The Federal Reserve held its policy rate at 3.50 to 3.75 percent for the fifth meeting running. Three of the twelve voters wanted to raise it. The statement said almost nothing. And the long end of the Treasury curve went straight through a level it had not touched since the summer before the financial crisis.

What the meeting was actually about

The honest answer is that it was about what the Fed refuses to tell you. Why ? Because their new policy is “guess yourself, FED won’t tell you”.

The policy statement released at 2:00 p.m. Eastern ran to 115 words. Four short paragraphs. It said rates were staying where they are, that activity is expanding at a solid pace despite uncertainty tied in part to the conflict in the Middle East, that productivity growth and capital investment are strong, that job gains have kept pace with the workforce, and that inflation remains elevated relative to the 2 percent goal. Then one flat sentence: the Committee will deliver price stability.

That is the whole thing. No balance-of-risks language. No description of what would make the Committee move. No projections, because July is not a projection meeting.

For comparison, Jerome Powell’s final statement in April ran to 244 words. Under Warsh the document has lost 53 percent of its length in two meetings. The paragraphs that disappeared were the ones that told you how the Fed thinks: the passage about carefully assessing incoming data and the evolving outlook, the passage about being prepared to adjust the stance if risks emerge, the list of things the Committee takes into account. All of it is gone.

Warsh has been explicit that this is deliberate. At the press conference he said he understood the appetite for rolling forecasts and commentary from the Committee, but that the Fed needs to observe market reaction to developments direct and unfiltered. He described investors as learning to play the ball, not the referee, and called it a change for the better.

The operational plumbing did not move at all. Interest on reserve balances stayed at 3.65 percent. The standing repo facility remained at 3.75 percent, the overnight reverse repo offering at 3.50 percent with the usual $160 billion per-counterparty cap, and the primary credit rate at 3.75 percent. The Desk keeps rolling over Treasury maturities and reinvesting agency principal into bills.

So the core message is that there is no message. That is the point. The Fed has stopped broadcasting its reaction function and started asking the market to work it out from the data.

What changed since June

Two things. One of them got all the coverage, and the other one matters more.

The one you read about is the vote. In June the Committee was unanimous, 12 to 0. In July it split 9 to 3, with Beth Hammack of Cleveland, Neel Kashkari of Minneapolis and Lorie Logan of Dallas all voting to raise the target range by a quarter point immediately. Three dissents pointing the same way has not happened since September 2016. Warsh, who has made internal argument a feature of his chairmanship rather than something to be smoothed over, told reporters he had asked for a good family fight and got one.

Look at the direction of travel and it gets stranger. In January the Committee voted 10 to 2, and both dissenters wanted a cut. In March it was 11 to 1, and the dissenter wanted a cut. By July the only three people voting against the majority wanted the opposite. The Fed’s internal argument reversed polarity in six months.

Now the part that got less attention. The text of the statement itself changed by exactly one word.

Set the June and July statements side by side and run them against each other. The policy body went from 114 words to 115. The only substantive edit is that the Committee “reaffirmed” its policy of maintaining ample reserves in June, and in July it “is continuing” that policy. Every other sentence is identical, word for word. The rest of the July document is the 35-word paragraph naming the three dissenters.

A committee that produced a unanimous vote and a committee that produced its most divided hawkish vote in a decade published, for practical purposes, the same document.

What the bond market actually did

This is the section I would keep if I had to throw the rest away.

Warsh spent part of his opening remarks on it. In the 42 days since the June meeting, he noted, nominal and real yields had risen materially across the Treasury curve, with some of the inter-meeting moves ranking in the top decile of the last two decades. He said he was comforted that markets had not been reacting to the Fed, to dots or to speeches, but to real data.

Here is what that looked like in numbers. Between the June 17 and July 29 closes, the three-month bill was unchanged. The two-year rose 2 basis points. The five-year rose 10. The ten-year rose 18. The thirty-year rose 27, closing at 5.20 percent, a level it had not reached since July 2007.

That shape is the story. The front of the curve is where the market expresses its view on what the Fed does next, and the front of the curve barely moved. Everything happened at the back.

Most of the commentary read the long-end sell-off as the bond market doubting the Fed’s inflation-fighting credibility. Decompose the move and that reading gets hard to sustain.

A nominal Treasury yield is a real yield plus compensation for expected inflation. Split the ten-year that way, using the TIPS real yield on the same dates, and the arithmetic is blunt. Nominal: up 18 basis points. Real: up 18 basis points. Breakeven inflation: 2.26 percent on June 17, 2.26 percent on July 29. Zero.

The entire move was real rates. The market did not raise its inflation forecast at all over those six weeks. What it repriced was the real return it demands to hold long-dated government debt, which is a statement about the level and persistence of policy rates and about term premium, not about prices getting away from anyone. The five-year, five-year forward breakeven drifted up 7 basis points to 2.28 percent, which is a shrug rather than a warning.

There is a wrinkle worth flagging. One argument for standing pat, made by Goldman’s US economics team after the meeting, is that higher market rates are already tightening financial conditions enough that the Fed does not need to act. The Chicago Fed’s National Financial Conditions Index does not agree. It read minus 0.554 in the week to July 24 against minus 0.497 around the June meeting, meaning conditions were looser, not tighter, even with the thirty-year at a nineteen-year high. Long yields are not the whole of financial conditions, and credit spreads and equity valuations have been pulling the other way.

Who has the better case

The dissenters and the majority are both looking at the same inflation data and reaching opposite conclusions, and the reason is that they are looking at different properties of it.

Take the level. Headline CPI ran at 3.73 percent over the year to June, core CPI at 2.81 percent, headline PCE at 3.67 percent and core PCE at 3.29 percent. Every one of those is above 2 percent, some of them substantially. Inflation has now been above target for more than five years. That is the dissenters’ case, and it is not a weak one.

Take the momentum instead and the picture inverts. Annualise the last three months and headline CPI is running at 2.78 percent, core CPI at 2.29 percent, headline PCE at 3.07 percent and core PCE at 2.89 percent. All four are running cooler than their own annual rates. Core CPI over three months is within thirty basis points of the target. Whatever the flare-up did earlier in the year, it is fading in the recent data.

Then there is the third number, which neither camp says out loud and which explains the argument better than either of the other two.

Subtract core PCE inflation from the effective fed funds rate and you get the real policy rate: what the Fed is charging in inflation-adjusted terms. Today that is plus 0.34 percentage points. In June 2024 it was plus 2.58. Across 2023 and 2024 it averaged plus 1.52.

The Fed did not loosen policy by cutting alone. Inflation rose while the target range came down, and the stance quietly stopped being restrictive. A committee holding at 3.50 to 3.75 percent today is running a materially easier policy than a committee holding at the same range eighteen months ago, without having taken a single vote to do so. Hammack, Kashkari and Logan are not really arguing that inflation is accelerating. They are arguing that the brake pedal came up on its own.

Five things to keep from this meeting

The first is the September calendar. The Committee next meets on September 15 and 16, and that one carries a Summary of Economic Projections. The Fed’s period of deliberate silence has an end date, and everything between now and then is data.

The second is that the Fed decided this without the numbers. Q2 GDP and the June PCE report both landed the following morning, July 30. GDP came in at 1.5 percent annualised, down from 2.09 percent in Q1 and below expectations, with the miss concentrated in federal spending and inventories. Core PCE eased to 3.3 percent from 3.4. Energy prices fell 5.9 percent in the month and gasoline dropped 9.2 percent, helped by the brief Iranian ceasefire. The Committee voted blind and the data that arrived a day later leaned dovish.

The third is that dissents are information now in a way they were not before. When the statement carried guidance, you could read the Fed’s reaction function off the document. Strip the guidance out and the vote count becomes the loudest signal in the release. Three names is the market’s best available estimate of how close the Committee is to moving.

The fourth is that the labour market is doing something the statement does not acknowledge. Payroll gains came in at 148,000 in April, 129,000 in May and 57,000 in June, a three-month average of 111,000 and a clear deceleration. Unemployment sat at 4.2 percent. The statement’s line about job gains keeping pace with the workforce is defensible, but it is the same sentence the Fed used in June, and June’s data looked better.

The fifth is that the rest of the world did the same thing. The ECB held on July 22, with the deposit rate at 2.25 percent. The Bank of England held Bank Rate at 3.75 percent at a meeting ending the same day as the FOMC’s, and split 6 to 3, with the three wanting 4 percent. Two major central banks, two hawkish minorities, one week. This is not a purely American argument.

Where rates go from here

No dot plot in July means the June projections are still the only official numbers on the table, and they are worth restating because they are more hawkish than most people remember.

In June the median participant put the federal funds rate at 3.8 percent at the end of 2026, 3.6 percent at the end of 2027 and 3.4 percent at the end of 2028, with a longer-run value of 3.1 percent. The current midpoint is 3.625. So the median participant in June had already penciled in roughly one more quarter-point this year, followed by a partial unwind next year. The central tendency for end-2026 ran from 3.6 to 4.1 percent.

The revision from March is the part that tells you how fast the ground moved. In March the median 2026 dot was 3.4 percent and the median 2026 PCE inflation projection was 2.7 percent. By June those had become 3.8 and 3.6. In three months the Committee’s own inflation forecast for this year rose by nearly a full percentage point and its rate path flipped from implying a cut to implying a hike.

Market pricing after the meeting put the odds of a September hike somewhere in the mid-fifties, up from around 38 percent on July 24 and from under 11 percent on July 15. That is a violent repricing for nine days, and it happened before the meeting rather than because of it.

The sell side is not close to agreement. Goldman Sachs Asset Management read the three dissents as a Fed running out of patience and expects a September move. Goldman’s own economics team expects no hikes at all this year. JP Morgan pulled its next-hike call forward to December. Bank of America thinks the credibility problem raises the odds of September. Ian Lyngen at BMO summarised it neatly: a committee with vocal hawks, where the majority is siding with Warsh until the July and August CPI reports are in hand.

My own base case is the middle path, and it lines up with where the inflation work in this letter has been pointing since June. One quarter-point hike, most likely in September, taking the range to 3.75 to 4.00. Then a long hold while the Committee waits to see whether core services follow energy down. Then a single cut somewhere in the middle of 2027 as the annual inflation rates finally roll over toward the mid-twos, ending 2027 back at 3.50 to 3.75. That is the June dot path, and the June dots were built by people looking at the same tension the dissenters are now voting on.

The hawkish path, two hikes this year, needs the August and September inflation prints to stop improving. Given that oil went from $80 a barrel in mid-June to $105 on July 23 and back to $92 by the 27th, that is entirely possible. Brent moving twenty dollars in five weeks is not a stable input to a forecast.

The dovish path needs the three-month momentum to hold and the labour market to keep slowing. Payrolls at 57,000 and GDP at 1.5 percent are both arguments for it. If the September SEP arrives with a lower dot and a weaker growth forecast, the conversation turns to when the cuts start rather than whether the hike happens.

What would change my mind quickly is the composition of the next two CPI reports. If energy keeps falling while core services stay near 2.3 percent annualised, the hawks lose the argument on the data and the September dissents become a footnote. If core services re-accelerate while energy stops helping, the Committee will hike and Warsh will not need to have warned anyone first.

Though with two straits being closed, Iran using it as a leverage card during midterms, and reserves running empty. We can get a mild inflation shock. But this should come after the September, when reserves get almost empty. But then the economy can slow down and spiral down into a recession - but that would be 2027, after this inflation shock.

Nothing here is investment advice. Scenario paths are illustrative and are labelled with the published forecasts they follow.

Sources

Federal Reserve Board, “Federal Reserve issues FOMC statement,” July 29, 2026 - https://www.federalreserve.gov/newsevents/pressreleases/monetary20260729a.htm

Federal Reserve Board, “Implementation Note issued July 29, 2026” - https://www.federalreserve.gov/newsevents/pressreleases/monetary20260729a1.htm

Federal Reserve Board, “Federal Reserve issues FOMC statement,” June 17, 2026 - https://www.federalreserve.gov/newsevents/pressreleases/monetary20260617a.htm

Federal Reserve Board, FOMC statement, April 29, 2026 - https://www.federalreserve.gov/newsevents/pressreleases/monetary20260429a.htm

Federal Reserve Board, FOMC statement, March 18, 2026 - https://www.federalreserve.gov/monetarypolicy/files/monetary20260318a1.pdf

Federal Reserve Board, FOMC statement, January 28, 2026 - https://www.federalreserve.gov/monetarypolicy/files/monetary20260128a1.pdf

Federal Reserve Board, “Summary of Economic Projections,” June 17, 2026 - https://www.federalreserve.gov/monetarypolicy/files/fomcprojtabl20260617.pdf

Federal Reserve Board, “Transcript of Chairman Warsh’s Press Conference,” July 29, 2026 - https://www.federalreserve.gov/mediacenter/files/FOMCpresconf20260729.pdf

Federal Reserve Board, FOMC meeting calendars and information - https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm

Federal Reserve Bank of St. Louis, FRED: DFEDTARU, DFEDTARL, EFFR, IORB, DGS3MO, DGS1, DGS2, DGS5, DGS10, DGS30, DFII10, T10YIE, T5YIFR, CPIAUCSL, CPILFESL, PCEPI, PCEPILFE, UNRATE, PAYEMS, GDPC1, NFCI, SP500, VIXCLS - https://fred.stlouisfed.org

US Energy Information Administration, Europe Brent and Cushing WTI daily spot prices - https://www.eia.gov/dnav/pet/pet_pri_spt_s1_d.htm

CNBC, “Fed rate decision July 2026: Divided Fed holds interest rates steady” - https://www.cnbc.com/2026/07/29/fed-rate-decision-july-2026.html

CNBC, “Fed meeting recap: July 2026” - https://www.cnbc.com/2026/07/29/fed-meeting-today-live-updates.html

CNBC, “30-year Treasury yield hits highest level since 2007 after Fed keeps rates unchanged” - https://www.cnbc.com/2026/07/29/treasury-yields-fed-interest-rates.html

CNBC, “US economy slowed to 1.5% growth rate in Q2; June core inflation at 3.3%” - https://www.cnbc.com/2026/07/30/us-economy-slowed-to-1point5percent-growth-rate-in-q2-june-core-inflation-at-3point3percent.html

Reuters, “Warsh-led Fed leaves rates on hold and a bond market scratching its head,” July 29, 2026 - https://www.reuters.com/markets/us/uncertainty-creeps-into-feds-rate-decision-warsh-keeps-his-cards-hidden-2026-07-29/

Bloomberg, “Fed Holds Rates Steady as Three Officials Dissent in Favor of a Hike” - https://www.bloomberg.com/news/articles/2026-07-29/fed-holds-rates-steady-three-officials-dissent-favoring-a-hike

Wall Street Journal, “Dissents Show Fed Is ‘Running Out of Patience’ With Inflation” - https://www.wsj.com/livecoverage/fed-meeting-warsh-interest-rate-07-29-2026/card/duhTHthZ6pyTyPkz4raf

Advisor Perspectives, “Fed’s Interest Rate Decision: July 29, 2026” - https://www.advisorperspectives.com/dshort/updates/2026/07/29/feds-interest-rate-decision-july-29-2026

Advisor Perspectives, “Core PCE Inflation at 3.3% in June, Edging Down from May” - https://www.advisorperspectives.com/dshort/updates/2026/07/30/core-pce-inflation-at-3-3-in-june-edging-down-from-may

Fox Business, “June PCE: Fed’s favored inflation gauge showed price growth eased” - https://www.foxbusiness.com/economy/june-2026-pce-inflation

Charles Schwab, market update, July 30, 2026 - https://www.schwab.com/learn/story/stock-market-update-open

Yahoo Finance, “Goldman Sachs Breaks With Market on Fed Rate Path” - https://finance.yahoo.com/economy/policy/articles/goldman-sachs-breaks-market-fed-202506684.html

Economic Times, “JP Morgan brings forward Fed rate hike call to December after July policy meeting” - https://economictimes.indiatimes.com/markets/us-stocks/news/us-stock-market-jp-morgan-brings-forward-fed-rate-hike-call-to-december-after-july-policy-meeting/articleshow/132734118.cms

European Central Bank, “Monetary policy decisions,” July 22, 2026 - https://www.ecb.europa.eu/press/pr/date/2026/html/ecb.mp260723~29f24d99bc.en.html

Bank of England, “Bank Rate maintained at 3.75% - July 2026 Monetary Policy Summary” - https://www.bankofengland.co.uk/monetary-policy-summary-and-minutes/2026/july-2026

Bureau of Economic Analysis, Personal Consumption Expenditures Price Index Excluding Food and Energy - https://www.bea.gov/data/personal-consumption-expenditures-price-index-excluding-food-and-energy

Korea just had the single biggest day any of us have seen it have. If you went to bed anywhere in Asia on Wednesday watching circuit breakers fire, you woke u…

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Twenty-four hours after the worst day since April 2025, the S&P 500 took most of it back.

The S&P 500 finished at 7,437.63, up 121.48 points or 1.66%. Nasdaq 100 did bette…

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The S&P 500 closed Wednesday at 7,316.15, on the low, having lost every support it had. E-mini futures now sit at 7,399.75, which after adjusting for basis pu…

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The Fed held (I will write in detail about FED during the week or weekend). That was the outcome the upside case needed when we mapped this morning, and the S&P 500 still finished at 7,316.15, down 1…

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Mostly because of the CAPEX problem and endless increase of CAPEX.

Furth…

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The S&P 500 closed Tuesday at 7,428.78, up 0.21%. Futures have gone nowhere since, so cash opens somewhere around 7,430, near enough to unchanged that the scr…

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Good morning from Tuesday - and a hard one to Seoul, where readers just watched history get made in the wrong direction. The KOSPI crashed 10.84% overnight to…

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So we survived another stock market day, and the scoreboard makes it look like nothing happened: the S&P 500 closed at 7,413.27, up 0.02%, one point above Friday. The path there was anything but nothing. The peace gap opened at 7,464, pushed to 7,480.57, collapsed 98 points to 7,382.74 - a lower low than Friday - and spent the afternoon climbing back to flat. QQQ finished down 0.3% at 682.12 after failing at its own broken shelf. NVIDIA lost 5% to 196.51 and traded below 200 for the first time in the move. The VIX closed at 18.87 after tagging 19.93. And oil had its worst day of the war in reverse: WTI settled down 8.2% at 81.95, Brent down 9.3% at 87.75 - nearly 13% off Thursday’s century settle in two sessions.

The report card first, because this morning’s map earned it twice. The pre-market note said the fight happens in the 7,475-7,485 rejector zone - the day’s high printed 7,480.57, dead inside it, five points shy of the trigger. The note said losing the 7,470 anchor opens a slide chain to 7,405 and then 7,360 - the anchor broke mid-morning, the slide ran straight through 7,405 to 7,382.74, and stopped between the two targets. The note said there was no neutral case - and there wasn’t: the day was violently two-sided, both branches of the map fired in a single session, and the flat close is not neutrality, it is exhaustion. Every turn of the day happened at a published level.

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Welcome back after the weekend, whether you spent it watching headlines or wisely didn’t. Here is what you missed and what you woke up to: another “peace deal” with Iran - Washington halted two weeks of strikes on Friday to give the China-led talks in Pakistan some space (yes, Pakistani peace news are back!), the weekend traded that pause as an agreement, futures popped, and oil collapsed more than 7% early Monday, with WTI under 84 and Brent back to 90.56. S&P 500 fair value now sits near 7,478 - above Friday’s 7,461 top, right on top of the level everything depends on. And this morning Tehran already pulled the rug: the foreign ministry spokesman said Iran currently has no negotiations with the United States at all, only the Oman channel about Hormuz. The pop is fully priced. The denial is an hour old.

Quick word on Friday first, because it matters for today’s map. Friday held exactly where it had to: the low printed 7,396.53 - three and a half points under the 7,400 trigger - got bought, the vol turn came on schedule, and the index closed flat at 7,411.98. The VIX poked 19.05, failed at the trigger, crushed to 17.41, and finished at 18.58. The put stack never got its chance. That defense is the floor today’s peace pop was built on.

Seoul, meanwhile, refused the invitation. The KOSPI opened at 6,806.27 - up 1.7%, and once again the open was the exact high of the session, the second straight day that trick has run - then dropped 2% below Friday’s close at the lows before clawing back to finish at 6,755.75, up 0.97%. On a morning when U.S. futures gained nearly a percent on peace hopes, Korea could not even reach the underside of its falling channel. When the most beaten-down market in the world will not rally on a peace headline, it is telling you what it thinks of the headline.

The levels: an anchor, a rejector, and no middle ground

Today’s map has an unusual shape, so read it slowly. There is one big stabilizing gamma position at 7,470 - the anchor - and the pre-market is hanging on it right now. That anchor is the day’s entire foundation: while it holds, dealers absorb selling around it. The bull case requires a break above 7,485 - and if that comes, 7,525 is the target. Between the anchor and the trigger sits the 7,475-7,485 rejector zone, and with Tehran’s denial already on the wires, that zone is where the morning’s fight happens. Watch it tightly.

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Good morning from Friday, the last session of a week!

Seoul supplied the overnight drama, again. The KOSPI failed its resistance test in the most decisive way possible: it opened at 7,000.78 - which turned out to be the high of the entire session, to the tick - and bled 5.72% to close at 6,690.62. One day after reclaiming the 7,000 line, it surrendered it at the opening print and never looked back. Foreigners dumped 3.3 trillion won of stock, Samsung fell 7.6%, SK hynix 8.3%, and the exchange tripped its sell-side sidecar - the fourth circuit breaker in five sessions this week, and the 41st of the year. A failed retest from below is the textbook continuation signal, and Seoul just drew the textbook page in real time. The index now sits about 30% below its June high, five weekly declines in a row.

The war backdrop did not improve either. Trump told Axios overnight he is considering a “massive attack” on Iran - bigger than anything in the war so far, in his words - and that a decision is close. That is the headline the VIX is holding its level against, and it is worth remembering that the oil pullback this morning is a pullback from a century-mark settle, not a de-escalation.

The levels: one number decides the day

Here is the uncomfortable geometry the S&P 500 wakes up to. After July’s lowest close at 7,408.30, the gamma flip sits above the market, at 7,415 - and a market under its own flip trades in negative gamma, where dealer hedging amplifies moves instead of absorbing them. That is the dangerous territory: the index must bounce here to save the map, and fair value at 7,418 is currently doing its balancing act right on the line.

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First, the report card, and today it doubles as a lesson in why the morning note said what it said. The pre-market script was: down at the open,…

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Good morning from Thursday, and it is not a gentle one. Futures sit about 1% lower with S&P 500 fair value near 7,425-7,430, and the pre-market has spent the …

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Most probably you bought few 0DTEs in your life. And you know the pain of losing 100% within hours or even minutes. Either way, you have picked the right topic. Same-day options are now the main event: in 2026, zero-days-to-expiry contracts made up over 60% of all S&P 500 index option volume in 2026. And retails love those 0DTEs!

The main feature of this instrument is defined by that it dies at 4 pm. Yet people often do not fully understand this instrument and lose a lot of money trading it!

The width is the price

Take that one-day bell and stretch it. Keep the spot and the clock fixed, and run the same day at vol 12, at 17.05, and at 30.

The asymmetry is the point. An ATM option sits under the fat middle of the bell, so widening the bell scales its value almost linearly: $23.22 at vol 12, $57.19 at vol 30, a factor of 2.5. OTM options are made entirely of tail mass. At vol 12, the +2% strike has a 0.46% chance of finishing in the money and trades at $0.08. Push vol to 30 and that probability is 14.7%, with the price at $11.06. The same strike on the same day is suddenly worth 132 times more. Far OTM options are bets on the width more than on direction, and the width can reprice them by two orders of magnitude while the index goes nowhere.

The animation below makes the same argument without words. One semi-transparent gaussian, breathing between vol 12.5 and vol 33, with the probability of finishing in the money updating live at each strike. It pauses briefly at 17.05, the actual VIX close behind every number in this piece.

The past year is a decent test of that bell. Over the year to July 21, the S&P’s realized daily moves worked out to an annualized vol of 12.63 while the VIX priced 17.05, so option sellers collected about 4.4 vol points of rent for carrying the risk. The same tape shows excess kurtosis of +1.32, meaning more quiet days than a single bell allows and more violent ones, including a -2.75% session on October 10 and a +2.87% pop on March 31. Most of the time, implied width runs above delivered width, and sellers keep the difference. A handful of days a year, the tape jumps further than the day’s bell suggested, and that is when the +2% strike stops being cheap.

Lovely 0DTEs - Same move, different tenor

Now hold the vol still and vary the clock instead. Price the same ATM call at six tenors, from the 6.5 hours of a 0DTE at the open out to a full year, and hit each one with an instant 1% index move.

Delta answers “how much index am I holding”. For the 1-year option the answer changes slowly as the index moves. For the 0DTE it flips from almost nothing to almost everything within a percent of the strike. Gamma is the rate of that flip, and the formula already told you where it lives: sigma sqrt(T) sits in the denominator, so gamma at the strike scales like one over the square root of remaining time. Halve the time four times over and gamma quadruples. This is why near-ATM 0DTEs are the twitchiest instruments on the board, and this is exactly where the volume sits: research on Cboe intraday data finds 0DTE volume distributed evenly around the at-the-money strike.

For the P&L version, run the same +1% and -1% move across the whole ladder.

Read the two ends of that ladder together. A 1% index move is a 7% event for the 1-year option and a 156% event for the 0DTE. The 0DTE costs $32.75 against $655.40 for the year, so per dollar of premium you are buying roughly 21 times the kick. But the same leverage runs in reverse, and unlike the 1-year holder, you have no time to be early, which brings us to the clock.

The clock is the killer - and market makers chase 0DTEs

Freeze the index at 7,509.20 and the vol at 17.05, and just let a 0DTE session run from 9:30 to 4:00. The Brenner-Subrahmanyam formula already gives the ATM answer: value goes with sqrt of remaining time, so at 1:00 pm, with 3 of the 6.5 trading hours left, the ATM call holds sqrt(3/6.5) of its morning price. That is 68%. It then has three hours to give back all of it. In other words, roughly a third of the day’s decay happens in the first three and a half hours, and two thirds happens after 1 pm.

The moneyness detail is where it gets interesting, because the strikes do not bleed on the same schedule.

So the answer to “how fast does a 0DTE lose value after 1 pm” depends entirely on where your strike sits. The pinned ATM does about a third of its dying before 1 pm and two thirds after, on an accelerating burn: $2.56 an hour at the open, $3.73 an hour at 1 pm, $9.01 an hour at 3:30. Out-of-the-money strikes run the opposite schedule. The +1% OTM has already lost 72% of its morning value by 1 pm, because every quiet hour makes the required move less plausible, and the bell shrinks away from its strike early. By mid-afternoon it is a few dimes of hope. The ITM call looks calm at 83% of morning value, but only because of what it is made of: its $37.50 of intrinsic cannot decay, while its time value is cut roughly in half by 1 pm, on close to the same schedule as the ATM. Most of the 0DTE trades in fact are basically to “Enter from OTM to ITM zone ASAP to survive!”.

Who actually collects the rent

The volume says traders love this product. Research on the flow says most buyers pay for the privilege. Academic work identifying retail flow found that over 75% of retail trades in S&P 500 options are now in 0DTE contracts, and that between February 2021 and September 2023 retail traders in these products lost about $241,000 per day on average. Cboe’s own numbers put retail at 54% of SPX 0DTE volume as of May 2025. And usage is fair-weather: in the first week of April 2025, when the VIX spiked to 60, the 0DTE share of SPX volume collapsed from 64% to 36% within days as traders ran back to longer tenors.

Since every retail knows the pain of losing 0DTE trades, here is a datasheet how fast one can lose money! Just download and print at home.

Sources

Black, F. and Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.

Merton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4(1), 141-183.

Brenner, M. and Subrahmanyam, M. G. (1988). A Simple Formula to Compute the Implied Standard Deviation. Financial Analysts Journal, 44(5), 80-83.

Bandi, F. M., Fusari, N. and Reno, R. 0DTE Option Pricing. Journal of Finance, forthcoming. SSRN 4503344.

Beckmeyer, H., Branger, N. and Gayda, L. (2023). Retail Traders Love 0DTE Options... But Should They? SSRN 4404704.

Cboe Global Markets (January 2026). Cboe Global Markets Reports Trading Volume for December and Full Year 2025. Investor relations press release (SPX 0DTE ADV 2.3 million contracts, 59% of SPX volume).

Cboe Insights (September 2025). SPX 0DTE Options Jump to Record 62% Share in August.

Cboe / Benzinga (August 2025). What’s Behind the Growing Popularity of 0DTE Options (0DTE share swing 64% to 36% in April 2025; retail 54% of SPX 0DTE volume, May 2025).

Cboe Global Markets (April 13, 2022). Cboe to Add Tuesday and Thursday Expirations for SPX Weeklys Options.

OCC and Cboe data via Traders Magazine (February 2026). VOL REPORT: 0DTE, FLEX Options Are 2025 Heroes (0DTE at 24.1% of total U.S. listed options volume in 2025).

FRED, Federal Reserve Bank of St. Louis. Series VIXCLS (VIX close), SP500 (S&P 500 level), DGS3MO (3-month Treasury). Accessed July 22, 2026.

Yahoo Finance. ^GSPC and ^VIX daily closes (cross-check of the FRED anchors). Accessed July 22, 2026.

So we survived another stock market day - the quietest-looking close of the week, and maybe the least reassuring one. The S&P 500 slipped 0.14% to 7,498.96, QQQ gave back 0.5%, the VIX fell 2.35% to 16.64, oil climbed again, and the metals ripped. Tesla and Alphabet report minutes after this note goes out, so the quiet ends tonight. Also both nothing spectacular (almost flat, TSLA went down a bit - but still early, let’s wait for the earning call. But options players lost money anyway due to the volcrush)

First, the report card against this morning’s map. The call was chop between 7,450 and 7,500. The day overshot to 7,525.94 - into the air above the wall where nothing is positioned - got rejected there, which is exactly the failure mode the map warned about, and closed at 7,498.96: the second consecutive finish pinned to the 7,500 strike, this one within a point. The 7,450 floor we worried about was never tested; the low printed 7,485.85. The wall pinned, the air rejected, the floor untouched. As maps go, this one barely needed the day to happen.

Now the red flag, day two. Yesterday the index could not make new highs while volatility collapsed for three extra hours. Today the divergence went literal: the VIX fell 2.35% and the S&P still closed red. When volatility drops and the index drops with it, the market is telling you it cannot be pushed much higher - and it has now said so two days in a row, a little louder each time.

The daily chart adds the context: this is now the fourth session wedged between the rising summer support line and the moving averages flattening out around 7,470-7,480. The coil we have been writing about all week did not resolve today. It just got a day tighter, with the resolution mechanism now scheduled for after hours.

Then there is the day’s genuine anomaly, and it lives in the volatility complex. SVIX - the short-VIX ETF - was red the entire session. It never traded above Tuesday’s close, not once, and finished down 0.7% at 24.23. On a day the VIX itself fell 2.35%. The short-volatility vehicle lost money on a falling-volatility day. Mechanically, that combination means one thing: spot volatility got crushed while the VIX futures curve refused to follow - the market would not sell forward volatility at any point today. A vol complex that crushes the present and refuses to discount the future is bracing for something, and this particular pairing - SVIX and VIX red together - has a habit of showing up near stock market tops.

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Good morning from Wednesday, the week’s main event day - evening to everyone reading this after the Seoul close, which was quite a session to close. Futures s…

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So we survived another stock market day, and on paper it was a good one. The S&P 500 rose 0.89% to 7,509.20 - its first close above 7,500 since last Thursday - QQQ added 1.9% as the chip rebound rolled on, the VIX got crushed 8.6% to 17.05, and the options tape leaned bullish from the opening bell to the last print. And yet the honest headline of the day is the thing that did not happen.

First, the report card against this morning’s map. The 7,435 floor was never visited - the low printed 7,467.86 in the first ten minutes and that was the extent of the bears’ day. The index then ground up through the 7,500 wall by midday, tagged 7,515.31, and there the squeeze-on-air warning cashed in full: the rally stopped almost to the point at the confluence overhead and spent the final three hours pinned to the strike, closing nine points above it. The wall did both of its jobs - magnet on the way up, ceiling once reached.

Now the red flag, and it comes with timestamps. The index made its high at around 12:50pm. The VIX made its low at around 3:45pm. Volatility kept collapsing for three more hours - an 8.6% single-day crush - and the S&P could not print a single new high on any of it. When the VIX falls that hard and the index still cannot leave the wall behind, the market is telling you it cannot be pushed much higher from here. That is the real story of this close, not the green number. Fittingly, the loudest voice against chasing it came from inside the biggest bank: Jamie Dimon, in an interview released late Monday, said he would not buy stocks at current prices and that investors are underestimating the geopolitical risks. Though he is a permabear.

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Good morning from Tuesday! Futures sit about 0.4% higher, which puts S&P 500 fair value near 7,470 after an overnight trip as high as roughly 7,490-equivalent…

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So we survived another stock market day. Here is what it left on the tape: the S&P 500 slipped 0.19% to 7,443.28 after a 7,513 morning high, QQQ…

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Welcome back after the weekend and after OPEX - the short version of the overnight tape: futures are about 0.4% higher with fair value near 7,490, the VIX has…

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