SPY paper session
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Spot, VWAP, bands, and 0DTE walls
Dollars. Clock labels are Eastern. Candles are the session's one-minute history from Schwab, replaced each minute, with the latest spot written into the current bar. The dotted purple lines are the 1σ move still left in the session, spot × ATM IV × sqrt(minutes left / (390 × 252)), centered on VWAP. They move toward VWAP as the session runs out. A secondary wall is dashed in the wall's own color, and only drawn when its dollar gamma is at least 80% of the primary.
Cumulative delta flow
Share-delta, in millions.
At-the-money implied volatility
Percent.
Net GEX
Gamma × open interest × 100 × spot. Total adds the 0–1 DTE book to the 30–90 DTE book. Volume GEX uses session volume in place of open interest on the 0DTE book.
Paper balances
Realized profit versus each balance at the session open. The line steps when a position closes. A flat line at zero means no fills.