Battle Plan
Wednesday, July 2, 2026
Regime
Negative gamma, trend — confidence 0.74.
Dealers sit short gamma below 6110, so hedging chases price in the direction of the move rather than fading it; expect wider swings and weaker mean-reversion.
A reclaim of 6110 that holds would return the tape to a dampening, positive-gamma posture and void the trend read.
The Map
SPX
| Gamma flip | 6110 |
| Call wall | 6150 |
| Put wall | 6000 |
| Expected move (straddle) | 6042–6128 |
| Largest OI strikes | 6000, 6050, 6150 |
| Max pain | 6075 |
SPY
| Gamma flip | $609.50 |
| Call wall | $614.00 |
| Put wall | $598.50 |
| Expected move (straddle) | $602.90–$611.90 |
Positioning
The GEX profile is negative from spot down to the 6000 put wall, where dealers are deepest short — the section of the ladder where hedging chases price lower. Above 6110 the profile turns positive and dealers dampen. 0DTE contracts carry roughly a third of today's gamma, so the flip line is unusually reactive. Overnight open interest built hardest on the 6000 puts (+8,400) and unwound the 6110 calls (−4,600) — the downside magnet firmed while upside insurance was let go. A dark-pool shelf sits at 6090 (largest print cluster, off-exchange share 47.2%). Short-exempt volume is running 2.3σ above its 20-day mean. Similarity search returns 14 analogue days; their median close was −1.3% and 71% finished below the expected-move low.
Volatility
IV rank is 63 with the VX curve in backwardation (−1.4 slope) — the market is paying up for near-dated protection. Realized has run about 2.1 points under implied, and skew sits at its 82nd percentile as downside 0DTE vol is bid hard. Premium today is paying for tail protection, not carry.
Today's Script
- 1. Flip reclaimARMED
If SPX reclaims 6110 and holds with CVD turning up, dealer hedging flips back to dampening and upside drift toward the 6150 call wall becomes the path of least resistance.
Playbook · DirectionalInvalidated: rejection back below 6087. - 2. Put-wall testWATCHING
If loss of the 6055 dark-pool shelf, acceleration into 6000 as short-gamma hedging chases the move lower; watch for dark-pool absorption at the shelf.
Playbook · Flow confirmationInvalidated: reclaim of 6055 with prints absorbing.
Macro Clock
- 08:30Initial Jobless Claims
- 11:28CPI (m/m)high
- 13:0010-yr Note Auction
Yesterday's Grade
Tuesday's plan flagged 6120 as the flip and called for fade-the-edges in positive gamma; the expected-move band held and 6120 capped the session — a hit.