2026-W39 · Sep 21–Sep 27 · Market · Report · published
期權核心 / 0DTE STRUCTURE
利率與情緒 / RATES & SENTIMENT
微結構 / MICROSTRUCTURE
動能 11+2 / MOMENTUM (roc_5d)
巨頭 / MEGA CAPS（9/30 會話）
今日關鍵事件 / 10-01 ET
全天交易假設 / THESIS
宏觀定調是債券拋售（10Y 觸及 5.34%、24 年新高）壓制估值，但期權市場只為全日定價 ±72 點（7,580–7,723）；ATM IV 自昨日 10.64% 抬升至 14.92%，0DTE 權利金明顯變貴——theta 賣方環境轉佳，方向性 scalp 需更寬止損。
全鏈負 Gamma（總淨 −$17.7B/1%，無 flip）：做市商短 gamma，方向性行情會被 delta 對沖放大。7,650 Put/Gamma 雙牆是絕對磁吸中心，7,700 為 Call 牆；開盤若落在 7,650–7,700 之間 pin 風險高，跌破 7,650 負 gamma 峰值區後下行加速，第一支撐為 EM 下緣 7,580（7,525 put OI 14,077＋7,425 put OI 13,234 為近端緩衝）。
寬度呈科技/半導體領跑、小盤/等權落後：若 ISM/初請偏冷＋Fed 發言偏鴿，資金或借芯片鏈強勢推向 7,700 call 牆；若數據偏熱＋10Y 續衝，負 gamma＋put 堆積下快跌至 7,580 一線，遠端 6,700／6,300 put（OI 逾萬張）為終極緩衝。
OI 分佈表 / 全鏈（7,300–7,900・OI>10,000 標金）
| 行權價 | Call OI | Put OI | 淨 (C−P) |
|---|---|---|---|
| 7,300 | 0 | 1,362 | -1,362 |
| 7,325 | 0 | 1,691 | -1,691 |
| 7,390 | 0 | 1,349 | -1,349 |
| 7,400 | 27 | 2,206 | -2,179 |
| 7,405 | 0 | 2,365 | -2,365 |
| 7,425 | 0 | 13,234 | -13,234 |
| 7,435 | 0 | 5,875 | -5,875 |
| 7,450 | 10 | 6,262 | -6,252 |
| 7,460 | 0 | 1,204 | -1,204 |
| 7,465 | 2 | 1,265 | -1,263 |
| 7,470 | 0 | 1,137 | -1,137 |
| 7,490 | 7 | 1,527 | -1,520 |
| 7,495 | 38 | 2,704 | -2,666 |
| 7,500 | 81 | 4,856 | -4,775 |
| 7,510 | 31 | 1,177 | -1,146 |
| 7,515 | 4 | 1,466 | -1,462 |
| 7,520 | 1 | 1,655 | -1,654 |
| 7,525 | 19 | 14,077 | -14,058 |
| 7,530 | 23 | 1,298 | -1,275 |
| 7,535 | 21 | 7,555 | -7,534 |
| 7,540 | 23 | 1,886 | -1,863 |
| 7,545 | 2 | 1,687 | -1,685 |
| 7,550 | 50 | 8,093 | -8,043 |
| 7,555 | 32 | 1,456 | -1,424 |
| 7,560 | 57 | 3,806 | -3,749 |
| 7,565 | 25 | 3,156 | -3,131 |
| 7,570 | 31 | 2,198 | -2,167 |
| 7,575 | 124 | 3,072 | -2,948 |
| 7,580 | 80 | 2,119 | -2,039 |
| 7,585 | 17 | 1,402 | -1,385 |
| 7,590 | 107 | 2,614 | -2,507 |
| 7,595 | 87 | 1,847 | -1,760 |
| 7,600 | 184 | 3,711 | -3,527 |
| 7,605 | 48 | 1,825 | -1,777 |
| 7,610 | 154 | 2,875 | -2,721 |
| 7,615 | 101 | 1,961 | -1,860 |
| 7,620 | 83 | 2,003 | -1,920 |
| 7,625 | 248 | 2,347 | -2,099 |
| 7,630 | 304 | 1,787 | -1,483 |
| 7,635 | 247 | 1,996 | -1,749 |
| 7,640 | 388 | 2,358 | -1,970 |
| 7,645 | 1,614 | 860 | +754 |
| 7,650 | 1,964 | 4,213 | -2,249 |
| 7,655 | 375 | 1,027 | -652 |
| 7,660 | 810 | 1,608 | -798 |
| 7,665 | 556 | 1,299 | -743 |
| 7,670 | 929 | 1,738 | -809 |
| 7,675 | 1,662 | 2,224 | -562 |
| 7,680 | 862 | 1,065 | -203 |
| 7,685 | 1,038 | 1,922 | -884 |
| 7,690 | 1,007 | 1,552 | -545 |
| 7,695 | 1,260 | 1,117 | +143 |
| 7,700 | 4,573 | 2,702 | +1,871 |
| 7,705 | 1,871 | 840 | +1,031 |
| 7,710 | 2,712 | 639 | +2,073 |
| 7,715 | 1,136 | 555 | +581 |
| 7,720 | 1,639 | 457 | +1,182 |
| 7,725 | 1,338 | 241 | +1,097 |
| 7,730 | 2,255 | 377 | +1,878 |
| 7,735 | 1,478 | 116 | +1,362 |
| 7,740 | 2,041 | 196 | +1,845 |
| 7,745 | 1,539 | 203 | +1,336 |
| 7,750 | 3,990 | 771 | +3,219 |
| 7,755 | 1,219 | 100 | +1,119 |
| 7,760 | 1,736 | 96 | +1,640 |
| 7,765 | 1,246 | 47 | +1,199 |
| 7,770 | 2,042 | 157 | +1,885 |
| 7,775 | 2,316 | 75 | +2,241 |
| 7,780 | 1,772 | 78 | +1,694 |
| 7,785 | 3,874 | 37 | +3,837 |
| 7,790 | 1,362 | 29 | +1,333 |
| 7,795 | 1,111 | 32 | +1,079 |
| 7,800 | 9,774 | 293 | +9,481 |
| 7,810 | 1,401 | 26 | +1,375 |
| 7,815 | 2,007 | 3 | +2,004 |
| 7,820 | 1,045 | 15 | +1,030 |
| 7,825 | 2,984 | 40 | +2,944 |
| 7,830 | 1,131 | 11 | +1,120 |
| 7,835 | 10,182 | 0 | +10,182 |
| 7,840 | 6,248 | 18 | +6,230 |
| 7,845 | 3,638 | 0 | +3,638 |
| 7,850 | 4,563 | 27 | +4,536 |
| 7,855 | 5,607 | 0 | +5,607 |
| 7,860 | 2,741 | 4 | +2,737 |
| 7,865 | 2,179 | 0 | +2,179 |
| 7,870 | 1,260 | 10 | +1,250 |
| 7,875 | 5,799 | 7 | +5,792 |
| 7,880 | 2,392 | 6 | +2,386 |
| 7,885 | 1,172 | 0 | +1,172 |
| 7,900 | 2,252 | 7 | +2,245 |
Entered 2026-10-01 09:19 · ai/muse · updated 2026-10-01 09:19 · rev 1