Back-tested Edge Detection

Trade Setups — SPY · S&P 500 ETF

Gamma-structure setups with verified historical edge. Spot: $655.38

Updated: 2026-03-24 10:43 UTC

Active Setups Today

No Active Setups Today

None of the five gamma-structure patterns are triggering as of the latest data snapshot. Check back after data refresh or review recent history below.

Setup Performance

Back-tested across all available history

BULLISH

Put Wall Bounce

Occurrences 3

Win Rate 33%

Avg Next-Day Move -0.18% ↑

+0.95% avg next day

BEARISH

Call Wall Ceiling

Occurrences 10

Win Rate 70%

Avg Next-Day Move +0.00% ↓

Ceiling holds ~80% of the time

BEARISH

OpEx Gravity Pull

Occurrences 7

Win Rate 71%

Avg Next-Day Move -0.27% ↓

Price drifts toward dominant put by expiry

NEUTRAL

Gamma Pin

Occurrences 9

Win Rate 44%

Avg Next-Day Move -0.13% ⊙

Intraday range <$5 historically

BULLISH

Put Wall Breakdown → Recovery

Occurrences 2

Win Rate 50%

Avg Next-Day Move -0.41% ↑

+0.88% avg next day (rare but reliable)

Setup History

31 detected signals, newest first

Date	Setup	Direction	Spot	Wall Level	Distance	P/C	Next-Day SPY Move	Result
2026-03-19	Gamma Pin	NEUTRAL	$659.80	—	—	1.76	-1.702%	✓
2,983,482 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $7.81.
2026-03-19	Put Wall Breakdown → Recovery	BULLISH	$659.80	$660	$0.20	1.76	-1.702%	✗
Rare breakdown: Spot $659.80 closed $0.20 BELOW the prior $660 put wall. Dealers aggressively re-hedge, historically snapping price back above.
2026-03-18	Put Wall Bounce	BULLISH	$661.43	$660	$1.43	2.00	-0.246%	✗
Spot $661.43 just $1.43 above the $660 put wall (163,277 OI). Strong dealer gamma floor — puts are being actively hedged here.
2026-03-18	OpEx Gravity Pull	BEARISH	$661.43	$660	$1.43	2.00	-0.246%	✓
$660 monthly put has 153,216 OI with 2 DTE. Spot is just $1.43 above it. Gravity pulls price toward this pin level into OpEx.
2026-03-17	OpEx Gravity Pull	BEARISH	$670.79	$660	$10.79	1.88	-1.395%	✓
$660 monthly put has 164,508 OI with 3 DTE. Spot is just $10.79 above it. Gravity pulls price toward this pin level into OpEx.
2026-03-16	OpEx Gravity Pull	BEARISH	$669.03	$660	$9.03	1.96	+0.263%	✗
$660 monthly put has 188,827 OI with 4 DTE. Spot is just $9.03 above it. Gravity pulls price toward this pin level into OpEx.
2026-03-13	Put Wall Bounce	BULLISH	$662.29	$660	$2.29	2.20	+1.018%	✓
Spot $662.29 just $2.29 above the $660 put wall (206,868 OI). Strong dealer gamma floor — puts are being actively hedged here.
2026-03-12	Gamma Pin	NEUTRAL	$666.06	—	—	1.57	-0.566%	✓
1,002,267 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $5.78.
2026-03-06	Put Wall Breakdown → Recovery	BULLISH	$672.38	$680	$7.62	1.54	+0.876%	✓
Rare breakdown: Spot $672.38 closed $7.62 BELOW the prior $680 put wall. Dealers aggressively re-hedge, historically snapping price back above.
2026-03-05	Put Wall Bounce	BULLISH	$681.31	$680	$1.31	1.72	-1.311%	✗
Spot $681.31 just $1.31 above the $680 put wall (73,355 OI). Strong dealer gamma floor — puts are being actively hedged here.
2026-02-26	Gamma Pin	NEUTRAL	$689.30	—	—	2.71	-0.480%	✓
1,420,030 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $8.95.
2026-02-19	Gamma Pin	NEUTRAL	$684.48	—	—	2.30	+0.723%	✓
2,280,817 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $4.63.
2026-02-12	Gamma Pin	NEUTRAL	$681.27	—	—	2.10	+0.070%	✓
1,008,553 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $14.98.
2026-02-10	Call Wall Ceiling	BEARISH	$692.12	$700	$7.88	1.56	-0.023%	✓
$700 call wall (37,393 OI) has capped every rally for 3 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-02-05	Gamma Pin	NEUTRAL	$677.62	—	—	2.33	+1.918%	✓
1,230,787 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $7.90.
2026-01-29	Call Wall Ceiling	BEARISH	$694.04	$700	$5.96	2.56	-0.298%	✓
$700 call wall (28,597 OI) has capped every rally for 4 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-29	Gamma Pin	NEUTRAL	$694.04	—	—	2.56	-0.298%	✓
1,520,169 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $12.23.
2026-01-28	Call Wall Ceiling	BEARISH	$695.42	$700	$4.58	2.77	-0.198%	✓
$700 call wall (25,874 OI) has capped every rally for 3 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-23	Call Wall Ceiling	BEARISH	$689.23	$690	$0.77	2.52	+0.508%	✗
$690 call wall (23,720 OI) has capped every rally for 3 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-15	Call Wall Ceiling	BEARISH	$692.24	$700	$7.76	1.81	-0.084%	✓
$700 call wall (64,316 OI) has capped every rally for 5 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-15	OpEx Gravity Pull	BEARISH	$692.24	$680	$12.24	1.81	-0.084%	✓
$680 monthly put has 131,903 OI with 1 DTE. Spot is just $12.24 above it. Gravity pulls price toward this pin level into OpEx.
2026-01-15	Gamma Pin	NEUTRAL	$692.24	—	—	1.81	-0.084%	✓
2,540,121 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $4.20.
2026-01-14	Call Wall Ceiling	BEARISH	$690.36	$700	$9.64	1.93	+0.272%	✗
$700 call wall (56,889 OI) has capped every rally for 4 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-14	OpEx Gravity Pull	BEARISH	$690.36	$680	$10.36	1.93	+0.272%	✗
$680 monthly put has 142,850 OI with 2 DTE. Spot is just $10.36 above it. Gravity pulls price toward this pin level into OpEx.
2026-01-13	Call Wall Ceiling	BEARISH	$693.77	$700	$6.23	1.91	-0.492%	✓
$700 call wall (58,658 OI) has capped every rally for 3 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-13	OpEx Gravity Pull	BEARISH	$693.77	$680	$13.77	1.91	-0.492%	✓
$680 monthly put has 119,000 OI with 3 DTE. Spot is just $13.77 above it. Gravity pulls price toward this pin level into OpEx.
2026-01-12	OpEx Gravity Pull	BEARISH	$695.16	$680	$15.16	1.78	-0.200%	✓
$680 monthly put has 125,421 OI with 4 DTE. Spot is just $15.16 above it. Gravity pulls price toward this pin level into OpEx.
2026-01-08	Call Wall Ceiling	BEARISH	$689.51	$693	$3.49	1.16	+0.661%	✗
$693 call wall (58,823 OI) has capped every rally for 5 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-07	Call Wall Ceiling	BEARISH	$689.58	$693	$3.42	1.36	-0.010%	✓
$693 call wall (54,361 OI) has capped every rally for 4 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2026-01-06	Call Wall Ceiling	BEARISH	$691.81	$693	$1.19	1.18	-0.322%	✓
$693 call wall (53,626 OI) has capped every rally for 3 straight sessions. Dealers sell delta into every approach — this ceiling is structurally locked.
2025-12-30	Gamma Pin	NEUTRAL	$687.01	—	—	1.05	-0.741%	✓
1,233,697 of 0-1 DTE OI outstanding. Dealers are maximally short near-expiry gamma — they delta-hedge every tick, absorbing volatility. Intraday range was $1.98.

How These Setups Work

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Back-test Disclaimer: Win rates and average returns are calculated from historical OI + price data in this database. Past performance does not guarantee future results. Setup detection relies on end-of-day data — intraday fills may vary. These are patterns, not predictions. Always size positions according to your own risk tolerance.