SPX sessions closed in positive gamma, with the net-gamma percentile under 20, on expiration days
7 sessions · the archive filtered by the dealer book · all sessions · the calendar
7 of 1,106 sessions match. Of them 100% closed above the flip (archive 84%), 43% held the expected-hold band (archive 60%), mean open-to-close move 0.42% (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 |
|---|---|---|---|---|---|---|---|---|
| 2026-09-18 | 7,648.27 | +0.09% | 7,574.3 | +74.0 | 0 | 1 | broke | Opex |
| 2026-07-17 | 7,458.16 | +0.12% | 7,378.7 | +79.5 | 3 | 1 | held | Housing, UMich, Opex |
| 2025-05-30 | 5,909.25 | +0.27% | 5,771.5 | +137.8 | 16 | 0 | held | PCE, Opex |
| 2024-05-31 | 5,281.85 | +0.70% | 5,180.6 | +101.3 | 0 | 0 | broke | PCE, Opex |
| 2023-12-15 | 4,715.45 | +0.05% | 4,673.6 | +41.8 | 0 | 1 | held | Opex |
| 2023-04-21 | 4,133.90 | +0.10% | 4,133.8 | +0.1 | 5 | 3 | broke | Opex |
| 2023-01-20 | 3,971.87 | +1.62% | 3,869.2 | +102.7 | 0 | 0 | broke | Opex |
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.