VS3D · FOMC day dossier · Sep 16, 2026

The FOMC Day Book - Wed, Sep 16

Three positions, each deconstructed by tenor: the market-maker position going into Wed, Sep 16 on the Tue, Sep 15 close marks, the position at the Wed, Sep 16 close, and the day's trades on their own (every line that changed, the same-day expiry excluded). Below that, the Sep 18 AM and PM expirations on a clock you can advance to their settlement, and the day's largest position changes by participant type, split at the 2:00 PM ET announcement.

Each profile re-marks the chosen position across a range of SPX levels five percent either side of its own close. The fill splits the total into seven tenors by days to expiry; the white line is the whole position. Levels are SPX cash.

Into the day = the Tue, Sep 15 close position on its own marks (level 7,586). At the close and the day's trades are marked on the Wed, Sep 16 close (level 7,552). The day's trades = every line whose position changed between the two closes, valued on the Wed, Sep 16 marks; the Wed, Sep 16 expiry is gone by the close and so is not in any of the three. Gamma in $ per 1% move, charm in $ of delta drift per day, vanna in $ of delta per vol point, vega in $ per vol point, all dealer-signed as held; hedge = the futures position that offsets the delta, negative = market makers sell.

The Sep 18 AM series (SPX, settles 9:30 AM ET Friday) and the Sep 18 PM series (SPXW, settles 4:00 PM ET Friday) as held at the Wed, Sep 16 close, with every line's implied vol held and its time to expiry reduced as the clock advances. Drag the slider or press play to move from the Wed, Sep 16 close to settlement in half-hour steps; the spot ladder stays around 7,552.

Sticky-strike aging: each line keeps the implied vol it carried at the Wed, Sep 16 close while its time to expiry shrinks; lines past their settlement instant are dropped. The very last steps before settlement concentrate the remaining gamma at the nearest strikes, which is what the profile shows. The whole-position share uses the full position aged to the same instant.

Position changes come from the participant positions file at three marks: the Tue, Sep 15 close, the 2:00 PM ET snapshot on Wed, Sep 16 (the last one at or before the announcement), and the Wed, Sep 16 close. Before = Tue, Sep 15 close to 2:00 PM; after = 2:00 PM to the close. Customers = customer plus professional-customer accounts. The same-day expiry has its own table. Boxes (four legs, equal size, one expiry) and the standing deep-put program pair are set aside from the ranking and listed at the end.

Gross = the sum of absolute position changes across lines; net = the signed sum (positive = the participant type added long contracts). Greek transfer = each line's change times its per-contract greek at the Wed, Sep 16 close, summed; positive gamma = the participant type took on long gamma.

Contracts are signed from each participant type's side (positive = added long). "When" = the ten-minute interval that carried the largest change on the line, with the SPX print at that mark; before / after refers to that interval. Greek transfer ranks by the customer change times the line's vega at the close plus ten times its gamma. A line that changed hands between market makers and firm accounts without a customer side ranks by contracts only. Several lines that changed in the same interval are separate prints unless the quantities say otherwise.