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TRACE Reveals Massive Negative Gamma, Expect Intraday Volatility

This is TRACE, the most accurate SPX GEX map you can get. It also updates faster than any GEX map 😏. Remember: +50% of SPX flow is 0DTE and so if you are tracking gamma, you need to see that intraday flow, and you need to know who is on each side of that flow to accurately track this stuff. Now to the map: What you see here on the left is today's exposure, given the JPM 6,475. On the right is what GEX looks like after today's expiration. What should you expect today? The possibility for weird market moves, with no news associated with it. Placing a cheap 1x2 0DTE call which profits if the SPX moves up there may be worth the risk reward - but thats a lotto ticket. Diving in: With the SPX at 6,400 (indicative open), the negative gamma is at -$4bn. Should the market start to rally, that figure goes toward -$20 billion due to the JPM strike expiring today (dark red area). Remember, gamma is highest for ATM options. This "bigger gamma" suggests that a market rally today could create an upside scramble. Conversely, to the downside, there is no support until 6,250, as gamma flips positive at that level. After today's expiration, the SPX gamma is essentially -$4bn across all strikes. Historically, the roll starts with some big 0DTE prints. If you see those fire off (-10k contracts or deep ITM SPX calls), then you know the roll may be on. Also watch for unusual big SPX moves that play into a big print(s). The mechanics, print timing, etc has all morphed over time not only based on what strike(s) are in play, but also likely as the whole world starts watching this thing. My core takeaway from all of this is that these trades may have been suppressing SPX realized volatility, and that may now change with expiration. We'll see. Extra credit: Has the JPM put ever expired in-the-money? According to our records: once. March 2020 (Covid Crash), where the put expired 18% ITM. There were 3 times the long put was tested into expiration: Mar & Sep '22, wherein the SPX closed+45 bps and +16 bps above the JPM strike (expiring it worthless). Lastly in Mar '25, wherein the SPX closed 80bps above the strike.