0dte dealer positioning
Same-day expirations are the majority of SPX option volume, and they rebuild the dealer gamma surface hour by hour. A positioning read from 8am describes a market that no longer exists by 11. Sharpnel recomputes the gamma flip, the call and put walls, max pain and the full gamma-by-strike profile about every 60 seconds, and draws them on the chart you trade, next to the DOM and the tape.
The problem
Open interest posted overnight is only half the picture. The gamma that matters on a 0DTE day is a function of live implied volatility and of the contracts printing right now, and both change through the session. A report computed once is a photograph of the pre-market.
The gamma flip is the price where net dealer gamma would cross zero. It is not a strike you read off a table; it has to be re-solved as the surface changes. Services that print one flip per day are printing one guess per day.
Knowing dealers are short gamma below the flip tells you a sell-off can accelerate. Whether it does depends on what the ladder shows at the level. Positioning in one tab and order flow in another means you never see both at the moment it matters.
What Sharpnel does
About every 60 seconds the chain is re-pulled, per-contract Black-Scholes gamma is recomputed on current implied volatility, and the flip is solved again from the aggregate. When it moves intraday, that is the surface moving, not a typo.
Call wall, put wall, gamma flip, max pain, expected move, high-gamma zones, vanna, charm and the 0DTE share — drawn on the price chart next to the DOM ladder and the footprint, on ES, NQ, SPX and the other names the chain covers.
The whole profile draws beside the price axis: which strikes carry the gamma, from open interest and from today's volume, with the prior windows so you can see the surface rebuilding rather than infer it.
The terminal tells you when price is at the flip, when it is the third push into a wall that has not gone through, and when bids are outweighing offers at the level. It never predicts and never tells you what to do; when two reads disagree it says so, and calls it a pass.
| The job | A daily positioning report | Sharpnel |
|---|---|---|
| When it is computed | Once, from overnight open interest | About every 60 seconds, on live implied volatility |
| The gamma flip | One number for the day | Re-solved every cycle |
| The strike profile | A static bar chart | Live beside the price axis, with prior windows |
| Where you read it | A dashboard tab | On the chart, next to the DOM and the tape, and out loud |
Levels state what the data shows. Nothing here is a prediction or advice; a level that held three times is exactly the one that can break on the fourth.
ES and NQ as captured at 08:30 ET, every trading day, and after the close whether they held. Free, one mail a day, unsubscribe anytime.
The close read, from the gamma engine
This is a real end-of-session read from my own OI-derived gamma engine — where the walls sat when the bell went, published once a day and never retouched. What it can't show you is the session itself: in the terminal these levels rebuild about every minute on your own chart, next to the DOM, the footprint and the tape, with the zero-gamma line and the full strike profile. The walls move all day. This page shows you where they ended up; Pro shows you while it's happening.
OI-derived dealer-gamma estimate · published once after the close here, rebuilt ~60s in the terminal · informational, not advice
$125/mo — or $94/mo billed annually
What you are reading here is free and stays free. Pro is the live one: these walls and the full strike profile rebuilt about every minute while the session runs, on the same chart as the DOM, the footprint and the tape — and drawn inside your own charting software too.
