.62% | 3,954.5 | -0.1 | 86 | 10 | broke | CPI, Claims, EIA, Auctions |
| 2022-10-26 | 3,830.19 | +0.09% | 3,841.2 | -11.0 | 100 | 4 | broke | Housing, VIX settlement, EIA, Auctions |
| 2022-06-22 | 3,760.65 | +1.10% | 3,772.4 | -11.8 | 100 | 5 | broke | Fed, VIX settlement, Auctions |
| 2022-06-09 | 4,017.54 | -1.96% | 4,090.9 | -73.4 | 99 | 26 | broke | Claims, EIA, Fed, Auctions |
| 2022-06-08 | 4,115.20 | -0.56% | 4,128.3 | -13.1 | 100 | 17 | broke | VIX settlement, EIA, Auctions |
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.