Where was dealer gamma on SPX days that moved 2% or more?
SPX sessions moving 2% or more · 27 sessions · the archive filtered by the dealer book · all sessions · the calendar
Short answer. 27 of 1,121 archived SPX sessions matched. Of them 33% closed above the zero-gamma flip (archive 55%). Counts over finished sessions, recomputed as the archive grows; a share equal to the archive's is a base rate, not a pattern.
27 of 1,121 sessions match. Of them 33% closed above the flip (archive 55%) and the mean open-to-close move was 3.06% (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, 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 | Events |
|---|---|---|---|---|---|---|---|
| 2025-11-20 | 6,539.17 | -3.04% | 6,609.1 | -69.9 | 15 | 1 | NFP, Claims, EIA |
| 2025-10-10 | 6,552.80 | -2.81% | 6,626.0 | -73.1 | 15 | 1 | UMich |
| 2025-04-09 | 5,454.52 | +10.00% | 5,080.3 | +374.2 | 60 | 14 | VIX settlement, EIA, Auctions |
| 2025-04-08 | 4,987.15 | -4.77% | 5,082.6 | -95.5 | 50 | 3 | Auctions |
| 2025-04-07 | 5,063.06 | +3.30% | 5,036.6 | +26.5 | 50 | 23 | Halts |
| 2025-04-04 | 5,074.67 | -3.70% | 5,158.6 | -83.9 | 10 | 0 | NFP, Fed |
| 2025-03-03 | 5,849.17 | -2.04% | 5,908.7 | -59.5 | 20 | 25 | ISM, Housing |
| 2025-02-27 | 5,862.32 | -2.05% | 5,930.5 | -68.2 | 30 | 23 | Housing, GDP, Claims, EIA |
| 2024-12-18 | 5,872.81 | -2.88% | 6,008.0 | -135.2 | 32 | 1 | Housing, VIX settlement, EIA, FOMC |
| 2023-03-16 | 3,960.81 | +2.36% | 3,927.5 | +33.3 | 90 | 5 | Housing, Claims, EIA |
| 2023-03-09 | 3,917.82 | -2.06% | 3,985.2 | -67.4 | 45 | 7 | Claims, EIA, Fed, Auctions |
| 2022-11-30 | 4,075.67 | +2.89% | 3,992.4 | +83.3 | 58 | 20 | GDP, VIX settlement, JOLTS, EIA, Fed, Opex |
| 2022-11-02 | 3,760.95 | -2.27% | 3,829.5 | -68.6 | 25 | 11 | Refunding, VIX settlement, EIA, FOMC |
| 2022-10-28 | 3,901.02 | +2.38% | 3,871.3 | +29.7 | 95 | 0 | PCE, UMich |
| 2022-10-21 | 3,753.64 | +2.73% | 3,713.1 | +40.6 | 85 | 17 | Opex |
| 2022-10-14 | 3,586.86 | -2.87% | 3,615.2 | -28.3 | 15 | 5 | Retail sales, UMich |
| 2022-10-13 | 3,670.01 | +4.81% | 3,574.9 | +95.1 | 75 | 1 | CPI, Claims, EIA, Auctions |
| 2022-09-21 | 3,790.82 | -2.29% | 3,857.7 | -66.9 | 30 | 25 | VIX settlement, EIA, FOMC |
| 2022-09-13 | 3,931.77 | -2.27% | 3,984.6 | -52.9 | 10 | 0 | CPI, Auctions |
| 2022-08-26 | 4,058.52 | -3.35% | 4,116.3 | -57.8 | 0 | 6 | PCE, Fed, UMich |
| 2022-06-28 | 3,822.21 | -2.57% | 3,875.0 | -52.8 | 15 | 1 | Confidence, Auctions |
| 2022-06-24 | 3,912.02 | +2.14% | 3,878.5 | +33.5 | 85 | 0 | Housing, UMich, Opex |
| 2022-05-18 | 3,924.20 | -2.87% | 3,972.4 | -48.2 | 26 | 2 | Housing, VIX settlement, EIA, Auctions |
| 2022-05-04 | 4,300.15 | +2.88% | 4,207.1 | +93.1 | 100 | 11 | Refunding, VIX settlement, ISM, EIA, FOMC |
| 2022-04-29 | 4,131.27 | -2.73% | 4,202.8 | -71.5 | 4 | PCE | |
| 2022-04-26 | 4,177.05 | -2.16% | 4,219.0 | -41.9 | 1 | Housing, Confidence | |
| 2022-04-22 | 4,271.75 | -2.43% | 4,329.8 | -58.1 | 0 | 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.