Unless a systematic use of GEX is presented, it's too subjective and random to justify it's use. How would folks like myself, who trade fully automated, systematic strategies on 0-DTE SPX, incorporate random, unquantifiable GEX data? All of this should be backtestable to prove if an edge improvement occurs on existing strategies or not.
I agree Omfspvh. Zero Gamma is the new psychological round number. Modern market structure has made traditional support and resistance levels obsolete. GEX walls and Zero Gamma lines are the new liquidity magnets. Retailers sit around waiting for the GEX flip, while MMs are already steps ahead, front-running the risk by adjusting premiums and widening spreads.
It’s a good question — I’ll give you a more detailed response later, but my 2 min take is that GEX adds some marginal value over VIX-based regime filtering for someone with access to the data and infrastructure to compute it systematically. For a fully automated system without a GEX feed, I’d argue VIX thresholds get you most of the way there.
I would say the same as your assessment. I trade 0-DTE SPX for a while now and the overall performance of the strategies I run is more than sufficient (by anyone's standards I would say). But if any additional data such as GEX show notable improvement in edge, it would be worth considering.
Dismissing GEX as "random" or "unquantifiable" is quantitatively false. GEX provides highly deterministic, strike-specific liquidity boundaries.
True edge lies in a clear picture with all related data in context! This requires cross-asset synthesis: aggregating SPX, SPY, NDX, and QQQ against the VIX proactively anticipates synchronized Gamma Flips and a few more setups, before price action reflects them. They all have their own Optionschains and flows and only together they represent the S&P500 and its Options activity overall.
For example: When multiple assets in this core group approach a synchronized gamma flip, we mathematically forecast severe downside variance expansion days in advance.
Retail traders fundamentally confuse market noise with market structure. You assume real-time 0DTE tick data overrides fundamental levels and view the SPX in a vacuum. The quantitative reality is that institutional liquidity is parked in massive, entrenched OTM clusters. These colossal open interest nodes possess immense structural inertia—they act as inescapable magnets and rigid walls for dealer delta-hedging algorithms and simply do not relocate intraday.
To address the data latency critique directly: I have analyzed the options data of this exact, highly representative universe almost daily for over two years, utilizing CBOE (15m delayed) and live Interactive Brokers feeds direct from the exchange. The critique that EOD or delayed data is 'inaccurate' for intraday execution is empirically false. Mapping these Gamma Flip Levels and Volatility Spike Zones yields staggering, dollar-exact precision. Watching 1-minute and 3-minute candles respect these structural boundaries to the tick proves that institutional liquidity is fully entrenched.
Great post! I was wondering if you had any thoughts on intraday futures trading with respect to the effect of gamma. Especially for momentum, traders, does it make sense to trade in the afternoon?(2:30 - close) or would you recommend just sitting out the closing auction because of its unpredictability?
The lesson 2: entry time is dubious. It really needs to include what method of premium selling was used, there are infinite variables there. It does not line up with any testing and live trading I've done.
Well, here's the thing. The underlying mechanic is real — after 2:30pm, GEX collapses, dealer hedging unwinds, and the dampening effect disappears. That's not debatable. But whether that hurts you depends on what you're doing, so you're right that I should have been clearer about that.
Selling iron condors: late entries are punished. You're short gamma exactly when gamma is accelerating into expiry.
Buying premium (long straddles, long gamma): the 2:30pm window is actually your best entry. You want that gamma explosion, not fear it.
Short puts only (not spreads): different skew dynamics, different pin risk at expiry. The 2:30pm effect matters but plays out differently.
The claim I should have been more precise about is "after 2:30pm P&L is negative" assumes a short premium strategy, specifically spreads. For other strategies the timing edge could flip entirely.
The GEX collapse is real. The timing implication is conditional on what you're selling, how wide your spreads are, and your delta profile at entry. Should have said that upfront.
It's the morning stuff that I found suspect. Selling premium at 10am vs 1pm for example. What were you running that said the morning is better? It's entirely based on strategy, strike selection, regime, etc.
The morning-is-better claim came from backtesting short put credit spreads at 10-delta, one spread per session, entry time as the only variable — everything else held constant. In that specific setup, morning entries outperformed afternoon entries in the backtest.
Totally fair and appreciate the insight. That's going to be very trade so specific was my point; closer to the money neutral strats aren't going to have the same return curve. Thanks for replying. 👍
Of course. The hard part about a lot of these results is that I run something, then forget how I ran it and go back and check, then when someone comments I have to dig through to find out what the hell I really did!
But to be honest, you are right in a way because that's a narrow result. Hold strategy, strikes, and regime constant and vary only entry time — you get one answer. Vary any of those inputs and the answer changes. So basically entry time doesn't exist in isolation from strike selection and regime.
I should have really said "for this setup, morning entries outperformed" not "morning entries are better."
Great writeup, thank you. I am wondering, if the 02:30 time filter changes over time. For example in the past 6 months entries after 3pm were among the most profitable. Is this a dynamic variable or should we always respect it and why?
Unless a systematic use of GEX is presented, it's too subjective and random to justify it's use. How would folks like myself, who trade fully automated, systematic strategies on 0-DTE SPX, incorporate random, unquantifiable GEX data? All of this should be backtestable to prove if an edge improvement occurs on existing strategies or not.
I agree Omfspvh. Zero Gamma is the new psychological round number. Modern market structure has made traditional support and resistance levels obsolete. GEX walls and Zero Gamma lines are the new liquidity magnets. Retailers sit around waiting for the GEX flip, while MMs are already steps ahead, front-running the risk by adjusting premiums and widening spreads.
It’s a good question — I’ll give you a more detailed response later, but my 2 min take is that GEX adds some marginal value over VIX-based regime filtering for someone with access to the data and infrastructure to compute it systematically. For a fully automated system without a GEX feed, I’d argue VIX thresholds get you most of the way there.
I would say the same as your assessment. I trade 0-DTE SPX for a while now and the overall performance of the strategies I run is more than sufficient (by anyone's standards I would say). But if any additional data such as GEX show notable improvement in edge, it would be worth considering.
Dismissing GEX as "random" or "unquantifiable" is quantitatively false. GEX provides highly deterministic, strike-specific liquidity boundaries.
True edge lies in a clear picture with all related data in context! This requires cross-asset synthesis: aggregating SPX, SPY, NDX, and QQQ against the VIX proactively anticipates synchronized Gamma Flips and a few more setups, before price action reflects them. They all have their own Optionschains and flows and only together they represent the S&P500 and its Options activity overall.
For example: When multiple assets in this core group approach a synchronized gamma flip, we mathematically forecast severe downside variance expansion days in advance.
Retail traders fundamentally confuse market noise with market structure. You assume real-time 0DTE tick data overrides fundamental levels and view the SPX in a vacuum. The quantitative reality is that institutional liquidity is parked in massive, entrenched OTM clusters. These colossal open interest nodes possess immense structural inertia—they act as inescapable magnets and rigid walls for dealer delta-hedging algorithms and simply do not relocate intraday.
To address the data latency critique directly: I have analyzed the options data of this exact, highly representative universe almost daily for over two years, utilizing CBOE (15m delayed) and live Interactive Brokers feeds direct from the exchange. The critique that EOD or delayed data is 'inaccurate' for intraday execution is empirically false. Mapping these Gamma Flip Levels and Volatility Spike Zones yields staggering, dollar-exact precision. Watching 1-minute and 3-minute candles respect these structural boundaries to the tick proves that institutional liquidity is fully entrenched.
another great write up - plenty of food for thought !
Great post! I was wondering if you had any thoughts on intraday futures trading with respect to the effect of gamma. Especially for momentum, traders, does it make sense to trade in the afternoon?(2:30 - close) or would you recommend just sitting out the closing auction because of its unpredictability?
really like the angle on the correlation of the index and how it relates to implied vol
Interesting piece. I do wonder if it isn’t better for retail investors to not focus on 0DTE.
A lot of money can be made with 0DTE, but I would say there is more money to be made elsewhere for retail investors.
The lesson 2: entry time is dubious. It really needs to include what method of premium selling was used, there are infinite variables there. It does not line up with any testing and live trading I've done.
Well, here's the thing. The underlying mechanic is real — after 2:30pm, GEX collapses, dealer hedging unwinds, and the dampening effect disappears. That's not debatable. But whether that hurts you depends on what you're doing, so you're right that I should have been clearer about that.
Selling iron condors: late entries are punished. You're short gamma exactly when gamma is accelerating into expiry.
Buying premium (long straddles, long gamma): the 2:30pm window is actually your best entry. You want that gamma explosion, not fear it.
Short puts only (not spreads): different skew dynamics, different pin risk at expiry. The 2:30pm effect matters but plays out differently.
The claim I should have been more precise about is "after 2:30pm P&L is negative" assumes a short premium strategy, specifically spreads. For other strategies the timing edge could flip entirely.
The GEX collapse is real. The timing implication is conditional on what you're selling, how wide your spreads are, and your delta profile at entry. Should have said that upfront.
It's the morning stuff that I found suspect. Selling premium at 10am vs 1pm for example. What were you running that said the morning is better? It's entirely based on strategy, strike selection, regime, etc.
The morning-is-better claim came from backtesting short put credit spreads at 10-delta, one spread per session, entry time as the only variable — everything else held constant. In that specific setup, morning entries outperformed afternoon entries in the backtest.
Totally fair and appreciate the insight. That's going to be very trade so specific was my point; closer to the money neutral strats aren't going to have the same return curve. Thanks for replying. 👍
Of course. The hard part about a lot of these results is that I run something, then forget how I ran it and go back and check, then when someone comments I have to dig through to find out what the hell I really did!
But to be honest, you are right in a way because that's a narrow result. Hold strategy, strikes, and regime constant and vary only entry time — you get one answer. Vary any of those inputs and the answer changes. So basically entry time doesn't exist in isolation from strike selection and regime.
I should have really said "for this setup, morning entries outperformed" not "morning entries are better."
Great writeup, thank you. I am wondering, if the 02:30 time filter changes over time. For example in the past 6 months entries after 3pm were among the most profitable. Is this a dynamic variable or should we always respect it and why?
Nice work!
Good catch! I updated the post with the right chart.