RTYPOSITIVE
RUT is the un-pinned index. It carries roughly 1.6 percent of SPX's dealer gamma (+$65M against +$4,010M) while pricing 171 percent of its implied volatility (21.90 percent against 12.82), which works out to an expected move of 0.64 percent against SPX's 0.40. Measured against a VIX-implied daily of 0.986 percent, RUT is priced at 65 percent of the 30-day equivalent where SPX is at 41 - the front-day compression dominating the large-cap complex this week is much weaker in small caps, and RUT retained 80 percent of its Tuesday-close front-day variance overnight against the SPX complex's 64 percent. The structure is balanced and the discriminator is unusually well defined despite a thin chain and a broken vendor IV field: the cumulative-GEX crossing has printed inside a 0.20 point band across fourteen polls and five hours, with spot 2 points above it. The ceiling is the STRONG 0.797 cluster at RUT 3017 where IWM's call wall sits on all three listed expiries; the floor is RUT 2997-3000, the only price both rails independently mark.
RTY is the un-pinned index in a pinned complex: it carries about 1.6 percent of SPX's dealer gamma while pricing 60 percent more movement. Trade the box, but respect that RUT has no cushion if the box breaks. The discriminator is RTY 3010.0 (RUT 3005.5), the cumulative-GEX crossing that has printed inside a 0.20 point band across fourteen consecutive polls - the most stable object in a book whose walls oscillate 40 points poll to poll. Holding it keeps a balance session between the two-rail floor at RTY 3004.5 and the STRONG cluster ceiling at RTY 3021.6, a 17 point box against a 19.3 point expected move. Above 3021.6 the path runs to 3031.6 (IWM 301, 8,324 calls) and caps at 3041.7 (IWM 302, 15,600 calls). Losing 3010.0 works down to 3004.5, and below that the OI ladder thins badly - nothing credible until 2984.5, a 20 point gap. Watch IWM's flip: it has climbed from 299.36 to 299.86 against a 299.00 spot while IWM net GEX faded 31 percent off its 11:32 peak, and IWM is the only real gamma in this family.
Level Map
Confluence-ranked · distances from spot 3007.00Level Reaction
Intraday tape · RTY · 2026-08-26Greek Pressure
Dealer directional forces · next sessionRUT 0DTE net GEX is +$65M on the brief and +$62M on the store aggregate; my own rebuild at the corrected spot gives -$15M. All three are noise-level, and the entire 0DTE chain holds just 6,751 contracts of open interest (2,602 calls, 4,149 puts). SPX 0DTE this morning: +$4,010M on 336,396 contracts. RUT therefore carries roughly 1.6 percent of SPX's dealer gamma - nothing is dampening this index today. What dampening exists in the family is IWM's, at +$131M on 69,242 contracts. TREND: RUT flipped from -$58M at 07:32 UTC to positive at about 11:07 and has held positive for five hours. Dollar-delta folded in here: dex +209.81, essentially flat, which is itself a statement about how thin the book is.
Second GAMMA row, deliberately, because the family's only real gamma is deteriorating in real time. IWM 0DTE net GEX peaked at +$190M at 11:32 UTC and has decayed to +$131M by 12:10 - a 31 percent fade - while its cumulative flip climbed back toward spot, 299.36 to 299.86 against a spot of 299.00. Net VEX fell with it, 32,267 to 27,604. If the IWM flip crosses below 299 the only source of positive gamma in the RTY family turns negative and RUT has nothing underneath it. This is the leading indicator for the downside scenario.
netVanna -267, NEGATIVE, where SPX printed +2,881 positive this morning. Negative dealer vanna means falling IV works against the hedge rather than with it - destabilizing rather than stabilizing. Small in absolute terms but the opposite sign to the large-cap family, and consistent with everything else here. IMPORTANT CAVEAT: vhi is NULL on all eleven vexLevels rows today, so vanna MAGNITUDES are unavailable and the magnet/antimagnet ladder is published UNRANKED - classification and level only. Shape as far as the evidence allows: 0DTE magnets sit ABOVE spot at 3030.05 and 3040.12, 0DTE antimagnets are remote below at 2919-2929, and the nearest antimagnet of any kind is the 1DTE row at 3009.92. Mildly constructive shape with no strength attached.
netCharmDaily +66,067, a positive decay lean, and the same sign as SPX (+2,894) against NDX (-12,871) and IWM (-1,099,617). But the native RUT charm centroid prints at 3007.14 against a canonical spot of 3007.00 - 0.14 apart - so charm exerts no directional pull. Path of least resistance is FLAT. The informative charm number is instead the 19.4 point spread between the IWM full-curve centroid (3001.74) and the IWM session centroid (3021.17): the front two expiries lean high, everything beyond leans low, and that straddle of spot argues for balance. NO CHARM TREND IS CLAIMED - the store carries no history array and the heatmap history does not persist charm aggregates, so a single poll is all the evidence there is. Dissent recorded and not weighted: the charmDrift card is state DEGRADED and projects -4,830,144 horizon delta change into the close.
netColorDaily +6,038 - gamma building very slightly through the session. Directionally consistent with the observed five-hour drift from -$58M to +$65M, but on magnitudes this small it is corroboration rather than a signal in its own right.
netVomma +321,688, small. Veta folded in here because it has no enum of its own: netVeta +77,834,292, vega decaying positively. Both were reproduced by an independent aggregation from the raw chain to within 0.2 percent.
speedAtGn0 is ZERO and GREEKS_GN0_ANCHOR_FALLBACK_SPOT is set, meaning the anchor fell back to spot. Combined with speed being non-zero on only about 1 percent of contracts, there is NO third-order read on RUT today. Reported as absent rather than as a zero signal. It is in any case a SINGLE-STRIKE level property and never comparable to a net aggregate.
zommaAtGn0 -0.221 at strike 3010. A single-strike level property, not an aggregate - and note the anchor strike 3010 is itself derived from the STALE spot 3010.02, so even its identity as the Gamma Neutral strike is an artefact. No actionable read.
Higher-Order
Second + third-order greeks—
—
—
—
IV Intelligence
Quadrant · skew · term structureCross-Asset Confirmation / Component Confluence
CONFIRMING · COMPLETENative futures levels stay primary. Use ETF conversions as corroboration and component zones as provisional structure only, especially when the overlay is partial or quality flags are present.
Native Levels Confirmed
4 matched levelsIWM 300 STRONG cluster / RTY 3021.6 is secondarily confirmed by IWM ratio level near 3019.25 and 4-stock zone 3017.05-3023.53.
RUT 3035 1DTE vanna antimagnet / RTY 3039.5 is secondarily confirmed by IWM ratio level near 3039.38.
IWM 302 call shelf projected / RTY 3041.7 is secondarily confirmed by IWM ratio level near 3039.38.
RUT CEX session charm centroid / RTY 3013.1 is secondarily confirmed by 4-stock zone 3017.05-3023.53.
ETF Confirmation Levels
IWM ratio-convertedIWM ratio-converted CALL_WALL at 3039.38 (DTE 0). Secondary confirmation only.
IWM ratio-converted PUT_WALL at 2978.99 (DTE 0). Secondary confirmation only.
IWM ratio-converted PUT_SUPPORT at 2978.99 (DTE 0). Secondary confirmation only.
IWM ratio-converted PUT_FLOOR at 2978.99 (DTE 0). Secondary confirmation only.
Component Confluence Zones
Provisional only4-stock call-side confluence cluster centered 3020.18. Provisional component estimate, not a native executable level.
13-stock call-side confluence cluster centered 3012.65. Provisional component estimate, not a native executable level.
9-stock put-support confluence cluster centered 3009.63. Provisional component estimate, not a native executable level.
15-stock put-support confluence cluster centered 3006.55. Provisional component estimate, not a native executable level.
Cautions
Quality-aware language- Component zones rely on static/proxy weights rather than holdings-confirmed weights and stay secondary to native futures levels.
- At least one component projection defaulted beta to 1.0, so component-zone placement is approximate.
- Source coverage was degraded by quote gaps or pagination truncation, so missing confirmations are not a signal by themselves.
- One or more component zones were built from a small contributor set and should be treated as provisional only.
- MCP-native individual stock Greek scans are unavailable. If component zones are attached, they come from the system-level Polygon overlay path and remain secondary/provisional to native index and MCP levels.
Overlay Diagnostics
Runtime 35s- LIGHTER_SELECTION_PATH: using static seed order for this overlay run to avoid a duplicate liquidity pre-scan before component resolution.
- ETF_SOURCE: contracts:PAGINATION_REQUIRED
- COMPONENT_SOURCE: Selected universe uses STATIC_SEED_FALLBACK and HOLDINGS_STALE until issuer/provider holdings adapters exist.
- COMPONENT_SOURCE: Using static seed order for this run to avoid a duplicate liquidity pre-scan before component source resolution.
LBF Status
Look-Below-And-Fail · conditions armedAccuracy Log
Outcomes · last 18 levels scored| Date | Symbol | Level | Predicted | Outcome | Notes |
|---|---|---|---|---|---|
| 2026-04-20 | RTY | HVL@ 2796.00 | LONG_ABOVE | HIT | RTY opened 2777.00, printed a 30-minute close of 2791.90, then reclaimed and held above 2796. Session high reached 2809.30 and close finished 2807.60, confirming the upside pivot break. |
| 2026-04-17 | RTY | CALL WALL@ 2782.00 | Fade at post-pin continuation target | MISSED | Price never reached 2782 — pinned tight at 2773 |
| 2026-04-17 | RTY | PUT FLOOR@ 2752.00 | Bear trigger — clean break = cascade | HELD | Session low was 2762 — never tested 2752 |
| 2026-04-17 | RTY | DOMINANT ANCHOR@ 2775.00 | OPEX PIN — consolidate at IWM 275 into 4PM close | HIT | Closed RTY 2773.5. OPEX pin held perfectly. |
| 2026-04-16 | RTY | CALL WALL@ 2756.00 | First target on 2736 long | HIT | Target hit cleanly ~12:30 ET |
| 2026-04-16 | RTY | GAMMA FLIP@ 2764.00 | ATH amplifier gate — sustained break = acceleration | REJECTED | Tagged 2761.5 (ATH) but failed to sustain above 2764 flip |
| 2026-04-16 | RTY | DOMINANT ANCHOR@ 2736.00 | Bull gate: 2736 IB accept = long trigger | HIT | Accepted 2736 on 15-min bar, ran to 2756 by noon |
| 2026-04-15 | RTY | HVL@ 2679.00 | Gamma flip gate — hold = bull regime | HELD | Never tested — session stayed above 2705 |
| 2026-04-15 | RTY | VANNA MAGNET@ 2722.00 | Vol compression pulls to vanna magnet | HIT | RTY tagged 2722.5 within first 45 min of RTH |
| 2026-04-15 | RTY | CALL WALL@ 2737.00 | Dominant call wall — fade at | REJECTED | Tested 2736.5, rejected twice; closed 2725 |
| 2026-04-15 | RTY | GAMMA FLIP@ 2732.00 | Regime flip on reclaim | MISSED | Rejected twice then price broke lower — flip never reclaimed |
| 2026-04-15 | RTY | PUT FLOOR@ 2710.00 | Absorption — put wall defends | ABSORBED | Intraday -$159K flipped to +$147K, held on two tests |
| 2026-04-15 | RTY | CALL WALL@ 2725.00 | Fade at 2725 — vanna-sandwich lid | REJECTED | Rejected 2724.8 high, closed 2716 |
| 2026-04-14 | RTY | DOMINANT ANCHOR@ 2672.00 | Gamma peak gravity center — buy on test | PENDING | Price never reached — held above 2687 |
| 2026-04-14 | RTY | HVL@ 2687.00 | HVL support — buy on test | HELD | Held intraday; 2687 was low of the day before bounce |
| 2026-04-14 | RTY | CALL WALL@ 2702.00 | Fade at dominant call wall | REJECTED | Rejected 2703.5 high multiple times; RTY consolidated 2685–2700 all day |
| 2026-04-13 | RTY | GAMMA FLIP@ 2564.50 | Bull thesis invalidation | HELD | Never traded near this level; tariff rally ensued |
| 2026-04-13 | RTY | HVL@ 2641.50 | 5-min hold = long trigger to VPOC 2663 | PENDING | — |