๐ Summary
Short gamma regime re-entered after 20Y auction shock. Below 5870, dealers face structural sell pressure from vanna + gamma + charm convergence. Wait for VIX to fall before buying any dip.
๐ Price Levels to Watch
๐บ Upside Breakout Trigger: 5885
โ Reclaiming this level flips dealers back toward neutral gamma, opening short-covering squeeze potential toward 5925โ5950
๐ป Downside Acceleration Zone: 5870
โ Structural pressure zone. Vanna-driven delta hedging intensifies. Below here, the market enters a volatility expansion regime
๐งฑ Gamma Walls:
Call Wall: 5950
Put Walls: 5875 / 5850 / 5800
๐ Structural Regime Analysis
Macro trigger:
Last nightโs 20Y Treasury auction was weak, triggering a sharp risk-off move.
SPX broke 5935 โ 5875 in 15 mins, entering short gamma zone (GEX ๐ด๐ด).
Volatility Regime Shift:
VIX spiked >20, breaking the downward vol trend that supported recent vanna snapback rallies.
This marks the end of volatility compression. Vol expansion regime is in effect.
Dealer Hedging Mechanics:
Below 5870, Vanna pressure increases sharply as price declines + IV rises.
Dealers short puts must delta hedge by selling ES, amplifying downside in a feedback loop.
No Dip Buy Until Vol Stabilizes:
VIX must fall or implied volatility flatten before any long bias resumes.
Until then, treat rebounds as short entries, not long setups.
โ ๏ธ Volatility Metrics Supporting This View
GEX: ๐ด๐ด (Negative Gamma on both 0DTE and aggregate expiries)
IVx 5D Change: +4.04% โ Implied volatility rising into the drop
PUT$: 85.6% โ Option flow heavily defensive (puts > calls)
Skew: High, supporting demand for tail risk hedging
๐งญ Tactical Strategy
Short bias below 5870, scale-in entries on failed intraday bounce attempts
First targets: 5850 โ 5800 (Put gamma cluster + dealer momentum zone)
Invalidate short above 5885 (where short gamma neutralizes)
๐ Final Note
We are now inside a third-order Greeks-driven sell zone:
Speed โ, Color โ, Ultima โ โ this is a self-reinforcing volatility trap.
No long setups are valid until structural vol metrics cool down.
Short gamma regime re-entered after 20Y auction shock. Below 5870, dealers face structural sell pressure from vanna + gamma + charm convergence. Wait for VIX to fall before buying any dip.
๐ Price Levels to Watch
๐บ Upside Breakout Trigger: 5885
โ Reclaiming this level flips dealers back toward neutral gamma, opening short-covering squeeze potential toward 5925โ5950
๐ป Downside Acceleration Zone: 5870
โ Structural pressure zone. Vanna-driven delta hedging intensifies. Below here, the market enters a volatility expansion regime
๐งฑ Gamma Walls:
Call Wall: 5950
Put Walls: 5875 / 5850 / 5800
๐ Structural Regime Analysis
Macro trigger:
Last nightโs 20Y Treasury auction was weak, triggering a sharp risk-off move.
SPX broke 5935 โ 5875 in 15 mins, entering short gamma zone (GEX ๐ด๐ด).
Volatility Regime Shift:
VIX spiked >20, breaking the downward vol trend that supported recent vanna snapback rallies.
This marks the end of volatility compression. Vol expansion regime is in effect.
Dealer Hedging Mechanics:
Below 5870, Vanna pressure increases sharply as price declines + IV rises.
Dealers short puts must delta hedge by selling ES, amplifying downside in a feedback loop.
No Dip Buy Until Vol Stabilizes:
VIX must fall or implied volatility flatten before any long bias resumes.
Until then, treat rebounds as short entries, not long setups.
โ ๏ธ Volatility Metrics Supporting This View
GEX: ๐ด๐ด (Negative Gamma on both 0DTE and aggregate expiries)
IVx 5D Change: +4.04% โ Implied volatility rising into the drop
PUT$: 85.6% โ Option flow heavily defensive (puts > calls)
Skew: High, supporting demand for tail risk hedging
๐งญ Tactical Strategy
Short bias below 5870, scale-in entries on failed intraday bounce attempts
First targets: 5850 โ 5800 (Put gamma cluster + dealer momentum zone)
Invalidate short above 5885 (where short gamma neutralizes)
๐ Final Note
We are now inside a third-order Greeks-driven sell zone:
Speed โ, Color โ, Ultima โ โ this is a self-reinforcing volatility trap.
No long setups are valid until structural vol metrics cool down.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.