Record
I put Friday's net call flow through one more filter — separating direction from expiration cleanup
Net call flow fell all day, yet the S&P 500 finished higher. A year of data suggests Friday's net call number carries expiration-driven selling that has little to do with direction.
On Friday, September 25, 2026, the session taught me something worth writing down.
Net call premium (net call flow) fell all day on my screen. By the close it was down to about −$290 million across the whole market. Yet the S&P 500 finished 0.44% above its open (+0.51% from the prior close).
"Calls are being sold this hard — why is the index going up?" I held on to that question and went back through a year of data to check it.
First, what are net call and net put flow?
Thousands of calls and puts trade every day. Net call and net put flow boil that activity down to one number each.
| Term | Definition | Usual reading |
|---|---|---|
| Net call | Premium on buyer-initiated (ask-side) calls − premium on seller-initiated (bid-side) calls | Rising means more money betting on upside |
| Net put | Premium on buyer-initiated (ask-side) puts − premium on seller-initiated (bid-side) puts | Rising means more money betting on downside |
The figures here come from Unusual Whales Market Tide, which aggregates the entire US options market. That includes every single-stock option, not just S&P 500 options. That detail is the key to this whole post.
What happens on Fridays?
Friday is expiration day every week.
- Weekly options on single stocks — Apple, Nvidia, Tesla and the rest — expire on Friday.
- On the third Friday, monthly options expire as well (monthly OPEX).
As expiration approaches, traders clean up what they hold:
- they sell calls that are showing a profit to lock in the gain, and
- they sell this week's contracts to roll into next week's.
That selling lands in the net call number too — even though it was closing out an expiring position, not a bet that the index would fall.
💡 The hypothesis I wanted to check — Friday's net call number contains expiration cleanup that has nothing to do with direction.
Checking it against a year of data
Period Sep 25, 2025 – Sep 25, 2026 · 250 trading days (201 Monday–Thursday sessions · 38 weekly-expiration Fridays · 11 monthly-OPEX Fridays) Measured cumulative net call and net put at the close (1:00 p.m. PT) · S&P 500 open-to-close change
Check ① Does net call really fall further on Fridays?
| Mon–Thu | Weekly Friday | Monthly OPEX Friday | |
|---|---|---|---|
| Net call (median) | −$6M | −$76M | −$108M |
| Net put (median) | −$48M | −$39M | −$60M |
- Net call leaned lower on Fridays (p = 0.029). But I tested roughly ten comparisons in this analysis, so I treat a p-value of that size as borderline. The direction matches the hypothesis; I'm not calling it settled.
- Net put showed no Friday difference (p = 0.84).
In other words, the expiration cleanup showed up mainly on the call side.
Check ② So does a Friday drop in net call point to a falling index?
This is the heart of it: on days net call finished negative, did the index still go up?
| Days net call closed negative → share of days the index rose | |
|---|---|
| Mon–Thu | 26 of 102 = 25% |
| Friday | 17 of 32 = 53% |
The gap between the two was clear (p = 0.004 — large enough to hold up even after allowing for ten comparisons).
- Monday through Thursday, a negative net call meant the index fell three times out of four. Net call pointed the right way most of the time.
- On Fridays it was close to a coin flip — up about half the time, down the other half.
September 25 was one of those Fridays.
What I watched alongside it — SPX dealer hedge flow
If net call blurs on Fridays, I need a separate read on the S&P 500 itself. The one I check daily in our trading app is SPX dealer hedge flow.
What is SPX dealer hedge flow?
It's a measure of dealer hedging needs that we calculate ourselves in our app.
- Scope: S&P 500 index options (SPX) only. No single-stock options.
- Calculation: for every option within the day's expected range (from VIX1D) of the current price, sum
open interest × delta × index price. - Meaning: the amount of index exposure dealers (market makers) need to hold to stay hedged on the options they sold. (This simplifies by assuming dealers are on the short side of those options.)
- Call side grows → dealers need to buy more to stay hedged → a force that supports the index
- Put side grows → dealers need to sell more to stay hedged → a force that weighs on the index
How is it different from net call and net put?
| Net call / net put (Market Tide) | SPX dealer hedge flow | |
|---|---|---|
| Scope | The whole US options market (single stocks included) | S&P 500 index options only |
| What it measures | The direction of money traded today (premium) | The dealer hedge size created by open interest (delta) |
| Friday expiration cleanup | Single-stock weekly cleanup mixes in | Unaffected by single stocks |
| Behavior | Moves fast when volume surges | Moves with price, because delta changes as price moves |
On September 25 the two numbers went opposite ways
| Time (PT) | S&P 500 | Net call (whole market) | SPX dealer hedge flow · call side |
|---|---|---|---|
| 07:30 | 7,704 | −$109M | $11.0B |
| 09:00 | 7,728 | −$219M | $17.6B |
| 09:30 | 7,745 | −$212M | $24.3B |
| 13:00 | 7,742 | −$294M | $22.8B |
Calls were being sold across the market, but inside the S&P 500 the amount dealers needed to buy more than doubled. That day the index moved with the dealer hedge flow, not with net call.
I checked this against the data as well
The hypothesis: "when net call falls but the call side of dealer hedge flow rises, the index goes up." I tested it two ways (Apr 10 – Sep 25, 2026, 113 trading days).
| Test | Result | Status |
|---|---|---|
| Over 30 minutes, net call ↓ + call side ↑ → direction over the next 60 minutes and into the close | No clear difference · fired on 111 of 113 days, far too often to be a signal | 🔎 Narrow the criteria and recheck |
| Call side (or put side) reaches 3× its value at the open → direction into the close | Same direction on 15 of 17 days (88%) · clearly ahead of a same-time baseline | 🧪 Under observation (target: 30 days) |
The second result stands out, but it rests on only 17 days. I'll judge it again using new days only.
⚠️ One property to keep in mind — as the index rises, call deltas grow, so the call-side number grows partly just because price moved. Whether it pushed the index or followed it has to be settled by timing — which one moved first. The September 25 table doesn't make that distinction on its own.
A beginner's summary — four things I check on a Friday
1. I check the day of the week first. The same −$200 million net call can mean something different on a Tuesday than on a Friday.
2. I split a Friday drop in net call into "direction" and "cleanup." Expiration cleanup mixes in on Fridays. Before reading a falling net call as a bearish day, I look for other evidence alongside it — for example, the index actually breaking an important support level, or money flowing into puts at the same time.
3. I look at net put too. If Friday shows call cleanup but no increase in put buying, not much new money is betting on downside. In what I've seen, downside breaks often came with put buying as the fuel.
4. For the S&P 500, I check the S&P 500's own number. Whole-market net call includes single stocks. The number built only from S&P 500 options (SPX dealer hedge flow) may reflect the index more closely. When the two disagree, I give more weight to the one closer to what I'm looking at.
What's still being checked
For the record:
- I tested about ten comparisons in this analysis. Test enough of them and some will look good by chance. That's why I read Check ①'s p = 0.029 as borderline and Check ②'s p = 0.004 as one that holds.
- The Friday sample is 49 days. That's a meaningful size for one year, but not enough to lock in as a rule.
- So these results stay "under observation," and I'll keep recording every Friday and check again.
The one line I took away
The same number can come from different reasons on different days of the week. I put Friday's net call through one more filter, and I check the S&P 500 against the S&P 500's own number.
Observe every day. Verify every day. Move forward every day.
This post records an actual data check as it happened. It is not a recommendation on any security, timing or outlook, and it does not suggest any trade. Your decisions and their outcomes are your own. This is not investment advice.
Data: Unusual Whales Market Tide (whole-market net options premium) · SPX dealer hedge flow (our own calculation from the Schwab options chain, current price ± the day's expected range) · S&P 500 daily and 5-minute bars.
How was this to follow?
Knowing where it got hard is what lets me fix the next one. No name, no email.
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If this was useful
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