SPX sessions closed in negative gamma, with the net-gamma percentile under 20, on consumer confidence days
9 sessions · the archive filtered by the dealer book · all sessions · the calendar
9 of 1,114 sessions match. Of them 0% closed above the flip (archive 54%), 22% held the expected-hold band (archive 60%), mean open-to-close move 1.08% (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 |
|---|---|---|---|---|---|---|---|---|
| 2026-09-29 | 7,669.87 | -0.27% | 7,672.9 | -3.0 | 10 | 22 | broke | Confidence, JOLTS, Auctions |
| 2024-12-31 | 5,883.81 | -0.71% | 5,885.4 | -1.6 | 19 | 23 | held | VIX settlement, Confidence |
| 2024-04-30 | 5,036.57 | -1.21% | 5,074.4 | -37.8 | 0 | 3 | broke | Confidence |
| 2023-05-30 | 4,206.22 | -0.50% | 4,207.1 | -0.9 | 7 | 31 | broke | Confidence |
| 2023-04-25 | 4,072.09 | -1.15% | 4,098.3 | -26.3 | 12 | 3 | broke | Housing, Confidence |
| 2022-12-27 | 3,828.47 | -0.40% | 3,833.1 | -4.6 | 3 | 14 | broke | Confidence |
| 2022-07-26 | 3,921.47 | -0.72% | 3,927.7 | -6.2 | 2 | 4 | held | Housing, Confidence, Auctions |
| 2022-06-28 | 3,822.21 | -2.57% | 3,879.3 | -57.1 | 1 | 1 | broke | Confidence, Auctions |
| 2022-04-26 | 4,177.05 | -2.16% | 4,217.7 | -40.6 | 14 | 1 | broke | Housing, Confidence |
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.