Yes, most quarters finish well above the hedge strike level.

Remember- what the fund is doing is basic.

Fund = own stocks
Fund wants to protect stocks

Fund buys a down 5% put (that's expensive!)
Fund sells a down 20% put to cheapen cost

Still expensive!

So the fund... (1/n)

https://twitter.com/Bern3000Bernie/status/2038261987516301530

...sells a call to make it even cheaper.

They aim for a zero-cost collar.

They can fix the strike- but that would make it vary in cost. When implied volatility is low, they would likely pay a meaningful net-premium for the structure.

So they fix the cost ($0) and vary the strike

1-month skew crashed last week

BIG RED FLAG FOR THE BULLS Everyone claims skew crashes because
investors monetize hedges

but this is a hand-wavy explanation that pundits throw out there because it makes sense

Investors buy puts, puts get expensive

how else would they get cheap again
unless those same investors sell them out?

SPX has been grinding down to the JPM Collar hedge level at 6475 as vol has steadily crept higher.

Does market maker hedging cause pinning behavior at major dealer short-strikes?

NO.

(A THREAD) Price doesn't gravitate towards a near-dated short option the same way it does a long option.

Especially since charm (delta decay) literally forces the dealer to hedge in a way that pushes the market away from their shortest position as that position decays.

I'm seeing a tremendous amount of hype, hyperbole and misinformation on options risk and how hedging is or isn't shaping this move

if all the noise is too much, I challenge you to just drop X for a week and come join our 7-day (free) trial to VS3D

Here's what it entails >> Your dashboard is your lens into the REAL options market

Left: Actual market maker 0DTE positions @ strike (l/s)

Right (top): Actual market maker gamma

Right (bottom): Actual market maker charm

This is far beyond inference or technical analysis

"We think a stronger gamma supply from the 0DTE complex has driven the long gamma overhang (lower intraday volatility, all else equal)" - UBS

Bingo – not all gamma is created equal Longer tenor options literally have different gamma profiles.

Their gamma distributes farther across spot ranges and has less local variation (speed)

When you know (accurately) what market makers are holding in the SPX

...you get more insight than you realize.

Years in, I'm still fascinated by what I'm learning every day as I drill into the details each morning and rate the outcomes.

Take positions, for example > Across the 6800s for Friday's expiry-
market makers are net long 5,874 options

in the 6700s
market makers are net short 190 options

in the 6600s
...market makers are net long 15,952 options

Without being a quant, can you guess which range tomorrow would bring highest RV?

Vol Control funds currently 'very long' the S&P

these funds scale their exposure according to estimates of volatility, which are usually based on blended measures of historical volatility.

Their flows are impactful, but can't be modeled as precisely as option hedging

(1/N) The simple way to understand their behavior -

When the market is calm, they'll buy more equities.
When it's volatile, they'll sell equities & reduce their beta

Gamma is a simple concept that starts with knowing that market makers want to make money trading options (not gamble on market direction)

So *delta* is the greek that tells us how much money we make or lose

when the market moves...
(1/n)

https://twitter.com/GodOfVega1/status/2018045808743186844

If our delta is 100 and the SPX goes up $1, we make 100
if it goes down $1 we lose 100

but options are more complicated because that "delta" changes, too.

SPX DEALER GAMMA
[How to understand it and use it in your trading]

Last week, average dealer gamma was +$7.9bn, according to Bank of America

Let's break down what this means, bring the number down to earth- and explore how to use it in your own trading approach >> First, that figure is Notional Gamma

it represents the dollar change in the option portfolio's delta given a 1% move in the index, expressed in notional terms.

A "delta" figure in this context is a way to understand your position's exposure to the underlying >>

Long gamma or short gamma?

Most of the time, the market is in a "long gamma" position

Technically, this means that flows are absorbed by the hedging behavior of market makers- stabilizing the market overall and compressing ranges over time. But compare today to yesterday?

If you're zoned in, this probably "feels" like negative gamma

Everyone's talking about the iron condor martingale,
let's look at actual trades.

What follows is the series of trades leading up to Captain Condor's Christmas Eve blow-up.

They add context & teach two lessons:

1. The price isn't always "right"
2. Don't sell them blindly First, let's define some things up front:

1. I have no interest in grave-dancing or judging David

2. Nothing I have is confidential. I was a market maker, accustomed to trading and warehousing flows from 0dte to several years.

3. All positioning data is official. No guesses

SPX MORNING PREP (Thurs Dec 18 2025)
Daily Morning Meeting Slides

KEY LEVELS
as discussed on the 9am call...

UPSIDE TEST / LEVEL TO HOLD = 6790
Lose 6790 and risk a waterslide move back towards 6750-60 before you find any stability.

BALANCE = 6750 (MODERATE)
Opening positions have slight bias to long dealer gamma between 6740 and 6750, which will help flatten out any retracement from the AM spike towards 6790

DOWNSIDE TEST = 6740 >> 6700
Positioning gets very sparse to the downside. If we breakaway from the little bit of stability near 6750, then we look for price to hold above 6740.

IF we lose 6740 to the downside, it's another clean waterslide down to 6720 and a high probability the index will test 6 77777777777 before resolving directionally for the close. VS3D GAMMA PROFILE
Thursday Dec 18 2025

Premarket gamma profile after the CPI release was already reflecting serious risk across the 67XX handle today.

Why?

Combination of 0DTE positions heavily biased towards customer hedges (dealer short options) as well as finding ourselves entrenched among large dealer shorts expiring tomorrow.

🧵1/19
Just dropped the most important thread of Q4.
You’re not ready for this level of alpha 🔥🚨 2/19
Quick backstory: back in 2023 I was literally shaking and crying in a Wendy’s parking lot when I discovered this one weird trick 📈😭

Doctors hate it.
Market makers fear it.
Your wife's boyfriend is already using it. 😬

FOMC: THE DAY AFTER
Dec11 '25 SPX Positions & Greeks

What do MMs hold?
- - and why does it matter?

UP FIRST
POSITIONS

This is THE SUBSET of 0DTE OPEN INTEREST HELD BY DESKS THAT HEDGE.

Stare at the position.
Burn it into your retinas: especially orange levels.

Why? >> THE OVERNIGHT PRICE ACTION

We lost 6860
RAN THROUGH ALL THAT ORANGE INVENTORY

we tapped the long at 6815

WE ARE TRADING 6860

Coincidence?
(lol) >>

SYNTHETIC NEGATIVE GAMMA

Short gamma markets can trend more than mean revert

We talk about literal gamma (positive and negative) daily when it comes to hedging actual options books

CTAs impact markets in a similar way on wider timeframes

Here's BofA on potential selling flow What's GAMMA when it comes to option hedging?

As a market maker (or "dealer" - nobody calls themselves this), if I'm long gamma then I buy futures when the market sells off.

I don't do this because I "think" anything about the market

I just got short delta on the way down.

Key to longevity in trading is risk management-

and the key to making it work using dealer hedging profiles involves an accurate understanding of the actual hedging processes

Know what you know
Respect what you CAN’T know

and understand hidden interactions. ⏩

https://twitter.com/VolSignals/status/1986963552997978436

Dealer profiles give you two things when it comes to near dated influences:

GAMMA
CHARM

⏩

I like to assume the best of people,
so here's a directional call that "worked out" -

I'll explain it and recap it... but first, here's the moment I thought it was a "layup" as I like to call them.

https://twitter.com/Tom___Banks/status/1981329315770819029

I had to go way back on this one to find a winner.

this 200%+ trade is from today.
Note the timestamps in the screenshot.

What happened?

The market cleared an important hurdle in the inventory.

Getting ABOVE certain levels would have the eventual effect of producing supportive charm flows.

This is important.

Intraday volumes tail off into the midday period before ramping up again into the close.

Gamma defines how markets behave,
not which direction they'll move

When dealers are net short options that creates 'negative Gamma'

instead of providing liquidity we have to buy into rising markets and sell into declines When dealers are net long options that creates 'positive Gamma'

we sell rallies and buy dips-
this is the norm for modern markets

You're About to Realize
What Options Have Been Implying this Whole Time

What if the glue holding markets together just expired?

[full newsletter] October OPEX is behind us.

We must be out of the woods, right?

Not so fast. Positions create hedging requirements.

These are literal, to a degree.

How often does VIX overreact like this?

Historically, not often, per GS Prime's weekend note.

These stats should make bulls sleep easy-

In the 4 previous moments when VIX outperformed its beta to SPX by > 2 vols, none resulted in drawdowns Unfortunately I don't have the granular positioning data I'd need to go back and evaluate any of these moments with the framework I use to estimate what comes next.

I can only call it like I see it.

And while nothing I say should ever be construed as advice, strictly speaking-

OPEX Week Price Action Review x.com/i/spaces/1mnGe…