SPX sessions closed in negative gamma, with the net-gamma percentile under 20, on retail sales 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 1,112 sessions match. Of them 0% closed above the flip (archive 84%), 0% held the expected-hold band (archive 60%), mean open-to-close move 0.99% (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
2026-09-28	7,683.49	-0.30%	7,764.4	-80.9	0	1	broke	Retail sales
2025-09-16	6,607.10	-0.26%	6,610.2	-3.1	1	2	broke	Retail sales, Auctions
2024-04-15	5,061.25	-1.99%	5,067.1	-5.9	0	4	broke	Retail sales
2023-01-18	3,927.50	-1.98%	3,940.2	-12.7	3	5	broke	PPI, Retail sales, VIX settlement, Auctions
2022-05-17	4,088.22	+0.45%	4,098.2	-10.0	1	2	broke	Retail sales, Fed

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.