SPX 0DTE for Thu 10/8, read at Wednesday's close
The 7800 call led with $24.7M, and none of the 8 biggest lines cleared this read's p99 (19.16x)
What this is:
One read of the SPX chain that expires Thursday 10/8, taken at 4:17 PM ET Wednesday (quotes stamped 4:14:59 PM), Robinhood, real-time volume, 3-minute delay. SPX closed at 7801.77; forward 7801.75. Strikes read: 7650 to 7950. Plus a hand read of what was added after hours, at 8:32–8:35 PM ET.
Unusual-activity check: volume ÷ open interest
The 99th percentile in this read is 19.16x, across 64 strike-and-side lines with volume of 1,000 or more. None of the 8 biggest lines by dollars (below) cleared it. Closest of those:
7790 call: 12.71x (4,690 vol / 369 OI)
7715 call: 11.88x (1,426 / 120)
7800 call: 10.94x (14,416 / 1,318)
Biggest lines by dollars traded (volume × mid × 100, rounded)
7800 call: $24.7M (14,416 vol / 1,318 OI)
7800 put: $13.0M (8,420 / 963)
7720 call: $13.0M (1,561 / 165)
7715 call: $12.5M (1,426 / 120)
7775 call: $11.7M (3,444 / 826)
7790 call: $10.8M (4,690 / 369)
7780 call: $9.8M (3,257 / 348)
7770 call: $8.5M (2,256 / 413)
After hours, 4:17 PM to 8:34 PM ET (hand read)
+1,554 calls and +1,214 puts; calls were 56% of the adds. Nine strikes that matched the close exactly are not counted. The forward was about 7796 by then, roughly 6 points under the close.
Biggest adds: 7850 call (+184), 7800 call (+171), 7790 put (+162), 7750 put (+158), 7785 put (+140).
Gamma:
Largest-gamma strikes, in order: 7800, 7825, 7830, 7780, 7820. The two sign conventions disagree on the net sign, so I'm not reading a direction off it.
Limits, so you can check me:
One read at the close plus one hand read after hours, not a full session view.
The 4:14:59 PM quotes are the last the feed gives until the next cash open; 3-minute delay.
Dollar figures include in-the-money value, so calls vs puts in dollars is not like-for-like.
The after-hours adds are a hand read of the web chain.
Explain it like I'm 5:
Options on tomorrow's SPX are like tickets on where the index finishes Thursday. A call ticket pays if SPX ends above its number; a put ticket pays if it ends below. Today the most money changed hands in tickets at 7800, right where SPX closed (7801.77): $24.7M on the 7800 call and $13.0M on the 7800 put. We also check whether any ticket got unusually busy, by comparing how many traded today with how many already existed. None of the 8 biggest crossed that bar. After the close, about 2,800 more tickets traded, a little more calls than puts, and the options were pricing SPX about 6 points under the close. This shows where the money traded. It does not tell you which way SPX goes next.
Not financial advice, just what I'm seeing in the flow. Which of these strikes are you watching into Thursday's open?