SPX 0DTE Trading Market Analysis | September 12, 2024

good afternoon this is Connor from zero DTE Traders here to present our Market minute for September 12th 2024 it is 12:00 and the SPX is trading flat at 5554 uh not a whole lot going on the market is just basing sideways here digesting yesterday's a massive squeeze to the upside 154 Point move trough to Peak bouncing off the put wall reclaiming the the flip of 55 well was 5500 yesterday now 5515 today um so we are technically back in positive gamma a regime where dealers buy dips and sell rips that tends uh to provide stability and lower volatility to the market um now where we sit at this current juncture let's just take a zoom out here we are coming back so if you recall here for 2 weeks at the end of August we were trapped um in a Range here around 5600 we had 5650 on the upside lower bound around 5660 50 uh yeah 5560 5550 uh and this was a really easy type environment um I favored short calls here I think I played the same trade like six times um really easy we had the break of the flip here a move into negative gamma which is known as like the sell the rip regime uh which has played out well um now when you're a negative gamma that lower bound is the put wall where we look for significant bounces um now the put wall at this time here was 5500 which provided good short opportunities um you know to play to play that bounce obviously that put wall ended up shifting lower and we had more downside um but we had that indication before we even had this move down so looking at dealer positioning is most certainly a leading indicator um but once again you know when you come down to the put wall we're looking at dip buys here here and well this happened to be the big reversal um and the regime change um so going forward now we look for 5515 5500 as major support a break below puts us back into negative gamma um as of right now we're basing at the previous lower bound here right so what was once resistance becomes or sorry what was once support becomes resistance um so if we can break out here it opens the door to that 5600 handle which was mean of range and then up to that that previous upper bound of 5650 um so those are really the levels we'll be looking for um you know looking at playing probably over the next week or so um as we go into the fomc on the 18th as well as the triple witching on the 20th now let's go over to the gamma charts give you a quick visual starting from the top the gamma index is positive 280 million notional trading above the flip of 5515 this is the transition all strikes above positive that is supportive for the market price all strikes below negative that is destabilizing for the market price the upcoming triple witching is call weighted so as long as we hold above that flip in positive gamma territory uh flows should be supportive for more upside uh maybe in the form of a positive drift or basing type action um now being in positive gamma requires a bit of a different approach because what tends to happen particularly as you go into option expiration volatility is going to get suppressed and we we would really be looking at two things for I would say as a confirmation indicator uh that would be a builds in the gamma index as well as a reduction in the one-day implied move uh which currently sits at 1.1% we did have PP this morning uh but next week absent a catalyst uh we should see this drop uh quite rapidly um now also in terms of strategies uh positive gamma tends to be just overall a more favorable trading environment uh we generally regard this as the buy the dip regime um and certain strategies that aren't favorable in negative gamma um become favorable in positive gamma and that includes outof the- money credit spreads and iron Condors um tend to be a more attract ractive option and if you're playing long Vol let's say out of the money calls puts or butterflies uh you generally need to be a little bit more conservative and position them closer to the market price because they're just not the same 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