Sep 7500 / Oct 7350 Put 2x1 - Dealer Profile Impact
One ten-minute interval on Tue, Sep 15 carried the package: customers sold 20,000 Sep 18 7500 puts and bought 9,500 Oct 16 7350 puts, two September puts sold for every October put bought. Market makers took 12,600 and 6,300 of the other side, firm accounts the rest. This dossier isolates the package inside the Tue, Sep 15 close position and re-marks the dealer gamma, charm and vanna profiles with and without it, aged through Friday's September settlement.
| Series | Customers | Firm accounts | Market makers | Market at 12:40 PM | Close mark | IV at the close |
|---|---|---|---|---|---|---|
| SPX 09/18/2026 7500 P, AM settled | sold 20,000 | bought 7,400 | bought 12,600 | 19.40 / 19.80 | 16.30 / 17.00 | 18.5% |
| SPX 10/16/2026 7350 P, AM settled | bought 9,500 | sold 3,700 | sold 6,300 | 53.80 / 54.40 | 50.60 / 51.60 | 16.6% |
| Package on the 12:40 PM mids | two 7500 puts sold against one 7350 put bought = a debit of about $15 per unit to the customer, 9,500 units | |||||
| State | Sep put, days left | Trade delta · hedge | Trade charm · daily hedge | Trade gamma | MM gamma with / without | Gamma flips with / without |
|---|---|---|---|---|---|---|
| Tue close | 2.7 | -$1.11bn · +2,920 ES | +$0.35bn · -930 ES/day | +$1.52bn | -$0.53bn / -$2.05bn | 7,363 / 7,498 / 7,603 / 7,626 |
| Wed close | 1.7 | -$0.64bn · +1,690 ES | +$0.62bn · -1,640 ES/day | +$1.67bn | -$3.21bn / -$4.88bn | 7,646 / 7,963 / 7,654 / 7,964 |
| Thu close | 0.7 | +$0.29bn · -760 ES | +$1.35bn · -3,570 ES/day | +$1.46bn | -$4.69bn / -$6.15bn | 7,652 / 7,907 / 7,652 / 7,907 |
| Fri AM settle | settled | +$1.07bn · -2,830 ES | -$0.02bn · +40 ES/day | -$0.31bn | -$4.56bn / -$4.25bn | 7,633 / 7,631 |
| State | Sep put, days left | Trade delta · hedge | Trade charm · daily hedge | Trade gamma | MM + firm gamma with / without | Gamma flips with / without |
|---|---|---|---|---|---|---|
| Tue close | 2.7 | -$1.85bn · +4,880 ES | +$0.56bn · -1,490 ES/day | +$2.43bn | +$1.43bn / -$1.01bn | 7,338 / 7,865 / 7,630 / 7,868 |
| Wed close | 1.7 | -$1.10bn · +2,910 ES | +$0.99bn · -2,610 ES/day | +$2.68bn | -$0.18bn / -$2.87bn | 7,594 / 7,893 / 7,645 / 7,897 |
| Thu close | 0.7 | +$0.37bn · -980 ES | +$2.15bn · -5,670 ES/day | +$2.34bn | -$0.74bn / -$3.08bn | 7,610 / 7,882 / 7,624 / 7,885 |
| Fri AM settle | settled | +$1.62bn · -4,270 ES | -$0.02bn · +60 ES/day | -$0.47bn | -$3.76bn / -$3.29bn | 7,471 / 7,473 / 7,629 / 7,691 / 7,747 / 7,905 / 7,441 / 7,498 / 7,625 / 7,695 / 7,743 / 7,908 |
Hedge = the futures position that offsets the trade's delta; a negative daily hedge means market makers sell futures as the day passes. Gamma in $ per 1% move, charm in $ of delta drift per day, both dealer-signed as held. Flips = zero crossings of the profile inside 5% of the close.
The customer side of both legs carries a closing code, which does not reconcile with our participant ledger: customers were already net short the Sep 18 7500 line before the interval and were net long the Oct 16 7350 line after it. The position codes are self-reported by the submitting firm. What the ledger does settle is the counterparty: market makers took 12,600 of the September puts and 6,300 of the October puts, firm accounts 7,400 and 3,700.
For market makers the package is long 12,600 near-dated puts against short 6,300 one-month puts: long gamma, positive charm, close to flat vanna and vega. At the Tue, Sep 15 close it added +$1.52bn of gamma per 1% at 7,586, taking their gamma there from -$2.05bn to -$0.53bn, and it pulled the upper gamma flip from 7,626 down to 7,603, with a long-gamma pocket between 7,363 and 7,498 that is entirely the trade.
The charm side is the week's story for hedging: the long September puts bleed delta into Friday's AM settlement. On the Tue, Sep 15 marks the trade sits at -$1.11bn of delta, a +2,920 ES hedge; at an unchanged 7,586 that hedge moves to -2,830 ES once the September puts settle, so the aging alone has market makers selling about 5800 ES over the three sessions, 930 ES of it on the first day and most of the rest on Thursday. What remains on Friday is the short October 7350 put, short gamma below 7,586 and a small vanna add.
The MM + firm frame applies the same method to the full liquidity-provider side (20,000 / 9,500); the toggle above re-marks every profile and the week table in that frame. Profiles are sticky-strike re-marks of the close position with every line's implied vol held and its time to expiry reduced to the state instant; lines past settlement are dropped. VS3D trial · guide.