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OpenGammaIntelligence · Pre-Market
Edition · Wednesday, April 22, 2026·Archived · 12d ago · historical·22 Apr 2026 13:27 UTC

NQPOSITIVE

Spot26734.00Futures26886.00Basis+152.00SessionREGULAR
Dealer Regime
Positive gamma barely - dealers long, moves dampened. Multi-DTE anchor +80.5M stabilizes term structure but 0DTE chain nearly balanced. Vomma -167 self-quenching makes NQ the quietest instrument today. Long vanna magnet AT EXACTLY current price NQ 26886 is the session pin mechanism.
NetGEX $564.6KRisk LOW
Opening Type
OPEN AUCTION
Conf 40%Day NEUTRALGAP UP
Share Card
Accuracy Ledger2 logged · 2 scored50% hit rateFull ledger ↓
Desk Thesis · 2026-04-22

VIX expiry long vanna magnet AT EXACTLY current price NQ 26886 / NDX 26734 (vanna value +5138) - precision pin session 38pct. NQ oscillates NQ 26812-26972 range all session. NQ is the quietest and safest instrument. ES negative gamma HVL 7135 is the leading cross-instrument indicator - watch ES first then NQ 26812.

VIX expiry long vanna magnet AT NQ 26886 is the single most precise pin argument in today's session. Vomma -167 self-quenching means NQ is the safest instrument for long-side positioning on any retest. Primary range: NQ 26812-26972 (38pct). ES HVL 7135 is the LEADING INDICATOR - watch ES first then NQ 26812 follows within minutes if broken. Scenario C probability 22pct - conditioned on ES triggering first. Scenario D (trend up) 10pct - call buying at NDX 27000 NQ 27152 (483 calls + charm +1.14T) supports upside positioning.

Level Map

Confluence-ranked · distances from spot 26734.00
NQ
NDX
Level
Action · Distance
NQ27302.00
NDX27150.00
CALL WALLExtended call ceiling - NDX 27150 / NQ 27302
FADE_AT+1.55% · conf 6 · $0
NQ27152.00
NDX27000.00
CALL WALLMajor call wall - NDX 27000 / NQ 27152 - charm +1.14T 483 call OI
FADE_AT+0.99% · conf 8 · $937.3K
NQ26972.00
NDX26820.00
CALL WALLCall wall - NDX 26820 / NQ 26972 - 6/6 confluence + charm +0.76T
FADE_AT+0.32% · conf 9 · $3.1M
NQ26938.00
NDX26786.00
NEG GEX TRIGGERImmediate overhead - NDX 26786 / NQ 26938
BUY_ON_HOLD+0.19% · conf 7 · $0
NQ26886.00
NDX26734.00
VANNA MAGNETLong vanna precision magnet AT current price - NDX 26734 / NQ 26886 (+5138)
BUY_ON_HOLD+0.00% · conf 9 · $0
NQ26812.00
NDX26660.00
HVL FLOORHVL / Regime Line - NDX 26660 / NQ 26812
BUY_ON_HOLD-0.28% · conf 9 · $0
SPOT
NQ26886.00
NDX26734.00
Range 26465.00–27307.00
NQ26697.00
NDX26545.00
GAMMA FLIPGamma flip - NDX 26545 / NQ 26697
SHORT_BELOW-0.70% · conf 8 · $0
NQ26672.00
NDX26520.00
PUT WALLMulti-DTE support - NDX 26520 / NQ 26672 - 6/6 confluence
BUY_ON_TEST-0.80% · conf 8 · $0
NQ26502.00
NDX26350.00
STRUCTURAL FLOORPut cluster floor - NDX 26350 / NQ 26502
BUY_ON_TEST-1.43% · conf 7 · -$344.8K
NQ25852.00
NDX25700.00
STRUCTURAL FLOORDeep structural floor - NDX 25700 / NQ 25852 - charm +1.91T
BUY_ON_TEST-3.85% · conf 7 · $0

Level Reaction

Intraday tape · NQ · 2026-04-22
Loading session tape…

Greek Pressure

Dealer directional forces · next session
VANNA
COMPRESSION · 70

SHORT VANNA / DESTABILIZING - net VHI -5934. Critical architecture: short cluster BELOW spot at NDX 26547-26627 / NQ 26699-26779; long magnets AT and ABOVE current price at NDX 26707 NQ 26859 (+6167), NDX 26734 NQ 26886 (+5138 AT current price), NDX 26814 NQ 26966 (+5602). VIX expiry = vol compression = long vanna magnets dominate = precision pin at current price. IF HVL breaks: short cluster below accelerates the decline through 26779 toward 26697. The vanna architecture is bifurcated: up = compression; down = acceleration.

CHARM
DOWN · 60

Net negative charm - charm below spot 11.1T exceeds above 5.8T. Structural downward bias IF price breaks. Near-term upside architecture: NDX 27000 / NQ 27152 +1.14T (largest above = primary AM pull); NDX 26820 / NQ 26972 +0.76T (second). Deep below-spot charm at NDX 25700 +1.91T is tail hedge floor structure not a near-term pull. Net charm is negative due to institutional tail hedges at 25700-25800 - not indicative of near-term downward gravity.

VOMMA
NEUTRAL · 75

SELF-QUENCHING - Vomma -167 is the single most important Greek comparison between ES and NQ today. Vol expansion REDUCES vega exposure in NQ - opposite of ES Vomma +4984. In any sell-off: NQ recovers first because the vol feedback loop is absent. NQ is the safer long-side instrument on any retest. In Scenario C: NQ Scenario C will be shallower and shorter than ES Scenario C. This is the structural reason NQ Scenario C probability (22pct) is lower than ES (20pct standalone) despite NQ being thinner GEX.

COLOR
NEUTRAL · 20

Slight negative Color -9.37 - minimal gamma decay into close. Near zero - not a material concern. Portfolio Color +7484 diverges from chain-level; use 0DTE chain value -9.37 as primary. No meaningful EOD gamma evolution in either direction.

SPEED
DOWN · 15

Near-zero Speed -0.0016. Marginally negative - downside slightly faster than upside from gamma mechanics. Not a material factor unlike ES Speed -1.257. NQ move dynamics are governed primarily by Vomma self-quenching not Speed asymmetry.

Higher-Order

Second + third-order greeks
color
LATENT
-9.370

Slight negative - minimal gamma decay into close; near zero; not a material concern; portfolio diverges at +7484

speed
LATENT
-0.002

Near-zero - marginally negative; not material; NQ dynamics governed by Vomma self-quenching not Speed asymmetry unlike ES

vomma
LATENT
-166.580

SELF-QUENCHING - vol expansion reduces vega; NQ recovers first in any sell-off; single most important Greek vs ES today (+4984 vs -167)

zomma
LATENT
-1.510

Below threshold - vol reduces gamma slightly on 0DTE chain; not a cascade concern; well below armed threshold

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Low-moderate IV + barely positive gamma - stable but thin; VIX expiry compression supports range; Vomma self-quenching prevents any vol amplification
ATM IV25.0%
IV Percentile50
Skew Pctile35
Skew ShapeNORMAL
Expected Daily MoveNot captured
Term Structure
FLAT — FLAT — balanced term structure
0DTE
7DTE
30DTE
FRONT MID BACK

LBF Status

Look-Below-And-Fail · conditions armed
Vix Rising
Vomma Armed
Negative Gamma
Vanna Destabilizing
NOT ARMED · 1/3 conditions
3
Tension Index

Accuracy Log

Outcomes · last 2 levels scored
DateSymbolLevelPredictedOutcomeNotes
2026-04-20NQDOMINANT ANCHOR@ 26831.00FADE_ATHELDHigh print was 26827.00, four points shy of the 26831 anchor. The ceiling held and the contract closed back below at 26774.50.
2026-04-20NQPUT FLOOR@ 26689.00BUY_ON_TESTABSORBEDNQ broke below first support to 26593.75, but the move did not extend to 26499 structural support. The contract recovered and closed 26774.50, so the downside strike occurred but was ultimately absorbed.
Total Logged2
Scored2
Hit Rate50%
Best Level Type—

Archive

Recent editions
2026-05-04 · ES
ES at 7255 is pulling back from HOD 7271 (was 6pts from HVL 7277) on European close. Gamma peak at ES 7257 (3x build) provides strong PM pin pressure. Structural binary ES 7249 remains key: above = pin toward 7257-7264 with vanna magnets pulling up; below = anti-magnet cascade (7242→7228) to secondary support 7227 and migrated-down dominant put floor ES 7202 (was 7227 — floor weakened). Call wall at 7277 has STRENGTHENED (+$15.46M). 2DTE +$21.76M structural backstop unchanged. Vanna inverted to bullish configuration (magnets now above spot, anti-magnets below).
IN SESSION EU CLOSE PULLBACK · IRAN SHOCK GLOBEX RECOVERED
NEUTRALNEGATIVE—
2026-05-04 · NQ
NQ pulled back sharply from HOD 27940 (within 18 NQ pts of HVL 27958) on European close. Gamma peak has MIGRATED DOWN from 27908 → 27842, creating a new gravitational anchor. Current spot 27863 is 21 NQ pts above the gamma peak. Dominant PM scenario: gravity pull toward gamma peak 27842 and settlement 27840-27880 (6.7x gamma build = strong pin). BEAR RISK: gamma peak 27842 fails → anti-magnet at NQ 27815 (NDX 27697, -18,247) cascades → put wall 27818 → structural floor 27787. EXTREME BEAR: charm 2.16:1 downward pulls toward VOL TRIGGER 27538 = CHARM MAX DECAY ZONE (NDX 27420). Vanna VHI at session minimum (-16,082) amplifies any vol event.
IN SESSION EU CLOSE PULLBACK · IRAN SHOCK GLOBEX RECOVERED NQ OUTPERFORMED
NEUTRALPOSITIVE—
2026-05-04 · RTY
RTY is in razor-thin positive gamma (+$333K, 69% thinner than pre-market) sitting on the vanna anti-magnet/magnet corridor at RTY 2811. Session binary is now RTY 2809 (gamma flip, updated from pre-market 2795): above = magnet staircase to 2820-2832; below = negative gamma air pocket to dominant put wall RTY 2797. ES binary (7252) resolution is the directional catalyst. FALLING charm means the morning window is cleaner than the afternoon.
OPEN AUCTION · ATH TEST WITH NEGATIVE CVD DIVERGENCE
NEUTRALPOSITIVE—
2026-05-01 · ES
Gate 2 triggered via constructive GEX expansion, not deterioration. ES is rotating inside a stronger positive-gamma cage: hold ES 7275 (SPX 7245) and then ES 7230 (SPX 7200) for continued pin/upper-balance behavior toward ES 7280 and ES 7310. Lose ES 7230 and the repair path opens toward ES 7209.44 and ES 7202.94.
IN SESSION RANGE PIN · BALANCE EXPANSION TO ATH
NEUTRAL_BULLISHPOSITIVE—
2026-05-01 · RTY
Gate 2 supersedes the pre-market ATH-continuation bias into an upper-balance pin: RTY must accept above RTY 2807-2808 to reactivate the bull path; below RTY 2797 the auction repairs toward RTY 2792 and RTY 2782.
IN SESSION UPPER BALANCE PIN · FAILED BREAKDOWN THEN FULL BALANCE TRAVERSE
NEUTRAL_BULLISHPOSITIVE—
2026-05-01 · NQ
Base case is extended imbalance continuation while NQ holds the 27583-27603 opening shelf and reclaims the 27628 call-wall/HVL; failure below NQ 27539 then 27511 shifts the day from ATH continuation into failed-breakout repair toward 27429 and 27328.
OPEN AUCTION TO DRIVE · BALANCE RETEST AND EXPANSION TO ATH
BULLISHPOSITIVE—
2026-04-30 · ES
Gate 2 triggered (0DTE GEX +273%): morning bear thesis invalidated. ES accepted above the former call wall (ES 7180 / SPX 7150) post-GDP. Bullish continuation thesis: hold above HVL (ES 7175 / SPX 7145) targets 1DTE call wall (ES 7230 / SPX 7200), then squeeze extension (ES 7270 / SPX 7240). Failure below ES 7175 (HVL) → gamma crossover risk toward gamma flip ES 7155 and put wall ES 7130.
POST EVENT CONTINUATION · EVENT BINARY GDP
BULLISHPOSITIVE—
2026-04-30 · NQ
Gate 3 triggered (vanna sign flip SHORT→LONG): morning bear cascade thesis invalidated. NQ accepted above former call wall (NQ 27480 / NDX 27350) post-GDP. Vanna stabilizing = NQ no longer leads cascade. Bullish continuation thesis: hold above former call wall (NQ 27480 / NDX 27350) targets 1DTE call wall (NQ 27630 / NDX 27500), then 6DTE call wall (NQ 27830 / NDX 27700). Failure below NQ 27290 (HVL) reinstates bear path toward gamma flip (NQ 27173) then put wall (NQ 27130).
POST EVENT CONTINUATION · EVENT BINARY GDP
BULLISHPOSITIVE—
2026-04-30 · RTY
PRE-MARKET STRUCTURE INTACT (no gate triggered) — bear prior persists as RTY remains below VAL (2786), below new HVL (2774), and below dominant call wall (2769). Morning unfinished auction at RTY 2753 is being tested LIVE. Post-GDP resolved catalyst, VIX suppression, rising charm drift, and vanna magnets above shift Scenario B probability to 45%. Tape judgment at RTY 2753 governs whether the bear structural prior is replaced.
IN SESSION AUCTION TEST · B SHAPE SERIES
BEARISH_LEANPOSITIVE—
OpenGamma Intelligence · Schema v1.1.0This brief is not investment advice.