📊 B3 Closing & Market Gamma (GEX) Analytical Mapping — 17/06/2026

📈 1. Market Summary (Closing: 17/06/2026)

The Ibovespa ended today's session down 0.70%, at 168,453.94 points, after an intraday dynamic of extreme amplitude and volatility. During the morning and early afternoon, fueled by the strong rise of the banking sector and robust local economic activity data, the index soared more than 1.2%, testing the maximum of 171,878.23 points and attempting to break the technical resistance of the Gamma Flip Point.

However, after 3 PM, the conjunction of the imminent options expiration on B3 with the announcement of interest rate maintenance by the Federal Reserve in the US (under the command of Kevin Warsh) soured the global mood. The New York stock exchanges lost traction and the dollar reacted strongly. In the domestic scenario, the 0.51% advance of the IBC-Br in April — registering the highest historical level of the indicator — endorsed the thesis of an overheated economy, raising fears of a hawkish tone in tonight's Copom statement. Without foreign buying flow to sustain the top, institutional protection algorithms engaged in a wave of mechanical liquidation late in the afternoon, pushing the Ibovespa to close near the minimum of 167,915.70 points.

📊 Closing Panel

• Ibovespa (IBOV): ▼ -0.70% (168,453.94 points)
• Commercial Dollar: ▲ +0.39% (BRL 5.0812 — strong reaction after the Fed's decision and unwinding of short positions).
• IBC-Br (April): ▲ +0.51% (Best performance in the history of the activity indicator, reinforcing resilient inflation).
• Brent Crude: ▲ +0.85% (Quoted in the US$ 84.90 range, attempting a marginal recovery after the plunge earlier in the week).

🚀 Dynamics of Main Assets

• Financial Sector (Morning Oasis): The big banks sustained the index in the first half of the day, driven by the closing of options spreads. Itaú Unibanco (ITUB4) led the trading in the sector with consistent gains during the regular session, accompanied by Bradesco (BBDC4) and Santander (SANB11), but reduced gains in the auction.
• Vale (VALE3): ▼ -0.93% — The stock traded under pressure throughout the day, following the strong -2.61% drop in iron ore futures contracts on the Dalian exchange (China), which closed quoted at US$ 110 per ton.
• Petrobras (PETR4 / PETR3): ▼ -0.47% (PETR4) — Despite the slight rise in international oil abroad, the state-owned company's shares closed in negative territory, reflecting strong domestic political risk and the general outflow from emerging markets.
• WEG (WEGE3): ▲ +2.76% — Stood out as one of the biggest gainers of the day, driven by the announcement of approval of the distribution of Interest on Equity (JCP) in the amount of BRL 438.14 million.

🔍 2. Market Gamma (GEX) Analytical Mapping — June/July Series

The strong loss of level of the Ibovespa in the last two hours of the trading session activated the most aggressive algorithmic execution triggers. The market entered the zone of greatest technical friction of the current options expiration.

📐 Structural GEX Overview (IBOV & Main Assets)

Classic Market Gamma mathematical model:

With the closing fixed at 168,453 points, the market deepened into the asymmetric risk regime, registering a Net GEX negative of -BRL 2.35 billion (Accelerated Short Gamma Regime).

                    VULNERABILITY ZONE (SEVERE SHORT GAMMA)
 ◄───────────────────────────────■───────────────────────○───────────────────────►
 167.9k                       168.4k                  171.5k                    171.8k
 [Minimum / Dynamic Support]  [Current Price]   [Gamma Flip Point]        [Day's Maximum]

🚨 1. Market Regime: Severe Short Gamma (Delta-Hedging Cascade)

By failing to sustain the breakout of the Gamma Flip Point (171,500 points) at the day's high, the Ibovespa plunged back into the territory controlled by volatility sellers. The sequential breaking of intraday supports forced Market Makers to sell the cash asset at the end of the trading session to neutralize the Delta of their portfolios loaded with Puts bought by institutional investors. This cascade effect explains the accelerated dive after 3 PM.

🎯 2. Open Interest Concentration (Friction and Roll Zones)

• The Tail Put Wall: The 168,000 points level acted as a very strong volumetric drag wall (Major Put Wall). The day's minimum stalled exactly at the 167,915 points line due to the mechanical blockage of funds that bought volatility in this range.
• The Roll Effect to July: A massive volume of institutional position unwinding in the June series and heavy migration to defensive positions in the July series was observed. The volatility Skew of the July series opened asymmetrically to the Puts side, indicating that the market is paying high premiums to guarantee protection against further post-Copom drops.

📊 Skew and GEX Breakdown by Leading Assets

A. VALE3 (Ref Price: BRL 64.50)

• Total GEX: -BRL 180 million (Transition to Short Gamma).
• Positioning Analysis: The loss of the BRL 65.00 line undid the delta-neutral support structure operated yesterday. Institutional robots reduced physical exposure to the asset. The most relevant quantitative support now shifts to the BRL 63.50 strike.

B. PETR4 (Ref Price: BRL 37.28)

• Total GEX: -BRL 1.22 billion (Critical Short Gamma).
• Positioning Analysis: The asset continues to suffer the bleeding from the structural unwinding of derivatives. The proximity to the BRL 37.00 range generates a "Gamma vacuum". If the Copom statement brings a very hawkish tone, institutional desks will be forced to accelerate sales to defend the critical Put Wall at BRL 36.50.

C. ITUB4 (Ref Price: BRL 34.48)

• Total GEX: -BRL 80 million (Pinning Effect Completed).
• Positioning Analysis: The stock orbited intensely and closed glued to the magnetic line of BRL 34.50. Domestic treasuries successfully extracted all extrinsic value (Theta) from ATM options in this expiration session, locking prices in the core of greatest institutional interest.

🛠️ 3. Portfolio and Management Guidelines for Tomorrow (18/06)

1. Jade Lizards Adjustment: Given the reactivation of the Severe Short Gamma in the index, avoid aggressive rolling management bringing the selling wings of Puts close to the money. Keep the July series protection strikes rigidly below the calculated walls (165,000 points in IBOV and BRL 35.50 in PETR4).
2. Exploration of Post-Copom IV Crush: If the Copom decision tonight (statement and rate) comes strictly within the market's readjusted projections, the uncertainty will be removed. This will cause a generalized collapse of implied volatility (IV Crush) at tomorrow's open. The scenario will be highly favorable to buy back sold options with accelerated profit or to set up Horizontal Calendar Spreads (THL) on the buying leg of long volatility.