SPX dealer gamma — Monday, October 21, 2024
dealer positioning for the session, reconstructed from the 0DTE options tape
These are the CLOSING levels for 2024-10-21, read at 15:45 ET, before the expiring contracts' last minutes. Where the SPX dealer book stands right now — the current zero-gamma flip, call resistance and put support — is on /now, free, at least fifteen minutes behind the tape.
SPX opened at 5,858.88 and closed at 5,853.42, down 0.09% on the session (range 5,824.74–5,865.95). The close sat 8.2 points above the zero-gamma flip at 5,845.2, on the positive-gamma side of the volume book. Call resistance 5,850, put support 5,840. 0DTE ATM IV opened at 6.4%.
Price crossed the flip 12 times, first at 10:27 ET. The tape spent 41% of the day above VWAP.
| Open → Close | 5,858.88 → 5,853.42 (-0.09%) |
| Session range | 5,824.74 – 5,865.95 |
| VWAP at the close | 5,846.07 |
| Zero-gamma flip | 5,845.2 |
| Call resistance | 5,850 |
| Put support | 5,840 |
| 0DTE ATM IV at the open | 6.4% |
| Regime at the close | positive gamma |
| Close vs flip | +8.2 |
| Net-gamma percentile | 70 |
This day in its week: the week's numbers · its calendar.
What changed since 2024-10-18
| Level | 2024-10-21 | Change |
|---|---|---|
| Zero-gamma flip | 5,845.2 | down 16.4 |
| Call resistance | 5,850 | down 20 |
| Put support | 5,840 | down 20 |
Changes compare each session's closing level with the preceding trading session; they are measurements, not forecasts.
Sessions like this one, by the same closing measurements: the screener.
Open this session in the terminal → Share session
The terminal replays the full session minute by minute: dealer gamma, vanna and charm by strike, the flip and the walls as they moved, the day's large orders on the candles they printed in, and IV against realised vol in the READOUTS drawer. Every historical session is free and needs no account. New to these terms? Start with what GEX is. Measured across the whole archive: how often these levels hold, why a hold rate alone says little and how far SPX travels before the close.
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.