The 0DTE Playbook
Figures

Figures from the book

All twenty-five figures, by chapter. Each is drawn in the book’s print style: line weights and dashes carry the meaning, so they read the same on paper and on screen.

Chapter 2 · Gamma Exposure

Figure 2.1—The gamma curveGamma magnitude as a function of strike distance from at-the-money. The 0DTE curve produces a sharp, narrow peak at ATM. The 30DTE curve is broader and lower. Gamma peaks at the money and collapses in both directions, with the rate of collapse controlled by time to expiration.ATMOTM putOTM callGammaStrike distance from ATM0DTE30DTEThe gamma curve
FIGURE 2.1The gamma curve
Figure 2.2—Dealer hedging mechanics: long gamma versus short gammaTwo-panel comparison of dealer hedging behavior. Dealers long gamma: counter-trend flow dampens moves; dealers buy as price falls and sell as it rises, so hedging sells rallies and buys dips. Dealers short gamma: pro-trend flow amplifies moves; dealers buy into the rally (arrows up and to the right, along the rising legs), so hedging buys rallies and sells dips. Dealer position determines whether intraday flow stabilizes or destabilizes price.Dealers long gammaCounter-trend flow—dampens movesdealers buydealers selldealers buydealers buy into the rallyHedging sells rallies, buys dips.Dealers short gammaPro-trend flow—amplifies movesHedging buys rallies, sells dips.Dealer hedging mechanics: long gamma versus short gamma
FIGURE 2.2Dealer hedging mechanics: long gamma versus short gamma
Figure 2.3—The gamma flip as a computed crossingNet dealer gamma exposure by strike, volume-weighted: negative below the flip, positive above it, and fading toward zero in both tails. GF, the Gamma Flip, marks the operative zero-crossing: a single computed value that the framework treats as an estimate and confirms with closes rather than touches.0GF(Gamma Flip)Positive gammaDealers long gammaNegative gammaDealers short gammaOperative zero-crossing in the strike-by-strike data: an estimate, confirmed by closes, not touchesNet GEX by strike (volume-weighted)StrikeThe gamma flip as a computed crossing
FIGURE 2.3The gamma flip as a computed crossing

Chapter 4 · Your Data Sources

Figure 4.1—Reading the levels from the CSVThe 20 strikes inside spot ± 50 points from an illustrative current-expiration, volume-weighted gamma exposure export, with call, put, net, and total columns. Spot is 6,602. The net column changes sign between 6,600 and 6,595, which places GF near 6,597; PN is the largest total absolute gamma (6,600); CW is the largest call gamma above spot (6,630); PW is the largest put gamma at or below spot (6,580).Reading the levels from the CSVIllustrative rows · every strike inside spot ± 50 points · current expiration · volume-weighted · gamma exposure in $MStrikeCall GEXPut GEXNet GEX|Call| + |Put|6,65030−5+25356,64540−5+35456,640110−8+1021186,63550−8+42586,630180−10+1701906,625130−12+1181426,620100−15+851156,61540−18+22586,61090−25+651156,60540−30+10706,600150−120+302706,59550−70−201206,59030−90−601206,58520−160−1401806,58015−220−2052356,57510−50−40606,5708−115−1071236,5655−45−40506,5604−25−21296,5553−15−1218Spot 6,602PN 6,600GF ≈ 6,597CW 6,630PW 6,580GF: net changes sign between 6,600 and 6,595. PN: largest |call| + |put|. CW: largest call above spot. PW: largest put at or below spot.
FIGURE 4.1Reading the levels from the CSV

Chapter 7 · Parsing the Structure

Figure 7.1—The magnitude reads: EM, RM, Consumption RatioWorked-example session diagram, drawn to one price scale, showing the three magnitude reads. EM = 38 points, the distance from the open to EM+ (and to EM−), forecasts the envelope; the session high prints 10 points above the open and the session low 8 points below it; RM is the session high minus the session low; Consumption Ratio is RM divided by EM. Structure says where; volatility says when; magnitude says whether.EM+ (open + 38)EM− (open − 38)OpenSession highSession lowRM = 18 (Realized Move)EM = 38(open to EM+ or EM−)Consumption Ratio = RM / EM = 18 / 38 = 47%Under 50%: confirms only with a named structural read. Envelope intact.Time of daySPX priceThe magnitude reads: EM, RM, Consumption Ratio
FIGURE 7.1The magnitude reads: EM, RM, Consumption Ratio
Figure 7.2—The complete GEX level mapAll ten GEX structural levels and the two expected-move boundaries in a typical relationship along the SPX price axis, top to bottom: CW beyond EM+; DT, RT, and RB above the flip; PN and GF; ST, SB, PW, and DB below, with PW just inside EM−; EM− at the bottom. DT and DB sit inside the expected-move band. Stroke conventions follow the chart layer: GF solid and heaviest, PN solid and heavy, the zones (resistance, support, and danger) solid, the walls dashed, and the expected-move bounds gray dashed.SPX priceCWCall WallEM+Expected Move UpperDTDanger TopRTResistance TopRBResistance BottomPNPinGFGamma FlipSTSupport TopSBSupport BottomPWPut WallDBDanger BottomEM−Expected Move LowerResistanceFlip & PinSupportFlip (heaviest solid)Pin (heavy solid)Resistance, support (solid)Danger Zone (gray solid)Walls (dashed)Expected Move (gray dashed)The complete GEX level map
FIGURE 7.2The complete GEX level map

Chapter 8 · Regime Identification

Figure 8.1—The two regimesTwo-panel comparison of the framework’s binary regime model. Dealer Gamma Long, above GF: ranges tend to hold; credit structures are the default. Dealer Gamma Short, below GF: moves tend to extend; the default is to stand down, with a debit spread only on confirmed continuation. There is no third regime.Dealer Gamma LongAbove GF—credit structures by defaultGFRanges tend to hold.Dealer Gamma ShortBelow GF—stand down;debit only on confirmed continuationGFMoves tend to extend.The two regimes
FIGURE 8.1The two regimes
Figure 8.2—After the cross: the fresh-print gateThree-stage vertical sequence. Stage one: price crosses GF and the regime flips at once. Stage two: the structural map is in transition; no new entries, credit or debit, and open positions run on the hardened stops. Stage three: a fresh GEX print, one whose data state is after the cross (with the 15-minute data delay, the print itself arrives no earlier than 15 minutes after the cross; the data state need only follow the cross), shows the dominant nodes re-formed on the new side of GF, and the map is trusted again. The same gate applies to an unsettled flip at the open, when the CSV crossing and the panel’s smoothed value differ by more than 10 points.After the cross: the fresh-print gate1. GF crossedThe regime flips at onceThree consecutive 1-minute closes through GF2. Map in transitionNo new entries, credit or debitOpen positions run on the hardened stopsRegime is settled. Structure is not.3. Fresh GEX printData state after the cross;print arrives 15+ minutes after the crossDominant nodes re-formed on the new sideMap trusted again; ordinary rules applyThe same gate covers an unsettled flip at the open,when the CSV crossing and the panel’s smoothed value differ by more than 10 points.
FIGURE 8.2After the cross: the fresh-print gate

Chapter 11 · The Six Trading Prompts

Figure 11.1—An abridged Premarket Setup replyAn abridged, illustrative reply to Prompt 1, built from the Figure 4.1 rows: the regime line; the level table with strike and basis for all ten levels and the concentrated or distributed reading of each side’s node; and the notes paragraph covering the 20% test, the GF-to-PN check, substitutions, the pre-EM band, and the CSV’s freshness. The complete GEX Suite code that follows the table in a real reply is omitted.An abridged Premarket Setup replyIllustrative · levels from the Figure 4.1 rows · the GEX Suite code that follows is omittedExpected regime: Dealer Gamma Long—SPX 6,602 above GF; no Tier 1 or Tier 2 print.LevelStrikeBasisNode (20% test)GF6,597net-gamma sign change nearest spotPN6,600largest total absolute gammaRB6,610first call concentration above PNRT6,630heaviest call concentration in the belt, run 6,620–6,630ST6,580dominant put cluster below GF, run 6,580–6,585SB6,570next put cluster below ST, ≥ ¼ of STDT6,640outermost strike above RT, ≥ ¼ of RTDB6,565outermost strike below SB, ≥ ¼ of SBCW6,630largest call gamma above spotdistributed, 9%PW6,580largest put gamma at or below spotdistributed, 11%Notes: Contested map (Ch. 7): RT and CW coincide; GF within 25 points of PN.The call node, CW 6,630, holds 190 of the band’s 2,151 in absolute gamma (about 9%); the put node, PW 6,580,holds 235 (about 11%). Both sides are distributed, so neither is markedly stronger, and short calls still clear CW byat least 10 points. RT and CW share 6,630, and ST and PW share 6,580. GF sits 3 points below PN: pin confidencedegrades from 1:00 PM. No substitutions. EM not yet set: showEM off; every level search and the 20% testuse spot ± 50 points (6,552–6,652) until the open, when closes confirm the regime.CSV footer 7:42 AM CT (8:42 AM ET); data state: prior session’s settled close.
FIGURE 11.1An abridged Premarket Setup reply

Chapter 12 · The Chart Layer

Figure 12.1—The chart layerA schematic of the GEX Suite on a 1-minute SPX chart, with the levels from the Figure 4.1 rows re-confirmed at the open against an EM of 40 points: a dark chart pane with the line styles and widths the Suite draws (Suite colors shown as grays): GF solid white at width 3, the heaviest; PN solid at width 2; the zones (DT, RT, RB, ST, SB, DB) solid at width 1; dashed lines at width 1 for the walls (CW with RT, PW with ST), the expected-move band, and the intraday high and low (HOD 6,608, LOD 6,601, with the session opening at 6,602); and the Level Key in the corner, listing each line by code, name, and price from highest to lowest, HOD and LOD included. Illustrative, not a screenshot.The chart layerIllustrative · levels from the Figure 4.1 rows, re-confirmed at the open against EM 40 (6,562–6,642)EM+ 6,642DT 6,640RT · CW 6,630RB 6,610PN 6,600GF 6,597ST · PW 6,580SB 6,570DB 6,565EM− 6,562HODLODLevelPriceEM+Expected Move Upper6,642DTDanger Top6,640RTResistance Top6,630CWCall Wall6,630RBResistance Bottom6,610HODHigh of Day6,608LODLow of Day6,601PNPin6,600GFGamma Flip6,597STSupport Top6,580PWPut Wall6,580SBSupport Bottom6,570DBDanger Bottom6,565EM−Expected Move Lower6,562Schematic, not a screenshot: one Pine Script indicator draws the levels, the EM band, and HOD/LOD; the Level Key names them.
FIGURE 12.1The chart layer

Chapter 15 · Structure Selection

Figure 15.1—The regime decision treeTop-down decision tree showing how the framework selects a structure expression from the regime read. Branch A (GF held) leads to credit structures; Branch B (GF broken) defaults to standing down, with debit structures only on confirmed continuation. No clean hold on either side of GF routes to no entry.Regime read?Where is price versus GF?Branch AGF heldDGLNo clean holdPaused at rootNo entryBranch BGF brokenDGSCredit structuresIron condorBull putBear callDefault: stand downDebit structures(Confirmed continuation required)Bull callBear putThe regime narrows the menu before any other decision is made.The regime decision tree
FIGURE 15.1The regime decision tree
Figure 15.2—Iron condor profit and loss at expirationTrapezoidal P&L curve flat at maximum profit between the short strikes, sloping through breakevens to flat maximum loss outside both wings. Max profit equals credit collected; max loss equals wing width minus credit collected. Drawn with the credit at about a quarter of the wing, inside the credit band (under a third), so max loss is about three times max profit and each breakeven sits a quarter of the wing beyond its short strike, toward its long strike.0Long putShort putShort callLong callMax profit(credit)Max loss(wing − credit)BreakevenBreakevenSPX at expirationP&LIron condor profit and loss at expiration
FIGURE 15.2Iron condor profit and loss at expiration
Figure 15.3—Strike placement against the GEX level mapIron condor strikes overlaid on the vertical level map. The short call sits above CW and clears it by at least 10 points; the short put sits just below ST, never at it. Both wings are the same width. The walls are drawn dashed and the zones solid, with GF heaviest and PN next. Illustrative levels.CWRTRBPNGFSTSBPWShort callLong callWing widthShort putLong putWing widthClearance ≥ 10 points to CWShort put just beyond ST, never at itStrike placement against the GEX level map
FIGURE 15.3Strike placement against the GEX level map
Figure 15.4—Bull put vertical profit and loss at expirationHockey-stick P&L curve flat at max loss below the long put, sloping up through breakeven to flat max profit above the short put. Credit setup placed against a support level in Dealer Gamma Long. Drawn with the credit at about a quarter of the wing, inside the credit band (under a third), so max loss (wing minus credit) is about three times max profit (the credit) and the breakeven sits a quarter of the wing below the short put.0Long putShort putMax profit(credit)Max loss(wing − credit)BreakevenSPX at expirationP&LBull put vertical profit and loss at expiration
FIGURE 15.4Bull put vertical profit and loss at expiration
Figure 15.5—Bear call vertical profit and loss at expirationMirror of the bull put: flat max profit below the short call, sloping down through breakeven to flat max loss above the long call. Credit setup placed against a resistance level in Dealer Gamma Long. Drawn with the credit at about a quarter of the wing, inside the credit band (under a third), so max loss (wing minus credit) is about three times max profit (the credit) and the breakeven sits a quarter of the wing above the short call.0Long callShort callMax profit(credit)Max loss(wing − credit)BreakevenSPX at expirationP&LBear call vertical profit and loss at expiration
FIGURE 15.5Bear call vertical profit and loss at expiration
Figure 15.6—Bull call debit spread profit and loss at expirationHockey-stick P&L flat at max loss equal to debit paid below the long call, sloping up through breakeven to flat max profit above the short call. Narrow-exception upside expression in Dealer Gamma Short with confirmed continuation.0Long callShort callMax profit(wing − debit)Max loss(debit paid)BreakevenSPX at expirationP&LBull call debit spread profit and loss at expiration
FIGURE 15.6Bull call debit spread profit and loss at expiration
Figure 15.7—Bear put debit spread profit and loss at expirationMirror of the bull call debit: max profit below the short put, sloping down through breakeven to max loss equal to debit paid above the long put. Narrow-exception downside expression in Dealer Gamma Short with confirmed continuation.0Long putShort putMax profit(wing − debit)Max loss(debit paid)BreakevenSPX at expirationP&LBear put debit spread profit and loss at expiration
FIGURE 15.7Bear put debit spread profit and loss at expiration

Chapter 16 · The Three-Signal Entry Rule

Figure 16.1—The three signals as sequential gatesHorizontal flow diagram of the framework’s three-signal entry rule as three sequential gates. All three gates must clear at the moment of entry: GF held, ATR(5) compression, EM consumption. Failure at any gate produces no trade.Gate 1GF heldRegimeGate 2ATR(5) compressionVolatilityGate 3EM consumptionMagnitudeENTRYNO TRADEAny failure at any gate. The default is no trade.All three gates must clear at the moment of entry. Skipping any gate is undisciplined.The three signals as sequential gates
FIGURE 16.1The three signals as sequential gates
Figure 16.2—ATR(5) compression at a named GEX levelTwo-panel time series showing Signal 2 in operation. Upper panel: SPX price approaching a named level from below, outside the shaded band 5 points either side of it, then spiking into the band; every close in the compression window stays inside it. Lower panel: ATR(5) drifting lower through the approach swings, rising with the spike into the level to its highest reading and rolling over at it; the compression window opens at the rollover, and from the window’s first bar, for at least ten consecutive 1-minute bars, ATR(5) never rises above its first-bar value (the spike, the rollover, and the compression that follows). Compression is volatility confirmation that price has stopped moving at structure.≥ 10 bars compressionNamed level (e.g., RT)—every close within 5 points (shaded)SPXpriceNever above first-bar ATR(5)ATR(5)Time (1-minute bars)ATR(5) compression at a named GEX level
FIGURE 16.2ATR(5) compression at a named GEX level

Chapter 17 · The Fade Entry Variant

Figure 17.1—The second-test ruleTime-series schematic of the fade-variant entry timing. The first approach tests the resistance level and rejects (no entry); price pulls back; the second approach, in progress at the level, is the entry window. The second test resolves with price falling away under the level, which closes the window; a later third approach to the level is not authorized. Not on first. Not after second resolves. Not on third.Resistance level1st testReject(no entry)2nd test—entry window2nd test resolves—window closed3rd approach:not authorizedNot on first. Not after second resolves. Not on third.The second-test rule
FIGURE 17.1The second-test rule
Figure 17.2—Test versus sweep versus breakThree-panel comparison distinguishing the operationally different ways price interacts with a level. Test: clean reject, level holds. Sweep: wick through, or one or two closes through, then return, false break. Break: three consecutive 1-minute closes through, level fails.TestClean rejectLevel holdsSweepwickWick or 1–2 closes + returnLevel holdsBreak3 closesThree consecutive 1-minutecloses throughLevel failsTest versus sweep versus break
FIGURE 17.2Test versus sweep versus break

Chapter 18 · Trade Management and Exits

Figure 18.1—Time-adjusted profit targetsStepwise profit-target schedule across the trading day. 50% before 11:00 AM, 40–45% from 11:00 AM to 1:00 PM, 35% from 1:00 PM to 2:00 PM, first profitable from 2:00 PM to 2:30 PM, worked as a limit one tick below the credit, just above 0%; at 2:30 PM the soft stop, after which that limit rests until 3:00 PM only for a position held under the $0.25 carve-out (dotted); hard cutoff at 3:00 PM. As theta accelerates, the framework demands less.9:3011:001:002:002:303:004:000%25%50%50%40–45%35%soft stophard cutofffirst profitable(limit one tickbelow the credit)carve-outholds onlyTime of dayTarget % of credit collectedAs theta accelerates, the framework demands less.Time-adjusted profit targets
FIGURE 18.1Time-adjusted profit targets
Figure 18.2—The hardened level-based exit ruleThree consecutive 1-minute closes at or through the short strike trigger a close of the position at the bid/ask. No GEX read overrides this exit. Once the level-based rule fires, structural analysis does not apply.Short strike123EXITat the bid/askThree consecutive 1-minute closesat or through the short strike →close the position at the bid/ask. No override.Time (1-minute bars)SPXThe hardened level-based exit rule
FIGURE 18.2The hardened level-based exit rule
Figure 18.3—The exit hierarchyExit rules ordered by precedence: Macro Break-Glass above all, then the hardened stops (level-based exit, with its negative-gamma exception for a position carrying a short put after a GF break, and mark stop), 3:00 PM hard cutoff, 2:30 PM soft stop, time-adjusted profit targets, and discretionary hold limit ratchet. When two rules fire simultaneously, the higher priority wins.!Above all—Macro Break-GlassNamed catalyst + structural break → close at the bid/askHARD1Hardened stopsLevel-based exit: three consecutive 1-minute closes at orthrough the short strike (debit: back through the long strike)Mark stop: spread mark reaches 3 × creditNegative-gamma exception: after a GF break, a position witha short put closes on three consecutive 1-minute closesbelow the first named support (normally ST)HARD23:00 PM hard cutoffClose all regardless of P&L (FOMC Minutes: before 2:00)HARD32:30 PM soft stopNot yet profitable: within $0.25 of a profitable close →hold to 3:00; otherwise close4Time-adjusted profit targetsClock schedule per Figure 18.15Discretionary hold limit ratchetBuy-to-close stop protecting at least 50% ofaccrued profitHIGHLOWWhen two rules fire simultaneously, the higher priority wins.The exit hierarchy
FIGURE 18.3The exit hierarchy

Chapter 21 · The Macro Calendar

Figure 21.1—The two-tier macro classification systemDecision diagram for the framework’s response to scheduled macro events. Tier 1 (FOMC, NFP, CPI): suspend for the session. Tier 2 (first-estimate GDP, Core PCE, and eight more): compress, and re-validate no sooner than 45–60 minutes after the print (about 90 minutes for Core PCE) on three checks: ATR(5) compression for ten or more bars, GEX nodes in place or re-formed, and EM consumption readable. Sub-Tier-2: no tier adjustment; the 30-minute pre-print rule applies only to scheduled 10:00 and 2:00 prints, such as Consumer Confidence and Michigan Sentiment, not to 8:30 prints such as Housing Starts or Jobless Claims.Scheduled macro event?What tier?Tier 1FOMC / NFP / CPISUSPENDDay off. No entries.Tier 2GDP / Core PCE + 8 moreCOMPRESSRe-validate no sooner than45–60 minutes after the print(about 90 minutes for Core PCE).Sub-Tier-2Housing / Claims / etc.NORMALNo tier adjustment. The 30-minutepre-print rule applies only to10:00 and 2:00 prints (ConsumerConfidence, Michigan Sentiment).Re-validation gate (Tier 2 only)ATR(5) compressed 10+ bars · nodes in place or re-formed · EM consumption readable → resumeThe two-tier macro classification system
FIGURE 21.1The two-tier macro classification system