S10 · The last hour: pin, acceleration and closing flow

The 0DTE options expire at 10 pm. Their gamma grows until the last minute, hedging flows unwind, and at 9:50 pm the stocks' closing imbalances are published. In long gamma, price sticks to the big strike; in short gamma, it moves away from it. In both cases, size comes down after 9:30 pm. This setup has only one fixed rule, and that is it.

The idea

Two mechanical forces dominate the last hour. Charm: the delta of out-of-the-money options melts toward zero, and market makers unwind their hedges even without any new transaction. Pinning: near a strike where dealers are heavily long gamma, their hedging pulls price back toward the strike, and the effect intensifies toward 10 pm. Conversely, below Zero Gamma, the same hour produces accelerations that do not retrace. At 9:50 pm, the stocks' closing flows (market on close) arrive on top.