Hermēs DocumentationThe OPEX Week Playbook
The gamma mechanics of options expiration week and an ES futures game plan — treat institutional hedging flows as a scheduled opportunity, not a random volatility event
The Core Thesis
Most retail traders treat OPEX like a random volatility event to survive. Order-flow traders treat it like a scheduled opportunity — because institutional hedging flows are predictable in structure (even if not in exact price).
OPEX is not a single event. It is a week-long script: from Monday's positioning read, through Friday's expiration, into the following Monday's reset.
What Is OPEX
Options have a fixed lifespan — at expiration they're exercised or expire worthless. OPEX = the week a batch of contracts expire simultaneously, creating calendar-driven, predictable pressure that most traders using conventional technical analysis never see coming.
Three expiration cycles
| Cycle | Last trading day | Common instruments | Risk profile |
|---|---|---|---|
| Weekly | Every Friday | Stocks, ETFs, indices (SPX/NDX) | High — rapid time decay, wide spreads |
| Monthly | 3rd Friday of the month | Most stock & index options (standard) | Moderate — highest open interest |
| Quarterly | Last trading day of quarter (Mar/Jun/Sep/Dec) | Futures options, some index products | Lower frequency, large notional |
Monthly OPEX (3rd Friday) matters most to ES traders — the highest concentration of open interest expiring at once, the largest potential for gamma-driven moves. March/June/September/December also coincide with quarterly futures rolls ("quad witching"), amplifying institutional hedging flows — consistently the year's most volatile OPEX events.
The key bridge: SPX → ES
SPX options are European-style, cash-settled — no stock delivery, but they drive massive dealer delta-hedging flows that directly move ES futures price. This is the bridge between the options market and your ES chart.
Settlement Timing — The Detail That Changes Everything
Even on the same day, options don't expire at the same moment. Understanding the settlement window determines whether a move before or after it is relevant to your ES trade.
| Settlement type | Time | Instruments | What to watch |
|---|---|---|---|
| AM Settlement | Opening print Friday (~9:30 ET) | 3rd-Friday monthly SPX (standard OPEX) | Opening drive can be exaggerated by hedging unwind |
| PM Settlement | 4:00 PM ET Friday close | Weekly SPX/SPXW, all equity options | Afternoon pinning, gamma suppression into close |
| 0DTE | 4:00 PM ET same day (M/W/F for SPX) | SPX 0DTE, daily index options | Intraday gamma spikes off key strikes mid-session |
The Gamma Mechanics Behind OPEX
Retail sees price levels. Order flow shows why price moves — and at OPEX, gamma is almost always the reason.
Delta = an option's value change per one-point move in the underlying; Gamma = the rate of change of delta. The closer to expiry and to the strike, the higher the gamma. Dealers who sell options must delta-hedge continuously; at OPEX gamma spikes, so their hedging becomes a significant portion of market volume — the flow you see on the footprint.
Four forces active during OPEX week
| Force | What happens | ES impact |
|---|---|---|
| Pinning | Price gravitates to the highest open-interest strike | ES can spend hours in a tight range of a major strike, especially near gamma walls |
| Gamma Hedging | MMs buy/sell ES to stay delta-neutral | In negative gamma, self-reinforcing: sell rallies, buy dips, amplifying direction |
| Vanna / Charm | Charm = delta decay over time; Vanna = delta sensitivity to vol; both accelerate near expiry | Intraday momentum can shift abruptly as MMs adjust hedges |
| Gamma Removal | At expiry, accumulated gamma disappears simultaneously | Post-OPEX ES often turns directional — pinning gone, positioning resets |
If ES stalls repeatedly at the same level during OPEX week with heavy absorption and no follow-through on the footprint — you may be watching a gamma pin in real time. Two-sided volume without conviction is a consolidation signal, not a setup.
Positive vs. Negative Gamma — Reading the Environment
The most important question going into OPEX week is not which direction ES will move, but which gamma environment you're trading in. The environment determines how MMs behave, and therefore how price behaves.
Positive Gamma (Above HVL / Gamma Wall)
- MMs are naturally long gamma; they sell ES rallies and buy ES dips → a dampener on vol
- Range-bound, choppy; mean-reversion setups work, breakouts fail more often
- OPEX week + positive gamma = tight range, pin-like behavior, low realized vol
- Footprint: absorption at range extremes, two-sided delta, no strong CVD trend
Negative Gamma (Below HVL / Through Put Support)
- MMs are short gamma; forced to chase — sell into drops, buy into rips → amplifies moves
- Trending, volatile; momentum setups work, fades get run over
- OPEX week + negative gamma = accelerated moves, wider ranges, higher tail risk
- Footprint: aggressive delta stacking, pulling bids/offers, strong CVD divergence
HVL is the line in the sand: above = positive gamma, lower-vol regime; below = negative gamma, higher-vol regime. Your entire approach (setups, sizing, conviction) should shift at this level — especially during OPEX week.
The Put Support sequence (downtrend into OPEX week)
| Step | What happens |
|---|---|
| 1. Spot drops toward Put Support | ES moves into negative gamma; MMs start shorting to hedge; the move accelerates |
| 2. Vanna effect kicks in | IV rises, changing delta via Vanna; MMs must sell more → feedback loop |
| 3. OPEX arrives | Puts expire/are exercised; investors monetize hedges; MMs can close shorts |
| 4. Technical bounce | MM short-covering produces a mechanical bid → a technical bounce, not fundamental |
Where does Put Support reset? Up in a bull market; down in a bear, and the cycle restarts.
The ES Trader's OPEX Framework
Most retail notices OPEX in hindsight. The goal is to read it in advance — positioning with HermesGEX data before the week even begins.
Pre-OPEX checklist (Sunday / Monday morning)
| Check | What to look for | Implication for ES |
|---|---|---|
| GEX level & sign | Positive or negative? How large? | Positive = suppression; negative = amplification |
| HVL position | Price above or below the HVL? | Above = lower-vol regime; below = higher-vol regime |
| Call Resistance | Nearest overhead call wall | Hard ceiling in positive gamma; may pin below into Friday |
| Put Support | Nearest put concentration | Floor in positive gamma; magnet in negative gamma |
| Conviction Index | Bullish, neutral, or bearish? | Directional bias for the week; contradiction = fade candidate |
| GEX expiring this week | How much gamma rolls off? | Large expiration = bigger post-OPEX repositioning |
| NQ/ES ratio | Is NQ leading or lagging ES? | Divergence confirms or flags rotation on entries |
Reading the tape during OPEX
- ES stalling below Call Resistance with heavy two-sided volume and no delta conviction → the pin is active, don't force a breakout
- ES accelerating through Put Support with stacked selling delta and pulling bids → negative gamma amplification, size down, trade momentum only
- ES gap-up post-OPEX (the following Monday) → often mechanical short-covering as puts expired; wait for the new Put Support to reset before committing
Post-OPEX Monday = The Reset Session
The Monday after OPEX is often the month's most tradeable session: the gamma suppressing/amplifying moves is gone, MMs have closed hedges, participants reposition for the next cycle.
What to watch:
- Where does Put Support re-establish? Up = bulls control the next cycle; down = bearish repositioning
- Is the Conviction Index shifting? A change here often leads price
- Is there Call Resistance expansion? In strong markets the call wall steps up week over week — a "staircase ceiling" that eventually becomes support
- The first 45-minute range: institutions establishing new positions; the footprint shows the real conviction defining direction for the next several sessions
Historical tendency: in a bull trend, ES fades into OPEX Friday then stages a technical bounce the following week as hedges unwind and Put Support resets higher; in a bear trend, the reverse — puts roll down and the process repeats.
The 0DTE Intraday Effect
The growth of 0DTE (zero-days-to-expiration) SPX options has permanently changed intraday ES behavior — Monday/Wednesday/Friday each now carry an expiration, so gamma effects that once concentrated into a single monthly event now occur weekly, sometimes daily.
- Key 0DTE strikes can create intraday pinning and abrupt mid-session reversals even on non-OPEX Fridays
- ES stalling at a round number with no tape explanation (no absorption, no large orders) → check the 0DTE chain, the answer is often there
- The afternoon (2:00–4:00 PM ET) on 0DTE days often carries amplified moves as options rush in/out of the money with time running out
OPEX Week Game Plan
| Day | Focus | What to do |
|---|---|---|
| Monday | Positioning read | Pull GEX / HVL / Conviction Index; mark Call Resistance + Put Support; identify the gamma regime |
| Tue / Wed | Trend or compression? | Trade with the regime — momentum in negative gamma, mean-reversion in positive |
| Thursday | Gamma acceleration | Gamma spikes 1–2 days before expiry; watch volume concentration at key strikes; reduce if the tape is ambiguous |
| Friday AM | AM watch (monthly only) | SPX AM settlement at the open; the opening drive can be exaggerated — wait for the first candle to confirm |
| Friday PM | PM pin or break | PM-settled options expire at 4 PM; ES may pin to the nearest major strike or break sharply if a large position expires ITM |
| Following Mon | Post-OPEX reset | Check where Put Support / Call Resistance reset; the first 45-min tape often sets bias for the next 1–2 weeks |
The Bottom Line
Most retail traders treat OPEX as something to survive. Order-flow traders treat it as a scheduled opportunity, because institutional hedging flows are predictable in structure.
Know the gamma regime, know your key levels, read the footprint for absorption and delta stacking at those levels, and always check where positioning resets after expiration — that's the edge OPEX gives you, if you're looking at the right data.