SPX sessions closed in positive gamma, with the net-gamma percentile 50 to 80, on jobless claims days
11 sessions · the archive filtered by the dealer book · all sessions · the calendar
11 of 1,115 sessions match. Of them 100% closed above the flip (archive 54%), 45% held the expected-hold band (archive 60%), mean open-to-close move 0.35% (archive 0.59%).
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-10-01 | 7,666.37 | -0.02% | 7,665.1 | +1.3 | 65 | 11 | broke | Claims, ISM, Housing, EIA, Auctions |
| 2026-09-17 | 7,637.80 | -0.04% | 7,635.9 | +1.9 | 60 | 14 | held | Housing, Claims, EIA, Auctions |
| 2026-07-23 | 7,407.80 | -0.12% | 7,401.4 | +6.4 | 66 | 13 | broke | Claims, EIA |
| 2026-04-23 | 7,108.32 | -0.16% | 7,106.9 | +1.5 | 53 | 6 | broke | Claims, EIA |
| 2025-09-11 | 6,587.04 | +0.54% | 6,581.8 | +5.2 | 67 | 2 | held | CPI, Claims, EIA, Fed, Auctions |
| 2025-04-10 | 5,268.22 | -1.47% | 5,266.6 | +1.6 | 68 | 23 | broke | CPI, Claims, EIA, Auctions |
| 2024-12-26 | 6,037.31 | +0.23% | 6,034.2 | +3.1 | 57 | 2 | held | Claims, EIA, Auctions |
| 2024-11-07 | 5,974.00 | +0.39% | 5,966.8 | +7.2 | 78 | 0 | broke | Claims, EIA, FOMC |
| 2024-06-06 | 5,352.25 | -0.07% | 5,350.8 | +1.4 | 59 | 16 | held | Claims, EIA, Fed |
| 2024-03-14 | 5,151.45 | -0.43% | 5,147.5 | +4.0 | 65 | 16 | held | PPI, Retail sales, Claims, Halts, EIA |
| 2023-01-26 | 4,060.85 | +0.33% | 4,045.5 | +15.4 | 70 | 10 | broke | Housing, GDP, Claims, 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.