SPX Reaches Its 0DTE Gamma Walls on Three of Every Four Trading Days

Each trading day, the SPX options expiring that same session create a dealer gamma map.

Net gamma at each strike is calculated by combining call and put gamma. Two levels stand out from this map: the strike with the largest positive net gamma, known as the call wall, and the strike with the most negative net gamma, known as the put wall.

We wanted to answer a simpler question: how often does the S&P 500 actually reach them during the session?

We analyzed all 90 trading days from February 27 through July 8, 2026. Each day’s walls were calculated using only that session’s expiring contracts. Because the gamma map is built from open interest established overnight, both wall levels are known before the open.

A touch was recorded when the regular-session high reached the call wall or the regular-session low reached the put wall.

These were never trivial distances. On the average day the call wall sat 0.74% above the prior close and the put wall sat 0.82% below it, so a touch required a real intraday push.

SPX reached its call wall on 41 of the 90 days (45.6%) and its put wall on 39 days (43.3%).

When counting either side, at least one wall was touched on 69 days, or 76.7% of the sample.

Reaching both walls on the same day was uncommon, occurring on just 11 days (12.2%), while 21 days (23.3%) saw price remain between the two levels for the entire session.

This means that on roughly three out of every four trading days, the session’s range extended to at least one of the gamma walls identified from the prior night’s options positioning. These figures represent the unconditional base rate before applying any filters such as opening direction.

Results Split by Green or Red Open

When the 90 days are split by the direction of the opening print, the results shift noticeably. There were 50 days on which SPX opened above the prior close and 40 days on which it opened below. No sessions opened flat.

The mirror is almost perfect. Open green, and the call wall was touched 62.0% of the time while the put wall was reached on only 28.0% of those days. Open red, and the numbers flip: the put wall was hit 62.5% of the time and the call wall just 25.0%.

What the open does not change is whether any wall gets reached at all: 76.0% on green opens, 77.5% on red opens, both right on the overall base rate. The open picked the target while the odds of reaching some target held steady.

Part of this is mechanical. A green open starts the session closer to the call wall, so less ground remains to cover. But that is also what makes the split usable: by 9:30 you know which wall is the live one. Historically the wall on the side of the opening gap was reached about 62% of the time, while the far wall dropped to roughly a quarter.

Most Wall Touches Occur in the First Hour

The distribution is heavily front-loaded. Of the 80 total wall touches across the 90 days (41 call-wall and 39 put-wall touches), 46 made first contact between 9:30 and 10:30 a.m. That accounts for 57.5% of all touches in the study.

Put-wall touches occurred earlier than call-wall touches. In the first hour, 64.1% of put-wall touches took place, compared with 51.2% of call-wall touches. By 12:30 p.m., 83.8% of all eventual wall touches for the day had already occurred. The afternoon contributed very little: only 3.7% of first touches happened after 2:30 p.m., and just one touch in the entire study first occurred in the final half hour.

This narrows the practical window considerably. If a wall has not been reached by lunch, the historical record suggests it is unlikely to happen later as fewer than one in six first touches occurred after 12:30 p.m.

The Full 90-Day Log