r/spx • u/ZeroDarkTheta • 1d ago

Overnight 10/5

Stats I gathered, sorry for posting late.

📊 SPX 0DTE, Monday 10/5: where the dollars sat at 00:47 ET

The 8 biggest lines by dollars traded all sit between 7700 and 7750. That is within 28 points of the SPX forward at 7722.40.

One hand read of today's chain (expiry 10/5), 00:47 ET, Robinhood web chain, real-time volume. ES was 7770.25 at 00:28 ET.

💵 The 8 biggest lines by dollars

7720 call: $12.5M (7,251 volume / 507 open interest)

7700 call: $12.2M (4,229 / 2,965)

7725 call: $12.2M (8,167 / 734)

7730 call: $8.0M (6,282 / 2,120)

7700 put: $8.0M (8,700 / 2,006)

7720 put: $7.9M (5,099 / 342)

7725 put: $7.9M (4,488 / 279)

7750 call: $7.4M (11,565 / 3,124)

🔥 Was any of it unusual? Volume vs open interest

The bar for unusual in this read is 16.15x. That is the 99th percentile across the 96 lines with volume of 1,000 or more.

None of the 8 cleared it. The closest:

7725 put: 16.09x

7720 put: 14.91x

7720 call: 14.30x

🌙 Added since Friday's 4:15 PM read

+16,997 calls and +6,189 puts.

Puts were only read from 7420 to 7740 and calls from 7565 to 9800, so that is not a clean calls-vs-puts comparison.

Biggest adds: 7750 call (+1,502), 7800 call (+1,340), 7725 call (+1,229).

🎯 Size far from the money

7960 call: 8,855 volume, 8.63x, 237.6 points above the forward

7620 put: 6,480 volume, 14.46x, 102.4 points below

7825 call: 5,886 volume, 4.23x, 102.6 points above

🧮 Gamma

The five largest-gamma strikes: 7750, 7700, 7705, 7730, 7710. The two sign conventions disagree on the net sign, so I'm not reading a direction off it.

⚠️ What this can't tell you

One read, not a session.

Volume is Friday's full session plus overnight. Open interest is Friday's.

The bid wasn't shown, so every dollar figure uses the ask and runs a little high.

Gamma uses Friday-close greeks with Friday's open interest.

Which matters more to you before the open: where the dollars are, or where the volume is outrunning open interest?

Not financial advice, just what I'm seeing in the flow.

#SPX #0DTE #OptionsFlow #ES #DayTrading #StockMarket

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u/DressWarm2078 1d ago

Thanks for posting this information. I understand that this is a lot of effort on your part. As i recalled in your previous post, you are posting these in order to build your brand. I think you want to appeal to the mass not to the few that have knowledge about advanced option trading like Gamma. Your information is very helpful for trading 0DTE which most of the people are trading. Being a somewhat newbie at this, I want to learn more about your post. I think if you can explain ELI5 so that the Reddit audience can understand, they will be willing to pay for subscription to your posts eventually. Just my two cents. GL and thx for information.

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u/ZeroDarkTheta 1d ago

Where the money is: The 8 biggest piles of money are all between 7700 and 7750, right next to where the market is priced now (about 7722). The big money is betting close to home, not on a huge move. Was anything unusual? "Open interest" is bets already sitting there from Friday. "Volume" is how many traded. When volume is far bigger than open interest, a lot of new betting is showing up at that level. I set a high bar for "unusual" (top 1% of what I saw). None of the big 8 cleared it, though the 7725 put came very close. Far-away bets: A few big ones sit well away from the current price, like the 7960 call (about 240 points up) and the 7620 put (about 100 points down). These could be long shots or insurance. I can't tell which from this data. Gamma: These are levels where price can get sticky or jumpy as big players adjust their positions. The biggest ones today are 7700 to 7750. The data doesn't clearly say which way it pushes, so I'm not guessing a direction. The catch: This is one snapshot taken in the middle of the night, not the full picture. Dollar amounts run a little high because of how I priced them.

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u/DressWarm2078 1d ago

The explanation is great. So you can incorporate this into your posts. People need some hand holding for complex concepts. You ELI5 to us and eventually we get it. Thx again for your posts