Sep 9th 7825 Call - Firm Buy
VS3D order flow flagged the buyer at 3:37 PM Wednesday: 3,000 at $1.00, 2,000 at $1.05 and 5,000 at $1.30. The participant ledger shows the same firm-origin account at 10,000 by the 3:40 PM mark, 18,000 by Wednesday's close and 19,225 by Thursday 10 AM, all against market-maker sells, with open interest printing 18,522 the next morning. This dossier plays the full position through market hours, marked at the bid every 10 minutes, with the greeks carried from the buyer's side.
| Interval end, ET | Lots | Cumulative | Market at the mark | Price used |
|---|---|---|---|---|
| 9/2 3:30 PM | 3,000 | 3,000 | 1.10 / 1.20 | $1.00, order flow |
| 9/2 3:30 PM | 2,000 | 5,000 | 1.10 / 1.20 | $1.05, order flow |
| 9/2 3:40 PM | 5,000 | 10,000 | 1.05 / 1.20 | $1.30, order flow |
| 9/2 4:00 PM | 6,000 | 16,000 | 1.40 / 1.50 | $1.55, the offer at the interval start |
| 9/2 4:10 PM | 2,000 | 18,000 | 1.45 / 1.55 | $1.50, the offer at the interval start |
| 9/3 10:00 AM | 1,225 | 19,225 | 1.55 / 3.30 | $3.50, the offer at the interval start |
| Total | 19,225 | avg $1.466, premium $2.82M |
| Position at 9/3 2:10 PM ET | |
|---|---|
| Series | SPXW 09/09/2026 7825 C |
| Buyer / counterparty | firm origin / market makers |
| Open interest, Thu morning | 18,522 |
| Mark, bid / ask | 8.30 / 8.50 |
| PnL at the bid | +$13.14M |
| Delta | +$2.92bn · 7,530 ES |
| Gamma, per 1% move | +$4.11bn |
| Vega, per vol point | +$4.69M |
| Theta, per trading day | -$6.62M |
| Implied vol, trading-day clock | 8.8% · 3.3 trading days left |
The buy side sits in the firm-origin bucket of VS3D's participant ledger, with market makers on the other side of every interval. The customer buckets are empty at block size. The orders carried a closing code, but the series only started trading on Aug 7, no participant held more than a few hundred lots before Wednesday, and open interest went from a few hundred to 18,522 overnight. The position is an opening long.
Sizing: the 3:40 PM cumulative of 10,000 matches the order flow to the lot. The two later Wednesday prints and the Thursday 10 AM print are the same buyer in the same series; the order flow carried no price for them, so they are carried at the offer standing at the start of each interval.
Greeks are carried long: positive delta, gamma and vega, negative theta. Delta in dollars is shares-equivalent times spot; the ES figure divides by 50. Gamma is the dollar delta picked up on a 1% move. Vega and theta, and the implied vol, are on a trading-day clock with the Labor Day closure removed.
The dashboard shows the market-maker side of this position every session in Positions by Strike and the Gradient charts. VS3D trial · guide.