A Five-Box Daily Vol Note, Run on SPY
An options writer publishes the same five boxes every day: gamma pin, skew, VRP, expiry OI, and a named print. TradingFlow can run that checklist on SPY — with different clocks, and without the trade call.
On August 17, 2026, 张无忌wepoets (@wepoets1107) posted his usual 冰火岛期权笔记. Same five boxes as the days before it: where gamma sits, how far call IV is from put IV, VRP as IV minus HV, front versus next-expiry open interest, and one named tape print.
The note is about BTC and ETH on Deribit. TradingFlow does not have that chain. The useful question is narrower: can the template be run on a US listed name we can actually measure?
Yes — as a checklist. Not as a clone, and not as “switch to positive gamma.”
What the source note actually contains
Original-post evidence captured from X. The author labels the note 2026-08-17. Callout 1 marks the five-box template. Callout 2 marks what a social note cannot prove on US listed options: Deribit inventory, account-side buy/sell, or identical clocks.
For BTC he writes, in order:
- Gamma pin — concentrated near 63,000 on the 21AUG26 main expiry.
- Skew — 68,000 call IV 32.4% versus 62,000 put IV 26.5% (+5.9%, call premium).
- VRP — HV 20.7%, IV 24.7% (+4%). HV has “collapsed”; IV looks high versus that HV.
- OI path — 21AUG OI 18,068; 28AUG OI 62,487.
- Tape — ETH 1,900 call, 500 lots, labelled a buy (~$9.7K).
A later post the same day reads the collapsed RV as “vol expansion is near” and says to move to positive gamma. That last sentence is a trade. TradingFlow can test the first five boxes. It cannot certify the sixth.
His public US buyer scanner uses a related gate — IV percentile, VRP, priced move versus historical earnings move — then emits Long Call / Long Put / Long Straddle. We do not reproduce those buy recommendations.
How the five boxes map
The template is portable. The clocks are not. IV30−RV20 is not his expiry HV. 25-delta skew is not 68k-call versus 62k-put. Tape Side is quote location.
Open Rank Symbols and filter SPY. The numbers below are the latest session on August 17, 2026, captured in the test environment that afternoon. Last tape time on the Vol view was 2:11 PM ET. Sign-in and a paid Rank entitlement may be required. Delayed data can apply.
Start from SPY in the Vol drawer, then open Gamma Exposure and, separately, Historical Option Trades.
Verdict
| Box in the note | TradingFlow test on SPY, 2026-08-17 | Finding | Verdict |
|---|---|---|---|
| Gamma sits on one strike/expiry | Rank GEX: environment, flip, walls, horizon mix | Positive GEX. Flip $773.59. 0DTE top $777. Put wall $765. Weekly horizon 34.6% of gross GEX | Template works. Not a 63k BTC pin |
| Call IV minus put IV | 25Δ skew @ 30D | +4.1 pts (put premium) | Analog only. Sign is the opposite of his BTC +5.9% call skew |
| VRP = IV − HV | IV30 − RV20 | IV30 12.66%, RV20 13.34%, spread −0.7 pts. IV Rank 4.85% | Different clock. SPY is not “IV rich vs HV” on this measure |
| Front vs next OI | GEX horizon mix + tape OI | 0DTE 15.7% / weekly 34.6% / monthly 15.4%. Aug 21 $775 call OI 54,464 on the tape | Partial. Overnight book, not his two-expiry Deribit path |
| Named 500-lot buy | Historical Option Trades, SPY, full day | Many small SPY prints. Side = Bid/Mid/Ask | Tape exists. Buy/sell-as-account cannot be verified |
| “RV crushed → go +gamma” | None | GEX already reads positive. That is structure, not a reason to flip a book | Not verified as a trade |
Box 3 and 2: IV versus RV, then skew
Authenticated test-environment capture. Vol presentation, SPY only, latest session August 17, 2026. IV30 12.66% sits 0.7 points under RV20. 25-delta skew is +4.1 points. This is a dated snapshot, not a live quote.
The Vol drawer keeps the clocks separate:
IV30 snapshot date 2026-08-17. RV20 through 2026-08-17. Term slope −2.2 points means 30-day IV is cheaper than 90-day IV. The drawer’s “cheap” label on IV Rank is versus SPY’s own one-year IV, not a buy-vol instruction. See IV30 vs RV20.
His note needs IV above HV to call VRP fat. On this SPY snapshot the signed gap is slightly negative. Two honest readings:
- His HV is tied to a specific expiry (21AUG). Ours is a 20-session realized window. They will disagree.
- SPY implied volatility is already at a 4.85% IV Rank. That is “low versus its own history,” which is a different sentence from “IV is rich versus last month’s realized.”
Skew is the cleaner contrast. He measured call premium on BTC. SPY 25-delta skew is put premium. Copying the words “skew is wide” without the sign would reverse the story.
Box 1: gamma as structure, not a pin forecast
Same session. All-expiration GEX is positive. Modeled flip $773.59 sits on top of spot. 0DTE top $777; put wall $765. Horizon mix: 0DTE 15.7%, weekly 34.6%, monthly 15.4%. GEX levels are prior-close structure (T+1). This is not a price target. See Greeks and GEX.
This is the closest analog to “gamma concentrated at 63k.” TradingFlow will not hand you a single Deribit strike. It will hand you a flip, a call-side top, a put wall, and how much of gross GEX lives in 0DTE versus the week.
Positive GEX is also why his “prepare for +gamma” line does not travel. On this snapshot the index already reads positive. That describes modeled hedging that may damp moves. It is not an instruction to buy straddles, and it is not evidence that realized vol is about to expand.
Boxes 4 and 5: overnight OI and an anonymous tape
Authenticated test-environment capture. Historical mode, SPY, date 2026-08-17, full day. A saved view on this account still excluded BULLISH sentiment, so the KPI mix is not a complete-session put/call census. Use the rows, not the header percentages. Side is quote location. Open Historical Option Trades and set Symbol = SPY, date = 2026-08-17 yourself.
What the tape can say on this snapshot:
- The Aug 21 $775 call prints with OI 54,464.
- The Aug 21 $770 put prints with OI 16,100.
- The Aug 17 $775 put prints with OI 11,470.
- Option flow size on the visible rows is mostly 1–6 lots, not a 500-lot ETH call.
What it cannot say: that anyone “bought” those contracts, that they opened, or that they belong to one book. Bid/Ask/Mid is where the print sat in the quote. That is the same evidence-boundary we use on every tape post.
For the expiry-mix box, prefer the GEX horizon split over a single OI number. The chain drawer for this session lists 34 expiries. That is a book with many clocks, not two Deribit Fridays.
What we deliberately did not copy
- Deribit BTC/ETH. TradingFlow is US listed options.
- His seller recipe (far strangle versus near straddle, delta-neutral, slightly +gamma, −vega). That is a private book.
- His scanner’s Long Call / Long Put / Long Straddle gates. Those are recommendations. This article stops at measurement.
- “RV in the 20s, so vol must expand.” SPY IV30 is already 12.7% with IV Rank 4.9%. Collapsed RV on BTC is not a transfer function onto SPY.
Reproduce the checklist
- Open Rank Symbols → Vol → symbol SPY → session August 17, 2026.
- Record IV30, RV20, IV30−RV20, IV Rank, 25Δ skew, term slope. Confirm the IV snapshot date and the RV through-date in the Vol drawer.
- Open Gamma Exposure. Record environment, flip, walls, and the 0DTE / weekly / monthly mix.
- Open Historical Option Trades. Mode Historical, symbol SPY, date 2026-08-17, time range Full day. Clear extra sentiment filters if a saved view is active.
- Write five lines. Stop before “therefore buy/sell.”
Related reading
- IV30 vs RV20: see implied and realized volatility side by side
- Direction can be right and calls still lose: testing the July–August IV crush
- SPY / SPX / QQQ 0DTE evidence loop
Learn more
Open the app
TradingFlow App Home → Rank Symbols for the dated IV / RV / GEX boxes → Historical Option Trades for the tape box.
Educational market-structure research only — not investment advice. Options involve substantial risk of loss.
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