Gamma Guy with Brent Kochuba — watch on tastylive.
Brent Kochuba, founder of SpotGamma, broke down September OPEX positioning, 0DTE flows and cheap IWM hedges on tastylive Tuesday, September 8.
Multiple market catalyst land inside the next ten days, and index volatility is priced near the bottom of its one-year range. Brent Kochuba, founder of SpotGamma, walked through mid-September positioning on tastylive on Tuesday, September 8. The index appears nailed to a cushion beneath while single-name tech stocks begin to move.
0DTE Flow Drives the Intraday Noise
No data print and no major earnings landed on Tuesday morning, so the 0DTE crowd traded in size. A short put spread at 7645/7650 in SPX grew to a 10,000 lot through the 10:00 window, while a second group sold a ten-handle version down to 7640. As the index slid, sellers rolled the long leg down to 7640 to squeeze more credit from the position. That roll shifts several thousand deltas instantly, and HIRO showed the delta line drop with the S&P moving in step. While this may read like macro fear, it really represents options flow influencing the market behind the scenes. Roughly 76% of SPX volume now trades at zero days to expiration, and about 80% of SPX and QQQ flow carries a tenor of five days or less.
A Gamma Cushion Holds Into September 18
Excluding 0DTE, dealer gamma shows a band of positive gamma tied to the September 18 quarterly expiration, sitting right where the S&P has been turning. Positive gamma means dealers buy dips and sell rallies, so hedging leans against the move and absorbs downside. That cushion does not fade until the monthly OPEX clears. Above it the gamma landscape thins: a gap toward 7,900, then a runway of negative gamma up to roughly 8,000, where hedging amplifies a move rather than damping it.
Nobody Wants Calls (or Puts) in IWM
IWM implied volatility carries an IV rank of 0.7 — cheaper than almost any point in the past year, even though the index fell 1.5% since Jackson Hole and trails the Nasdaq proxy by about 2.5 points. The S&P IV rank measures 3. Nobody is paying up for protection into CPI, the FOMC decision on September 16, and quarterly expiration. Call skew percentile in IWM reads 30, while the 25-delta put ranks at the 86th percentile against the at-the-money put. In IWM, traders are not reaching for downside, and they have stopped reaching for upside as well.
Dispersion Favors Single Names Over the Index
Semiconductor and AI volatility collapsed with those names in July, and dispersion has crept back toward its mean since. Dispersion widens when traders buy idiosyncratic calls rather than index calls — a memory name, a hyperscaler, a semi — because component volatility then outruns index volatility. Apple carries a risk reversal in the 91st percentile into its product event, so call skew there is already rich. Across the top single names, positioning leans long and waits for permission. Brent framed the trade as long November tech calls against IWM or SPY put spreads, with fixed risk if tech does not cooperate.
What Would Change the Read?
We encourage traders to watch two things into next week. First, track whether the positive gamma band under spot survives the September 18 expiration; once it rolls off, little in the gamma heatmap shown above would be likely to slow price action. Second, watch for forward implied volatility, which prices event bumps at CPI, at the FOMC decision, and again at the midterms. Forward vol sitting above the term structure suggests implied volatility has little room to drift lower from here. If those events pass without a shock, that event premium bleeds out — the vanna effect — and lends the market a lift. If the cushion gives way instead, the read breaks.
Watch the full segment on tastylive.
Brent Kochuba founded SpotGamma and contributes to tastylive. He was previously a portfolio manager at Seven North Capital Management, building options-based strategies, and a derivatives broker at Wolverine Execution, Credit Suisse and Bank of America.
Gamma Guy with Brent Kochuba runs Tuesdays at 10:00 a.m. CT on tastylive.