everyone says 0dte dominates spx gamma now, so i wanted to see how much it actually moves the picture. i build a free options data site and pulled this from my own model, so take it as one estimate, not gospel.
the chart is from 11:23 ET today (open interest from yesterday’s close):
- bars are net dealer gamma per strike at the current price (the lighter sliver is today’s expiry’s share)
- yellow line: total net gamma if spx moved to that price, all expiries
- blue line: same thing with today’s 0dte expiry removed
what it showed:
- spx at 7,667, flip (where net gamma crosses zero) at about 7,730 for both lines
- removing 0dte barely moved the flip, under a point
- 0dte did add a lot of size away from the flip: the gap between the lines widens above 7,800 and below 7,600
- biggest 0dte strike was 7,700
caveats, because these always matter:
- dealer positioning is assumed (long calls, short puts), not known
- open interest is yesterday’s, so intraday 0dte opening and closing isn’t in it
- implied vol is held fixed as price moves
curious if people who trade 0dte see the same thing, that it changes the size of moves more than where the flip sits. happy to share the method if useful.
I checked every number against the card’s data. The two flips are 0.35 points apart, and the gap between the lines does widen away from the flip.