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.
However, by 10:30, we saw some very interesting behaviour. Specifically, we saw #0DTE bulls acting very aggressive, including selling ATM puts at 4120 strike.
By noon, we could tell they were now targeting 4125 and 4130 strikes on their calls.
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.
Their unrelenting goal was reached when the #SPX touched 4150 at 3:20!
Where can we find this OPRA data you ask?
Well, our platform, rtgamma.com 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!
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