RTGamma
@rt_gamma
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Helping traders analyze real time SPX 0DTE options and gamma levels. ** Information Only, Not Investment Advice **
Joined January 2023
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Pinned Tweet
As 0DTE dominates intraday volumes, the popular levels often become ‘gamma magnets’, dictating where the SPX go, i.e. ‘the tail is wagging the dog’.
5
19
112
A longer 🧵today to explain what we saw. This analysis is using tick-level OPRA data vs. a heuristics-based RT OI estimate currently on our feed. We will look to roll this out soon.
Day started normally, with LG at 4100.
8
7
108
One sided trading action today once we lost 4150 level. This is likely driven by the large 4050 puts on ES that was bought yesterday (thank you
@jam_croissant
for bringing it to our attention!).
Check out our RT Gamma tools to monitor real time
#0DTE
#SPX
gammas by strike.
3
5
92
We think we're building something special at and we'd love for you to try our service. Retweet this and we'll pick 20 followers for a no obligation 1-day trial next week.
8
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54
@NickTimiraos
Check out profit margins. Companies raised prices on supply shocks, but had no incentive to lower them once supply shocks abated.
12
1
62
I think today's action is mostly about unrealized downside. The important 4210 puts for Friday began at 16 delta, but as $SPX couldn't push lower, the puts ended the day at 10 delta. This allowed dealers to release hedges, levitating markets.
1
3
57
Where can we find this OPRA data you ask?
Well, our platform, is finally nearing completion. In the coming days, we will be sharing more details on how you can get access to our tick-level gamma data to help in your analysis of the markets.
Stay tuned!
9
0
54
Many are wondering what happened to that 'JPM Collar Pin' at 4320.
Here is our interpretation and today's market action.
Remember, JPM sold calls to dealers to fund a put spread, so dealers are long c4320. To delta hedge this, dealers are short futures.
1/
1
11
53
Exciting way to finish a boring day, essentially unchanged waiting for CPI tomorrow.
Have a good night everyone and see you tomorrow!
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49
Hi,
Our data provider seems to have crashed and is not updating...don't trust the 9:31 snapshot
7
1
49
Time isn't a bear's friend today. All these circled puts are decaying, and the decay will accelerate around noon.
8
6
43
Our observations today:
Opening pump was too strong, taking SPX to LG2 at 4160 while True Center (center of mass of gammas) stayed low. This structure is prone to reversion. Similarly, in the afternoon, SPX plunged to 4110s but TC stayed > 4120, leading to reversion higher.
4
1
37
Nice rebound in the $SPX as traders loaded up on calls in the morning, driving S&P past 4300. At this point, the JHEQX 4210p for tomorrow have decayed to 6 delta and looks to be a non-factor.
2
5
36
Good interview with
@jam_croissant
that talks about dispersion and mean reversion, all very relevant in today's market. Well worth 30 min of your time.
Master chef
@jam_croissant
🥐 dropping more bread crumbs 🍞💵 into the end of September (window 🪟 of weakness 🩸) —> start of October... question is are you listening? 👂🏼🎧 👀
“…the market event vol falls September 29th into October 2nd. That is when you’d expect there to be
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173
3
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2
4
36
A static look at all SPX options (including 0DTE).
@perfiliev
has an excellent tutorial on how to calculate these for yourself from *FREE* CBOE data.
Pre-mkt sitting just at the gamma flip point for all expiries.
6
5
35
Not much to see here, put holders again chose to monetize.
To steal
@jam_croissant
's tweet, $SPX on 👸/ 🦥 week be like a beach ball held underwater.
Follow
@rt_gamma
for intraday
#0DTE
#SPX
gammas by strike.
0
1
35
Well that was unexpected! Went out for some last minute X'mas shopping and missed the action.
What precipitated today's drawdown? 1) VIX options expired this morning, so we are in the 🪟 of weakness I mentioned on Fri 2) lots of aggressive put selling, including some ATM puts.
1
2
34
Our tools literally allow us to see gamma squeezes happening in real time as we tipped our private discord members on net call OI increasing at 1:39.
3
3
32
We're back after a brief technical hiatus. Major levels 3950 and 3970 were identified from our updates.
Also, follow
@perfiliev
if you aren't already. Good analysis on JHEQX EOQ lvls and vol dampening effects.
Follow
@rt_gamma
for intraday
#0DTE
gammas by strike on
#SPX
.
1
0
33
What happened today?
From what we can see, today was a short-squeeze of traders who had sold calls above $SPX 4320.
Notice at 1:30, there were lots of calls sold above 4320.
1
6
34
The whole afternoon, they were selling puts and buying calls. By 2pm, they were even selling ITM puts at 4150 strike!
Reversion strategies were getting steamrolled.
3
3
32
Hi all, unfortunately no twitter posts today. The Twitter API is broken for us...
13
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31
Wow, crossed 1000 followers! Blessed. 🙏 Thank you to
@Michigandolf
for the shoutout. Hoping to continue bringing
#0DTE
gamma flows to the masses.
1
0
32
Not saying it can't go down, but based on JPM collar, up was the expected move.
You might also want to go back and see which furu on Twitter called for a pin to 4320. Might want to unfollow those.
/fin
2
2
30
$SPX chilling out around the 4300 level. This is roughly gamma flip for dealers and is the largest gamma not only on 0DTE but also on all expiries and for the monthly, so maybe squeeze will take a breather for now
0
4
30
Trying to think of something witty to say on a bad day like today and I got nothing. Instead of just posting screenshots like everyone else, let's review how the day developed using RT Gamma's tools.
Time for a 🧵
4
2
27
Are MMs shutting off the options market to prevent a meltdown? Wide Bid/Ask.
5
5
28
SPX down 0.01%, a quiet uneventful day, right?
Actually, lots of moving parts beneath the surface.
First, we had clear
#0DTE
option selling today in both puts & calls. Puts below 4120 and calls above 4165 were net sold, indicating this was the range 0DTE traders expected.
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2
29
@stephenharlinmd
Stephen - fan of your work. You and your followers may want to check out , where our users can see in real time 0dte option activity.
At the times you highlighted, we saw large buys of $SPX c4380s and closing of p435 buying of c435, 439s on $SPY.
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26
No long puts to offer support...could get really slippery on $SPX if short puts panic.
1
3
28
See everyone next quarter! Wonder if we'll be hitting the call or put strikes next time? :)
New
#JHEQX
collar strikes for June 2023 expiry.
Short 4,320 call
Long 3,885 put
Short 3,280 put
For your viewing pleasure only.
14
95
375
1
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28
One of the weirder days we've seen. Relentless selling of 0dte puts drove $SPX higher the whole day, especially after the 1pm bond auction.
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1
1
27
As an added bonus, registered users (doesn't have to be paying subscribers) will get free pre-mkt snapshots of all strikes gamma by strike for major ETFs and stocks like SPY, QQQ, IWM...why pay other services hundreds a year for something one can calculate for *FREE*?
2
2
26
All the action happened after JPow's press conference ended. Knew I should have taken the other side of
@fundstrat
's bet...
#0DTE
P3950s minted today in last minute flurry. Options went from $0.20 to $11 in 15 minutes!
Follow
@rt_gamma
for intraday
#SPX
gammas by strike.
2
2
27
We warned that after monthly opex, price was entering a window of weakness and that turned out to be correct.
$SPX tried to hold the highs, but melted into the close as calls decayed in value.
Have a good long weekend everyone!
1
3
26
That was a bit of a messy close as $SPX levitated above all the gamma levels in our charts.
From what we can tell, the buying pressure was not
#0dte
options driven. There was high volume of ES futures buying, so maybe someone was front-running CPI?
We'll find out at 8:30 AM.
1
2
26
Q: Why was 4150 not a good support this morning?
Although 4150 had the largest ‘put gamma’ this morning, if you look at our RT OI chart, the absolute P4150 OI was small, and P4140 actually had more OI and was growing faster.
1/3
2
1
26
2 bounces on the $SPX fizzled, as dealers are in deep negative gamma territory and have to chase moves both up and down.
Traders had to be nimble and not overstay welcome today to make money.
One area of stability was $AAPL, which tracked its weekly LG levels and option flows.
2
3
24
$SPX down 0.7% on blowout earnings from $NVDA, what the heck happened? Although index was only down 70 bps, it felt much worse because we opened up 35 pts at 5340, so it was an 80+ pt drop peak to trough. Here's a 🧵of what we saw.
4
3
25
Will U.S. downgrade drama snap us out of the low volatility grind up? Markets bearishly positioned, but sitting at 4,550 LG.
If 0DTE pushes, there could be significant downside as there are lots of put levels that can gain gamma on the way down.
0
2
25
Who wants to see pre-mkt Gamma and OI levels? 30 re-tweets and I'll post what SPX gamma looks right now.
0
15
23
For those tracking $SPY 0DTE option flows today, put additions and call sells had a tight correlation with price this morning until 12:38, when a large call buy preceded the bounce 10 minutes later. Coincidence or cause & effect? You decide.
Check out
@rt_gamma
for access.
3
3
25
Go do something else with your morning...we're likely pinned here at 4650 until FOMC.
See you guys in a few hours.
2
5
24
Put driven selloff today. When puts stopped pushing ~4440/4450, $SPX stopped going down and rallied when puts monetized.
Looking forward to releasing this flow tool to subscribers soon.
1
2
23
Interesting dispersion, QQQ up 0.4% with Mag 7 looking like this...
5
4
24
Friendly reminder, tomorrow's monthly $SPX opex trades like 0DTE today, since they expire at the open.
Mildly negative GEX to start today.
1
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22
RT Gamma subscribers got a warning to get out of longs at 11am when a large $SPX 0dte put was added. What did your trading system tell you?
7
2
23
Seriously funny
Bank: Hey! Fed, help us!!!
Fed: Yo, what's up?
Bank: We need some cash, quick!
Fed: Hey, calm the fck down... What's the problem?
160
1K
4K
1
1
22
Another vol crush grind up day with VIX now down to 18.
A notable trade in the afternoon when we saw the top strike of the baby JHEQX put spread get closed / rolled.
Hope everyone has a safe and happy Halloween tonight. Don't eat too much candy, we've got FOMC tmr.
0
3
21
There seems to be some misconception about EOD gammas.
Gamma is the rate of change of delta wrt price. As we get to EOD, the ATM option deltas become very sensitive to price, so gamma blows up. It doesn't mean there are traders piling into these options at the EOD.
1
1
21
@jaredhstocks
Important difference is XIV was short futures with no hedges. Today's equivalent, SVIX, holds VIX calls as a tail hedge, it won't be liquidated like XIV, so we likely won't get the same spiral.
1
1
22
Wow. Epic short squeeze ~50 pts in an hour with dealers very short gamma. For those not comfortable with the magnitude of the moves, stepping aside and waiting for things to settle down is not a bad idea. JHEQX will roll off Friday.
2
2
20
Suddenly, 5k by Feb 16 doesn't seem so farfetched. That's another huge expiry in terms of OI.
Check out rtgamma for the charts.
2
2
19
Today starts with both SPX and SPY in negative gamma territory when measured on all expiries, suggesting dealers could chase moves up and down. Key levels are 4100/4150/4200 on SPX and 410/415/420 on SPY. For QQQ, 330 is large gamma, so we may see some downward pull.
1
3
20
4375 was large gamma level for most of the day and when it gave way, stops were triggered leading to the sharp down move to 4360. But as we've seen repeatedly, markets don't stay down often heading into OPEX.
We're now up 8 days in a row in SPX, will tomorrow be
#9
?
1
2
19
Setup is similar to Friday, negative GEX to start with cluster of puts ~4150. Will we get there?
No dramatic escalation of war, so maybe we get some vol release today. Will have to see the flows to confirm.
1
1
20
This morning, $SPX started at 5600 put wall and after a strong push by $SPY call buyers, we are now at $SPX call wall. May be a good spot to take profits and enjoy the rest of your day?
2
1
20
So far both puts and calls have been sold, keeping $SPX barely moving.
0
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20
