Index vol & positioning intelligenceMarket-maker SPX positions in each 2026 monthly AM expiration, held at the Thursday close and followed from midnight to the Friday close, with the price path and the settlement print.
Pick a month. The AM series (SPX, settles 9:30 AM) and the PM series (SPXW, settles 4:00 PM) are held at the prior close and re-marked every ten minutes from midnight to the Friday close, with less time to expiry and implied vol held. The bands behind the price are the hedging flow from charm of the selected series at that moment, by price level: green where the hedge is being bought, red where it is being sold, darker where the flow is larger. A horizontal line is a pin, a level with buying below it and selling above it. The greek tabs drive the two lower charts and the tiles, which read at the marked price.
| Series | Open lines | Gross contracts | Gamma$bn per 1% | Charm$bn per day | Vanna$bn per vol pt | Delta · hedge$bn · ES | Vega$mm per vol pt | Largest linesmarket-maker net |
|---|---|---|---|---|---|---|---|---|
| Aug 21 AM · SPX | 965 | 1,140,882 | -$3.05bn | -$1.10bn | +$0.07bn | +$0.5bn · -1,260 ES | -$0mm | 8,800C +164,971, 8,600C -158,115, 7,000P +60,050, 7,000C -57,268, 8,000P -51,967 |
| Aug 21 PM · SPXW | 808 | 384,102 | -$0.43bn | +$0.04bn | +$0.02bn | -$2.5bn · +6,510 ES | +$0mm | 6,125P -48,576, 6,225P +48,389, 7,515P +11,974, 7,520P -10,774, 7,475P +8,171 |
| Aug 21 AM + PM | 1,773 | 1,524,984 | -$3.48bn | -$1.06bn | +$0.09bn | -$2.0bn · +5,240 ES | -$0mm | both series summed |
Market-maker frame. Gamma and hedge at the print are the AM series in its last ten minutes before settlement, read at the SET value. PM gamma at the print is the PM series at 9:30, read at the SET value.
| Expiration | Thu close | Overnight low / high | SET | SET minus closepts (%) | AM gammaclose / print, $bn per 1% | AM hedgeclose / print · change, ES | PM gamma at print$bn per 1% | Fri close | Fri close minus SET |
|---|---|---|---|---|---|---|---|---|---|
| Jan 16 | 6,944 | 6,952 / 6,969 | 6960.38 | +15.9 (+0.23%) | +$1.34bn / +$1.56bn | +14,170 ES / +12,600 ES · -1,570 ES | -$3.33bn | 6,940 | -20.4 |
| Feb 20 | 6,862 | 6,834 / 6,888 | 6840.59 | -21.3 (-0.31%) | -$0.15bn / -$0.71bn | +18,080 ES / +21,150 ES · +3,070 ES | -$1.35bn | 6,910 | +68.9 |
| Mar 20 | 6,606 | 6,539 / 6,621 | 6594.63 | -11.8 (-0.18%) | -$0.63bn / +$1.34bn | +6,500 ES / +6,940 ES · +440 ES | +$0.27bn | 6,507 | -87.9 |
| Apr 17 | 7,041 | 7,042 / 7,114 | 7085.86 | +44.8 (+0.64%) | -$2.68bn / +$1.85bn | +28,330 ES / +30,970 ES · +2,640 ES | +$0.97bn | 7,126 | +40.2 |
| May 15 | 7,501 | 7,407 / 7,500 | 7439.67 | -61.7 (-0.82%) | -$1.79bn / +$2.10bn | +340 ES / -1,670 ES · -2,010 ES | +$6.32bn | 7,409 | -31.2 |
| Jun 18 | 7,420 | 7,438 / 7,508 | 7508.43 | +88.3 (+1.19%) | +$0.56bn / -$0.03bn | +18,510 ES / +16,760 ES · -1,750 ES | -$0.31bn | 7,501 | -7.8 |
| Jul 17 | 7,534 | 7,405 / 7,534 | 7441.18 | -92.7 (-1.23%) | +$1.58bn / -$0.41bn | -3,310 ES / -240 ES · +3,070 ES | +$1.54bn | 7,458 | +16.5 |
| Aug 21 | 7,642 | 7,645 / 7,687 | 7687.93 | +46.3 (+0.61%) | -$2.52bn / +$2.74bn | -2,150 ES / +2,600 ES · +4,750 ES | +$3.50bn | 7,674 | -13.6 |
4 of 8 prints landed between the outermost gamma flips of the AM series at the Thursday close. The largest gap from close to print was Jul 17 at 93 points and the smallest was Mar 20 at 12 points.
At the Thu, Jan 15 close the AM series had +$1.34bn of gamma per 1% at 6,944, gamma flips at 6,761 / 6,967, and a delta hedge of +14,170 ES.
Overnight the synthetic traded between 6,952 and 6,969. The AM print was 6,960, 16 points above the close (+0.23%).
At the print the AM series had +$1.56bn of gamma and a hedge of +12,600 ES, -1,570 ES from the Thursday hedge. The PM series had -$3.33bn of gamma at the print and the session closed at 6,940.
At the Thu, Feb 19 close the AM series had -$0.15bn of gamma per 1% at 6,862, gamma flips at 6,604 / 6,868 / 6,908, and a delta hedge of +18,080 ES.
Overnight the synthetic traded between 6,834 and 6,888. The AM print was 6,841, 21 points below the close (-0.31%).
At the print the AM series had -$0.71bn of gamma and a hedge of +21,150 ES, +3,070 ES from the Thursday hedge. The PM series had -$1.35bn of gamma at the print and the session closed at 6,910.
At the Thu, Mar 19 close the AM series had -$0.63bn of gamma per 1% at 6,606, no gamma flip inside 5%, and a delta hedge of +6,500 ES.
Overnight the synthetic traded between 6,539 and 6,621. The AM print was 6,595, 12 points below the close (-0.18%).
At the print the AM series had +$1.34bn of gamma and a hedge of +6,940 ES, +440 ES from the Thursday hedge. The PM series had +$0.27bn of gamma at the print and the session closed at 6,507.
At the Thu, Apr 16 close the AM series had -$2.68bn of gamma per 1% at 7,041, gamma flips at 7,389, and a delta hedge of +28,330 ES.
Overnight the synthetic traded between 7,042 and 7,114. The AM print was 7,086, 45 points above the close (+0.64%).
At the print the AM series had +$1.85bn of gamma and a hedge of +30,970 ES, +2,640 ES from the Thursday hedge. The PM series had +$0.97bn of gamma at the print and the session closed at 7,126.
At the Thu, May 14 close the AM series had -$1.79bn of gamma per 1% at 7,501, gamma flips at 7,277 / 7,458 / 7,866, and a delta hedge of +340 ES.
Overnight the synthetic traded between 7,407 and 7,500. The AM print was 7,440, 62 points below the close (-0.82%).
At the print the AM series had +$2.10bn of gamma and a hedge of -1,670 ES, -2,010 ES from the Thursday hedge. The PM series had +$6.32bn of gamma at the print and the session closed at 7,409.
At the Wed, Jun 17 close the AM series had +$0.56bn of gamma per 1% at 7,420, gamma flips at 7,344 / 7,487, and a delta hedge of +18,510 ES.
Overnight the synthetic traded between 7,438 and 7,508. The AM print was 7,508, 88 points above the close (+1.19%).
At the print the AM series had -$0.03bn of gamma and a hedge of +16,760 ES, -1,750 ES from the Thursday hedge. The PM series had -$0.31bn of gamma at the print and the session closed at 7,501.
At the Thu, Jul 16 close the AM series had +$1.58bn of gamma per 1% at 7,534, gamma flips at 7,452 / 7,569, and a delta hedge of -3,310 ES.
Overnight the synthetic traded between 7,405 and 7,534. The AM print was 7,441, 93 points below the close (-1.23%).
At the print the AM series had -$0.41bn of gamma and a hedge of -240 ES, +3,070 ES from the Thursday hedge. The PM series had +$1.54bn of gamma at the print and the session closed at 7,458.
At the Thu, Aug 20 close the AM series had -$2.52bn of gamma per 1% at 7,642, gamma flips at 7,422 / 7,565 / 7,698 / 7,740, and a delta hedge of -2,150 ES.
Overnight the synthetic traded between 7,645 and 7,687. The AM print was 7,688, 46 points above the close (+0.61%).
At the print the AM series had +$2.74bn of gamma and a hedge of +2,600 ES, +4,750 ES from the Thursday hedge. The PM series had +$3.50bn of gamma at the print and the session closed at 7,674.
Index vol & positioning intelligence · built Sep 17, 2026 · Data via Cboe · Modeling via VS3D/VolSignals · volsignals.com · @VolSignals