Index vol & positioning intelligenceThe market-maker SPX position at the Tue, Sep 29 close, split by days to expiry. The position is fixed at that close. Three sliders set the time, the implied vol and the SPX level.
Pick a greek. The fill splits it into seven tenors by days to expiry. The ink line is the sum of the tenors switched on, and the dashed line is the same selection at the close. Set the time, the implied vol and the SPX level below.
At SPX 7,671, the market-maker position reads gamma +$3.63bn per 1%, charm -$5mm per day, vanna +$0.65bn per vol point and vega -$201mm per vol point.
The 1-7 day tenor holds the most gamma (+$4.26bn). The Sep 30 expiry alone holds +$4.22bn at that level. With the Sep 30 expiry settled and no change in SPX or implied vol, gamma is -$0.64bn. Gamma crosses zero at 7,447 and 7,942 at the close.
The 181-365 day tenor holds the most vanna (+$0.82bn). The 365+ day tenor holds the most vega (-$74mm).
The position has 32,296 open lines across 7 tenors. 891 of them expire Sep 30.
Positive gamma means market makers sell futures as SPX rises and buy as it falls. Negative gamma is the reverse.
Positive charm means the position gains delta as time passes, so market makers have futures to sell. Negative charm means they have futures to buy.
Positive vanna means the position gains delta as implied vol rises, so market makers have futures to sell on a vol-up move and futures to buy on a vol-down move.
Negative vega means market makers are short options on net at that level.
Every line keeps its implied vol and loses time to expiry. The first session after the close moves in half-hour steps from 9:30 AM to 4:00 PM. After that, each step is one session close, through Fri, Oct 16. A line drops out at its own settlement.
The slider adds the same number of vol points to every line, from -4 to +8. It is a parallel shift of the close surface. No line goes below 2 vol.
The level runs from 6% below to 6% above the close. The tiles and the table read at that level. Each line keeps its own implied vol as the level moves.
This page is provided for informational and educational purposes only. It is impersonal, is not tailored to the circumstances of any recipient, and does not constitute investment, financial, legal, tax or accounting advice, nor a recommendation, offer or solicitation to buy or sell any security, option, futures contract or other instrument, or to pursue any strategy.
Positions, marks and derived greeks are model-based estimates built from third-party data believed reliable but not guaranteed. Profiles are Black-Scholes re-marks of the market-maker category's net position (or market makers plus firm accounts, as toggled) on the close's quote surface, sticky strike. Time is aged on the calendar with implied vol held, and the vol slider is a parallel shift. These are scenarios on a fixed position; trades after the close change the position. Position codes are self-reported by the submitting firm. Errors and omissions are possible and figures may be revised without notice.
The market-maker position is the category's cumulative net position over the last two years of proprietary data, so it is a cumulative view of trading over that period and not a dealer inventory, and positions opened before it are outside it.
Options involve substantial risk and are not suitable for all investors. Past patterns do not guarantee future results. Consult your own licensed financial advisor before making any investment decision.
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Index vol & positioning intelligence · Sep 29, 2026 close · Data via Cboe · Modeling via VS3D/VolSignals · volsignals.com · @VolSignals · Informational only, not investment advice