Index vol & positioning intelligenceThe market-maker SPX position at the Fri, Nov 13 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 7,562, the market-maker position reads gamma -$0.19bn per 1%, charm -$0.46bn per day, vanna +$1.52bn per vol point and vega -$236mm per vol point.
The 46-90 day tenor holds the most gamma (-$3.00bn). The Nov 16 expiry alone holds +$0.47bn at that level. With the Nov 16 expiry settled and no change in SPX or implied vol, gamma is -$1.94bn. Gamma crosses zero at 7,570 and 7,880 at the close.
The 181-365 day tenor holds the most vanna (+$0.93bn). The 181-365 day tenor holds the most vega (-$104mm).
The position has 34,241 open lines across 7 tenors. 412 of them expire Nov 16.
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, Nov 20. 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.
The Fri, Nov 13 close position, aged one session at a time with implied vol held. Each session's line is the futures hedge that session's time decay requires at every SPX level. The heavy line adds the sessions up. Above zero market makers buy futures; below zero they sell.
At the close level the decay hedge for the week is +15,735 ES, so market makers buy 15,735 ES over five sessions. That is a larger purchase than in 88% of the 116 weeks in the last two years of proprietary data. Between 7,504 and 7,759 the required hedge is a purchase; outside that range it changes sign. The settlement of each day's expiring options is a separate hedge of -37,767 ES across the week (heaviest Fri, -22,433 ES), so the total with decay is -22,032 ES.
| Session | Decay, ES | Expiring options, ES | Total, ES | Decay so far, ES |
|---|---|---|---|---|
| Mon, Nov 16 | +3,454 | -2,238 | +1,215 | +3,454 |
| Tue, Nov 17 | +1,336 | -3,465 | -2,128 | +4,790 |
| Wed, Nov 18 | +1,717 | -7,189 | -5,472 | +6,507 |
| Thu, Nov 19 | +3,686 | -2,442 | +1,244 | +10,193 |
| Fri, Nov 20 | +5,542 | -22,433 | -16,891 | +15,735 |
| The week | +15,735 | -37,767 | -22,032 |
Monday's figure covers three calendar days from Friday's close, and part of it is priced on Friday afternoon. The position is fixed at the Fri, Nov 13 close: trades during the week change it, and the implied vol of every line is held. Figures are model estimates, not a forecast of the market's direction.
VIX options settle on Wednesday mornings. These are the positions in the expirations that settle over the next two weeks and in the Tue, Nov 24 monthly, at the Fri, Nov 13 close, when VIX closed at 18.90. Dealers here are market makers, broker-dealers and firm accounts added together, and customers hold the other side of every line. Most of the size is in the Wed, Nov 18 expiration.
Dealers are net short 296k calls and net long 134k puts. The largest lines are 18 calls -127k, 31 calls -113k, 17.5 puts +93.8k, 18 puts +79.7k, 15 puts +75.6k.
| Group | Calls | Puts |
|---|---|---|
| Market makers | -282k | -54.5k |
| Broker-dealers | -2.2k | +4.3k |
| Firm accounts | -11.4k | +184k |
| Dealers, all three | -296k | +134k |
Dealers are net short 12.6k calls and net short 28.7k puts. The largest lines are 17 puts -22.7k, 22 calls -7.9k, 80 calls -2.8k, 15 puts -2.3k, 32 calls +1.9k.
| Group | Calls | Puts |
|---|---|---|
| Market makers | -12.6k | -43.7k |
| Broker-dealers | +1 | -1 |
| Firm accounts | 0 | +15.0k |
| Dealers, all three | -12.6k | -28.7k |
Net contracts by strike at the Fri, Nov 13 16:00 ET positions mark. Strikes with a small net position are left off each chart and are in the totals. The position is the net of trading over the last two years of proprietary data, so a line opened before that is outside it.
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 · Nov 13, 2026 close · Data via Cboe · Modeling via VS3D/VolSignals · volsignals.com · @VolSignals · Informational only, not investment advice