The day after the Fed · Thursday, 17 September 2026 · swept from chat after the 12:16 PM ask
8 questions · the first two were tagged after the ask, the rest came up in VS Pro chat today · each has "Show the data" (positioning, the Sep 18 clock, prints, levels, price history) and "Context" panels · → or swipe to begin
Question 1 of 8Tagged after the 12:16 askFriday AM roll-offgamma / charm / vanna
Once the Friday AM contracts roll off tomorrow, how would you expect the gamma, charm and vanna to change, and would this keep us more range-bound or free up more movement for tomorrow?
asked by @sayju0695 in VS Pro
Question 2 of 8Tagged after the 12:16 askmidday printwhat it is
When you see something like this midday, what do you make of it? (12:10:25, SPXW 09/17 7700 put, 7,500 at 63.40, multi-leg, $47.55M)
asked by @cubofwallst in VS Pro
Question 3 of 8VS Pro chat, 1:17 PM (untagged)charmrest of today
Passive expected to the downside today?
asked by @greenman101 in VS Pro
Question 4 of 8VS Pro chat, 1:55 PM (untagged)the 7,635 pingamma
Someone smart tell me why we are stuck to 35 like glue?
asked by @podcaste in VS Pro
Question 5 of 8VS Pro chat, 10:47 AM (untagged)fed varianceterm structure
When you speak of "fed variance", what exactly is the term? (Others could not play the voice reply.)
asked by @salterian1974 in VS Pro
Question 6 of 8VS Pro chat, 11:10 AM (untagged)VS3Dpositions
Why do you say he closed the trade if we can still see it in VS3D? Am I missing something?
asked by @salterian1974 in VS Pro
Question 7 of 8VS Pro chat, 7:55 AM (untagged, answered in chat)vannaupside path
Presumably we now see a vanna-based feedback loop push spot to 7675 today and possibly 7750 tomorrow?
asked by @exms_mp in VS Pro
Question 8 of 8VS Pro chat, 9:23 AM (untagged)0DTE straddle
26.75-point straddle? How is it even possible?
asked by @wsquant in VS Pro
VS Pro · Post-FOMC Q&A
Keep them coming
Tag @VolSignals in VS Pro chat · the Sep 18 clock lives at volsignals.com/fomc-sep16 · volsignals.com/vs-pro
Q1Once the Friday AM contracts roll off tomorrow, how would you expect the gamma, charm and vanna to change, and would this keep us more range-bound or free up more movement for tomorrow?
Sep 18 AM and PM series through the clock, market-maker frame, at SPX 7,637half-hour steps from 2026-09-17 12:00 ET to Fri 4:00 PM · implied vol held
Same model as volsignals.com/fomc-sep16 Explorer B (clock refreshed at 12:00 PM ET Thu Sep 17; positions and quotes at that snapshot). Lines past settlement drop out; the last half-hours before the 4 PM settle are clipped to the chart range (charm at 3:30 PM reads -38.40bn/day).
Sep 18 gamma by SPX level, $bn per 1%, market-maker framewhat Friday's expiring gamma looks like before and after the 9:30 AM settle
Sep 18 AM (SPX) and PM (SPXW) series only, positions and quotes at 12:00 PM ET Thu Sep 17, aged with implied vol held. Same model as volsignals.com/fomc-sep16 Explorer B. Closer to the 4 PM settle the PM ladder concentrates at the nearest strikes and gets spiky.
Sep 18 AM series (SPX, settles Fri 9:30 AM)
1,219 lines alive at noon. At spot: gamma +0.87bn per 1%, charm -0.96bn/day, vanna +0.11bn per vol pt. Gamma flips 7,613 / 7,836.
Sep 18 PM series (SPXW, settles Fri 4:00 PM)
758 lines alive at noon. At spot: gamma -1.92bn, charm +0.16bn/day, vanna +0.01bn. Gamma flips 7,514 / 7,700 / 7,854.
PM series as Friday ages (spot held)
gamma -0.60bn at 10:00 AM → +0.54bn at noon → +1.68bn at 3:30 PM. Charm -1.92 → -4.36 → -38.40bn/day.
Fri AM: decay +1,682 through Friday morning, settle -5,530 at 9:30. Fri PM: decay +5,332 through Friday, settle -8,177 at 4:00. Today's PM (0DTE): decay +2,364 into the close, settle +9,207 at the bell.
Six expiring series, buy / sell zones (bps from 7,637)
sell -600..-464 | buy -464..-326 (7,283-7,388) | sell -326..-50 (7,388-7,599) | buy -50..+196 (7,599-7,787) | sell +196..+370 (lobe ~-40k ES near 7,830) | buy +370..+600. Spot sits at the lower edge of the buy zone.
gamma +5.17bn at 7,637 including today's 0DTE; the Sep 18 AM series is about -40% of the whole position at the close level per the page's share tile.
Market-maker frame, positions and quotes at 12:00 PM ET Thu Sep 17. Decay / settle figures from the expiring-series charm model (sticky-strike, normal clock). Modeling via VS3D / VolSignals.
Fri AM (SPX, 9:30 settle) alone, Fri PM (SPXW, 4:00 settle) alone, and both together: decay hedge across spot.
Six expiring series together: required decay hedge over the week by spot level (ES; above zero = MMs buy). Tick marks = flip levels, bps from the noon spot with the SPX level below.
volsignals.com/fomc-sep16, Explorer B: the Sep 18 AM and PM series on a clock (this capture at the Wed 11:30 PM step, charm tab). The live page now runs from the 12:00 PM Thu snapshot.
VS3D 0DTE market-maker position with the key levels box, posted in VS Pro 8:28 AM ET (17 Sep 2026). Spot 7,636.66 at the capture.
Context
Q1Once the Friday AM contracts roll off tomorrow, how would you expect the gamma, charm and vanna to change, and would this keep us more range-bound or free up more movement for tomorrow?
Question 1 · Tagged after the 12:16 ask
At noon the Sep 18 AM series (SPX monthly, 1,219 lines) is long gamma for market makers at spot: +0.87bn per 1%, positive between the flips at 7,613 and 7,836. That is the piece that leaves at 9:30 AM Friday.
The Sep 18 PM series (SPXW, 758 lines) is short gamma at spot: -1.92bn at the noon marks, flips at 7,514 / 7,700 / 7,854. With spot held it ages into long gamma on its own: +0.54bn by Friday noon, +1.68bn by 3:30 PM.
So the sequence is: the 9:30 settle removes a long-gamma damper, and Friday morning right after it is the loosest window; through the day the PM series adds its own long gamma back around the 7,600-7,700 strikes and the afternoon pins into the 4:00 PM settle.
Charm, six expiring series on the noon book: spot 7,637 sits at the lower edge of the buy zone 7,599-7,787. Fri AM decay is a buy of +1,682 ES through the morning and a -5,530 ES settle at 9:30; Fri PM decay +5,332 through the day, -8,177 at 4:00. The sharp sell lobe (~-40k ES) sits near 7,830, so a squeeze toward the +196 bps line runs into supply.
Vanna on the two series is small at spot (AM +0.11bn per vol pt, PM +0.01bn); the vanna story stays with the longer tenors (+1.44bn per vol pt for the whole book at the Sep 16 close), and it needs vol to keep coming off from 15.6, which is the "would have liked a 20 VIX" point from this morning.
Practical read: more range-bound below 7,650 while the AM series is alive; the freer window is Friday 9:30 to about noon; the 7,700 area is a PM-series gamma flip and the 7,725 / 7,700 0DTE short strikes today are the same neighborhood.
Q2When you see something like this midday, what do you make of it? (12:10:25, SPXW 09/17 7700 put, 7,500 at 63.40, multi-leg, $47.55M)
Line as posted
12:10:25 · SPXW 09/17/26 7700 put · 7,500 @ 63.40 on the bid · multi-leg · $47.55M premium
Spot at the print
7,635.11 (12:20 snapshot); 7700 put intrinsic ~65, so 63.40 is parity, no time value
Same strike, same size, same expiry, put bought / call sold by firm accounts = a synthetic short at 7700, ~7,500 SPX units (~$5.7bn notional). Delta-one in option form.
What it does to the profile
Gamma, charm and vanna net to zero on the pair; the market maker side is +1 delta and gets hedged with futures. Nothing changes in the gamma / charm profile.
VS Pro options-order-flow feed (member capture) and participant positions by line, 10-minute snapshots. Firm accounts = the Cboe firm category, not one participant.
VS3D 0DTE market-maker position with the key levels box, posted in VS Pro 8:28 AM ET (17 Sep 2026). Spot 7,636.66 at the capture.
Into the day (Sep 15 close, own marks)
MM gamma -0.53bn per 1%, vanna +1.58bn per vol pt, vega -201mm
7500/7495P 14-16k at 10:20 AM; 7690/7685C 12.5k at 9:50 AM
Thursday morning
ES +1.85% off the Wednesday low; VIX 17.71 close → 15.60 (13:55 ET); SPX 7,635.77 intraday
volsignals.com/fomc-sep16 (market-maker frame). Modeling via VS3D / VolSignals; signed participant positions.
Context
Q2When you see something like this midday, what do you make of it? (12:10:25, SPXW 09/17 7700 put, 7,500 at 63.40, multi-leg, $47.55M)
Question 2 · Tagged after the 12:16 ask
The other leg is in the book: between the 12:10 and 12:20 position snapshots the Sep 17 7700 call moved -7,500 on firm accounts (+7,457 market makers) and the Sep 17 7700 put moved +7,500 on firm accounts (-7,512 market makers). Customer lines did not move.
Spot was 7,635 at the print, so the 7700 put at 63.40 is parity (intrinsic ~65, no time value) and the 7700 call is near zero. Same strike, same size, same expiry, put bought and call sold = a synthetic short at 7700, about 7,500 SPX units, roughly $5.7bn notional.
That is delta-one in option form. The gamma, charm and vanna of the pair net to zero, so it changes nothing in the profiles; the market-maker side carries the delta and hedges it with futures. It is the kind of line the FOMC-day page sets aside as a deep-ITM synthetic.
The chat read this morning was right: "it all depends on the other legs." With the other leg it is a financing / conversion-type trade, not a directional put buy, and not a resting bid under the market.
Q3Passive expected to the downside today?
Six expiring series together: required decay hedge over the week by spot level (ES; above zero = MMs buy). Tick marks = flip levels, bps from the noon spot with the SPX level below.
Expiring-series charm model on the 12:00 PM ET book: decay hedge per day by series (ES; + = MMs buy) and the settle line per expiration. Normal clock.
VS3D 0DTE market-maker position with the key levels box, posted in VS Pro 8:28 AM ET (17 Sep 2026). Spot 7,636.66 at the capture.
SPX 15-minute with the VolSignals positioning levels indicator, member capture 10:01 AM ET. Balance 7645 (weak), tests 7650 / 7680 up and 7610 / 7575 down.
S&P 500 (SPX) - last 3 monthslast 7636+1.11% d/d · 3-mo +2.9% · range 7316 - 7799
Daily closes, 2026-06-17 to 2026-09-16; last point = intraday 2026-09-17 (fetched 17 Sep 2026 ~13:55 ET). Source: Yahoo Finance.
Context
Q3Passive expected to the downside today?
Question 3 · VS Pro chat, 1:17 PM (untagged)
On the noon book, no: today's PM (0DTE) series decays +2,364 ES of buying into the close and its settle line at the bell is +9,207 ES. Across the six expiring series spot is inside the buy zone (7,599-7,787), at its lower edge.
The passive flow turns to selling only below about 7,599 (the -50 bps line); from there down to 7,388 the zone is a sell. That lines up with the levels: downside test 7610, cross it and balance sits at 7600, then 7575.
The 12:24 PM Loom is the frame: the market is tracking the gamma boundary, and the short-gamma maximum should line up with the eventual charm inflection, so boundary moments are trap-prone. Above 7,610 the drift is supportive; a clean break below is where it flips.
Q4Someone smart tell me why we are stuck to 35 like glue?
VS3D 0DTE market-maker position with the key levels box, posted in VS Pro 8:28 AM ET (17 Sep 2026). Spot 7,636.66 at the capture.
SPX 15-minute with the VolSignals positioning levels indicator, member capture 10:01 AM ET. Balance 7645 (weak), tests 7650 / 7680 up and 7610 / 7575 down.
27.15 at 7640 (spot 7,640.30); 29.70 at 7630 a minute earlier
10:28 AM
22.10 quoted in chat during the feed outage; VS3D about a dollar higher (updates on the 10-minute cycle)
Base day vol, noon marks
Thu PM 12.96 ATM, Fri AM 12.24, Fri PM 13.81, Mon 10.04, Tue 10.63, Wed 11.02. Base day vol 13.95%.
VS-Calculon !s readouts in VS Pro (ET) and the noon ATM marks. The Sep 17 straddle is the 0DTE; times are when a member asked.
Member capture 11:29 AM ET: the 0DTE straddle against spot. The flat spot line and the straddle spikes 10:12-11:20 are the quote-feed outage, not trading.
S&P 500 (SPX) - last 3 monthslast 7636+1.11% d/d · 3-mo +2.9% · range 7316 - 7799
Daily closes, 2026-06-17 to 2026-09-16; last point = intraday 2026-09-17 (fetched 17 Sep 2026 ~13:55 ET). Source: Yahoo Finance.
Context
Q4Someone smart tell me why we are stuck to 35 like glue?
Question 4 · VS Pro chat, 1:55 PM (untagged)
Today's 0DTE market-maker position is long around spot: the biggest long strike is 7,675 (~6,000), then 7,660, 7,730, 7,690, 7,705 and 7,600. The shorts are 7,725 / 7,700 (the sold call strikes above) and 7,610 / 7,650 / 7,665 (the sold put strikes below). Spot at 7,635 sits between the 7,610 short put and the 7,660 / 7,675 long strikes.
Whole book at noon: gamma +5.17bn per 1% at 7,637 including the 0DTE. Long gamma at spot means hedgers sell rallies and buy dips, which is what a 20-point range looks like after a 120-point round trip.
Balance for the day is 7645 (weak / unstable); the tests are 7650 then 7680 up, 7610 then 7575 down. The straddle was 26.75 at 9:23 AM, so the market priced a ~27-point day and has traded inside it.
What unpins it: a cross of 7650 (balance moves to 7675) or a cross of 7610 (balance 7600). Until then the passive flow (charm) is a buy and the gamma is long, so the pin is the base case.
Q5When you speak of "fed variance", what exactly is the term? (Others could not play the voice reply.)
"Whenever I say fed variance, all I mean is movement associated with the event. Whenever you see a kink in a term structure, what we call that in market making or vol trading is event variance or event volatility. The market understands there is some risk event. CPI has it, NFP has it, the election will have it."
"Options that expire right before it have no exposure to that. Options that expire after it have exposure to it, and the amount of exposure is greater the closer the expiration is to the event, after it and inclusive of it. So you see a decaying premium the farther out you move from the event. The zero-day option that covers the event is mostly driven by that one event."
"Once the event has happened, whatever the actual thing was, bullish, bearish, market loved it or hated it, the known unknown is gone and now it is a known known. That additional vol premium comes out of the surface. The term structure drops that premium right when it happens."
"The Fed is a little more difficult because it involves processing the speech and the Q&A. With CPI and NFP it is one and done. But the general idea is that the event has a premium associated with it, and when the event happens the premium comes out regardless."
Dan's voice message in VS Pro chat, 10:53 AM ET (transcribed; lightly trimmed).
VIX - last 3 monthslast 15.60-11.91% d/d · 3-mo -15.4% · range 14.25 - 20.66
Daily closes, 2026-06-17 to 2026-09-16; last point = intraday 2026-09-17 (fetched 17 Sep 2026 ~13:55 ET). Source: Yahoo Finance.
27.15 at 7640 (spot 7,640.30); 29.70 at 7630 a minute earlier
10:28 AM
22.10 quoted in chat during the feed outage; VS3D about a dollar higher (updates on the 10-minute cycle)
Base day vol, noon marks
Thu PM 12.96 ATM, Fri AM 12.24, Fri PM 13.81, Mon 10.04, Tue 10.63, Wed 11.02. Base day vol 13.95%.
VS-Calculon !s readouts in VS Pro (ET) and the noon ATM marks. The Sep 17 straddle is the 0DTE; times are when a member asked.
Context
Q5When you speak of "fed variance", what exactly is the term? (Others could not play the voice reply.)
Question 5 · VS Pro chat, 10:47 AM (untagged)
Event variance = the movement the market assigns to one known event at one known time. It shows up as a kink in the term structure: expiries before the event carry none of it, expiries just after carry most of it, and the premium decays the farther out you go.
When the event happens the known unknown becomes a known known and that premium comes out of the surface regardless of the outcome. The Fed is messier than CPI or NFP because the statement, the presser and the Q&A are processed over time rather than in one print.
This week: the Sep 16 series carried the FOMC premium; VIX 17.71 at the Wednesday close to 15.60 by Thursday afternoon, and the 0DTE straddle 41 pre-market to 27 by 9:23 AM as the event premium left.
Q6Why do you say he closed the trade if we can still see it in VS3D? Am I missing something?
VS3D 0DTE market-maker position with the key levels box, posted in VS Pro 8:28 AM ET (17 Sep 2026). Spot 7,636.66 at the capture.
Into the day (Sep 15 close, own marks)
MM gamma -0.53bn per 1%, vanna +1.58bn per vol pt, vega -201mm
7500/7495P 14-16k at 10:20 AM; 7690/7685C 12.5k at 9:50 AM
Thursday morning
ES +1.85% off the Wednesday low; VIX 17.71 close → 15.60 (13:55 ET); SPX 7,635.77 intraday
volsignals.com/fomc-sep16 (market-maker frame). Modeling via VS3D / VolSignals; signed participant positions.
Context
Q6Why do you say he closed the trade if we can still see it in VS3D? Am I missing something?
Question 6 · VS Pro chat, 11:10 AM (untagged)
VS3D shows the market-maker side of each line, built from signed participant flow. A customer selling a spread opens a position for the market maker (the MM is now long that spread), so it shows on the screen the moment it trades.
A "closed" call in chat refers to the customer's own trade. The MM position stays until the customer buys it back, another customer trades against it, or it expires. Selling to open and buying to close both print; only the net by participant moves.
Blue = market makers long the strike, gold = short. The dots are the prior settle. The 4:00 PM reset snaps the view to the next expiry.
Q7Presumably we now see a vanna-based feedback loop push spot to 7675 today and possibly 7750 tomorrow?
VIX - last 3 monthslast 15.60-11.91% d/d · 3-mo -15.4% · range 14.25 - 20.66
Daily closes, 2026-06-17 to 2026-09-16; last point = intraday 2026-09-17 (fetched 17 Sep 2026 ~13:55 ET). Source: Yahoo Finance.
Six expiring series together: required decay hedge over the week by spot level (ES; above zero = MMs buy). Tick marks = flip levels, bps from the noon spot with the SPX level below.
VS3D 0DTE market-maker position with the key levels box, posted in VS Pro 8:28 AM ET (17 Sep 2026). Spot 7,636.66 at the capture.
Into the day (Sep 15 close, own marks)
MM gamma -0.53bn per 1%, vanna +1.58bn per vol pt, vega -201mm
7500/7495P 14-16k at 10:20 AM; 7690/7685C 12.5k at 9:50 AM
Thursday morning
ES +1.85% off the Wednesday low; VIX 17.71 close → 15.60 (13:55 ET); SPX 7,635.77 intraday
volsignals.com/fomc-sep16 (market-maker frame). Modeling via VS3D / VolSignals; signed participant positions.
Context
Q7Presumably we now see a vanna-based feedback loop push spot to 7675 today and possibly 7750 tomorrow?
Question 7 · VS Pro chat, 7:55 AM (untagged, answered in chat)
The morning answer: possible, but it would have been more comfortable with vol coming off a 20 VIX. From 15.6 there is less vol to take out, so the vanna leg of the upside hypothesis has less fuel.
Whole-book vanna at the Sep 16 close: +1.44bn per vol point (market-maker frame). Each vol point lower is delta the hedgers buy, but the amount left between 15.6 and a summer-low vol is a fraction of what a 20-to-16 move would have given.
The charm side does the work instead: buy zone 7,599-7,787 on the six expiring series. 7,675 is the largest long 0DTE strike today and the Moderate upside balance; 7,750 on Friday runs into the sell lobe that starts at +196 bps (~7,787).
27.15 at 7640 (spot 7,640.30); 29.70 at 7630 a minute earlier
10:28 AM
22.10 quoted in chat during the feed outage; VS3D about a dollar higher (updates on the 10-minute cycle)
Base day vol, noon marks
Thu PM 12.96 ATM, Fri AM 12.24, Fri PM 13.81, Mon 10.04, Tue 10.63, Wed 11.02. Base day vol 13.95%.
VS-Calculon !s readouts in VS Pro (ET) and the noon ATM marks. The Sep 17 straddle is the 0DTE; times are when a member asked.
Member capture 11:29 AM ET: the 0DTE straddle against spot. The flat spot line and the straddle spikes 10:12-11:20 are the quote-feed outage, not trading.
VIX - last 3 monthslast 15.60-11.91% d/d · 3-mo -15.4% · range 14.25 - 20.66
Daily closes, 2026-06-17 to 2026-09-16; last point = intraday 2026-09-17 (fetched 17 Sep 2026 ~13:55 ET). Source: Yahoo Finance.
Context
Q826.75-point straddle? How is it even possible?
Question 8 · VS Pro chat, 9:23 AM (untagged)
At 9:23 AM the Sep 17 straddle at 7645 was 26.75, about 35 bps of spot. Pre-market it was 41.20 (2:39 AM) and 33.50 (6:44 AM): the event premium came out of the day overnight as ES retraced the whole post-FOMC drop.
A 0DTE straddle is a bet on the rest of the session only. With the Fed behind the market, no data today and vol offered (VIX 15.6), 27 points is what a quiet day is worth at these levels: the noon ATM mark on the Thursday PM series was 12.96 vol.
The 10:12-11:20 feed outage put a $22 straddle and a $10-low spot on screens; that was the quote provider, not the market. VS3D was about a dollar higher and updates on the 10-minute cycle.
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