SPX sessions closed in negative gamma, with the net-gamma percentile 50 to 80, on PCE days

5 sessions · the archive filtered by the dealer book · all sessions · the calendar

Regime at the close Regime at the open Flip crossings Expected-hold band Direction Size of the move, open to close Net-gamma percentile at the close 0DTE ATM IV at the open Event the day carried Day of the week Year Order

clear filters JSON

5 of 1,114 sessions match. Of them 0% closed above the flip (archive 54%), 60% held the expected-hold band (archive 60%), mean open-to-close move 0.58% (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
2026-09-30	7,651.12	-0.56%	7,691.6	-40.5	70	5	held	PCE, GDP, Fed, EIA
2026-08-26	7,675.54	+0.12%	7,677.6	-2.0	60	18	held	PCE, Housing, GDP, VIX settlement, EIA, Auctions
2026-01-22	6,912.90	-0.12%	6,918.1	-5.2	74	9	held	PCE, GDP, Claims, EIA
2024-12-20	5,933.15	+1.63%	5,944.4	-11.2	77	14	broke	PCE, Opex
2024-07-26	5,459.37	+0.47%	5,460.0	-0.6	62	13	broke	PCE, 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.