Updated October 19, 2026, 3:55 PM ET
▼ NEGATIVE GAMMA
Negative gamma — spot below the 7756 flip
Momentum over mean-reversion; dealer hedging amplifies moves.
Net GEX -32B → -39BSpot -14 ptsspot 7696.61 · band ±10% · 2026-10-19 19:55Z
Net GEX (all strikes)
-39.38 B$
per 1% move
Gamma flip (zero-γ)
7756
spot below → negative
Call wall (max +GEX)
7900
upside magnet
Put wall (max −GEX)
7650
downside rail
Short-dated γ
0-1DTE 46%
≤7d 73% · intraday-heavy
Liquidity / fragility
NEUTRAL
VIX term structure gauge
VIX / VIX3M
18.44 / 19.59
term 0.941
GEX by strike — M$/1% (band ±10%)
Worth noting. Net GEX moved -8B to -39.4B — amplification intensifying.
Into the close
MOC imbalance: NYSE prints ~3:50 ET · Nasdaq 3:55–4:00 ET
- Negative gamma: dealers chase. A same-direction MOC imbalance can ACCELERATE into the bell — buy-imbal = chase up, sell-imbal = air-pocket.
- 0DTE-heavy tape: charm pin/rip is stronger — the last 30 min can decide the day.
- Size matters: an aggregate MOC over ~$1–2B is a real tide; it can flip 2:50→3:00.
Vol-control flow (estimate)
Realized vol (20d/60d blend): 10.5% · last session -1.09% · AUM $215B | target 10% | max 2.0x | cadence d/w/m 35/30/35%
| 1d % chg | Est flow $bn |
|---|
| -3.0% | -41.29 |
| -2.0% | -14.34 |
| -1.0% | +10.00 |
| +0.0% | +19.74 |
| +1.0% | +8.18 |
| +2.0% | -15.88 |
| +3.0% | -41.35 |
| From a -2% day | Cumulative $bn |
|---|
| day 1 | -6.12 |
| day 5 | -10.51 |
| day 10 | -11.71 |
| day 21 | -14.34 |
Estimate — trust the shape and day-over-day change, not the absolute level.