Every dealer-positioning story assumes the same mechanism: customers force option delta onto dealers, dealers hedge it in the underlying, the hedge moves the index. The premise is stated everywhere and measured almost nowhere — the canonical footprint study (Hu 2014) is equities, pre-0DTE, daily grain. So we measured it on SPX 0DTE directly: when a customer imbalance lands this minute, how many minutes until the index has absorbed the hedge?
Setup. 1,088 SPX sessions (2022–2026) at one-minute grain. The dealer's option-delta inventory is a published series on our terminal; its minute change, negated, is the delta dealers must hedge that minute. Regress forward index returns at 1–30 minute horizons on that imbalance, with day and minute-of-day fixed effects, reversal controls, and the imbalance's absolute size as a magnitude control. Day-clustered errors; last 40 sessions held out.
Answer: two to three minutes.
horizon
coef, bp per 1σ
