Directional Risk (SPX 5-Day returns: DIX-GEX at current levels)

There are not many data points, since 2011, when DIX/GEX values mirrored current conditions.  But for those that did, the downside risk over the subsequent 5 days exceeded the upside.

Off-exchange buying and selling activity isn’t often quickly reflected in market prices. Rather, the effects diffuse through the market in their own time.  And market makers buy dips a lot faster than they sell rallies.  While GEX has been rising, recently (peaking 10/17), call overwriting appeared to had taken center stage. But many of those hedges are sitting pretty close to where we are now.