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IV Regime1/25

VIX14.4

Percentile—

Term StructureNormal contango — short-term IV < long-term IV

VIX1D / VIX0.71

RegimeDepressed

→VIX HISTORICALLY LOW

VIX at 3th percentile — IV historically cheap. Consider buying vol or tighter spreads (less credit to collect).

Market Structure / GEX6/25

Net GEX$80M

Gamma Regimepositive_gamma

Dealer Positionlong_gamma

7,800 Call Wall / Abs Gamma

▲ 88 pts (1.1%)

88 pts

7,711.76 SPX Spot

12 pts

7,700 Put Wall

▼ 12 pts (0.2%)

32 pts

7,668 Gamma Flip

▼ 44 pts (0.6%)

68 pts

7,600 HVL

▼ 112 pts (1.4%)

0DTE

Net GEX 0DTE$-56M

RegimeBelow VT

7,730 Call Wall

▲ 18 pts (0.2%)

18 pts

7,711.76 SPX Spot

2 pts

7,710 Put Wall

▼ 2 pts (0.0%)

3 pts

7,707 Gamma Flip

▼ 4 pts (0.1%)

7 pts

7,700 HVL

▼ 12 pts (0.2%)

Options Flow5/25

P/C Ratio0.00

Net Delta-526,572

Directionstrongly_bearish

Unusual Volume0 strikes

Block Trades0

Sweeps0

Total Alerts0

Portfolio Exposure3/25

Positions8

Delta13.8

Gamma-7.58

Theta12.7

Vega-13.8

VaR (95%)$87,884 (4394202.5% of BP)

Worst Stress$0 —

⚠ 1 risk limit breach(es)

Strategy Recommendation

PS 30Δ 20w

Sharpe 0.25 Win Rate 97% Avg P/L $61

Best risk-adjusted return in depressed regime: Sharpe 0.250, Win rate 97%, Avg P/L $+61

Alternatives: PS_30d_30w (Sharpe 0.20), PS_20d_30w (Sharpe 0.18)

Key Risks & Actions

1 risk limit breach(es)

→ Review position sizing immediately, reduce to within limits

VaR at 4394202.5% of buying power — high portfolio risk

→ Close weakest positions, reduce delta, or add hedges

SPX within 0.6% of gamma_flip — pin risk

→ Watch for breakout/rejection at this level, size down near pins