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OpenGammaIntelligence · Pre-Market
Edition · Friday, April 24, 2026·Archived · 10d ago · historical·24 Apr 2026 12:41 UTC

ESPOSITIVE

Spot7143.00Futures7175.00Basis+32.00SessionWEEKLY_EXPIRY
Dealer Regime
Positive Gamma Multi-DTE - Gap Up Above GEX Pin Zone
NetGEX $163.3MRisk LOW
Opening Type
OPEN DRIVE UP
Day NEUTRALGAP UP
Share Card
Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓
Desk Thesis · 2026-04-24

Weekly expiry gap-up day - ES 7175 / SPX 7143 gapped +34.6 pts above prior close; primary 0DTE call wall at ES 7182 / SPX 7150 is 7 pts away and is the bull/bear fulcrum; short vanna (-209K VHI, flipped from +208K yesterday) amplifies directional moves; complacency regime (skew 9.7th percentile) supports gap hold; gamma flip at ES 7127.5 is structural stop.

ES 7175 gap-up day with primary 0DTE call wall at ES 7182 / SPX 7150 just 7 pts away. Short vanna flipped from yesterday - moves now amplify in both directions. Hold above ES 7162 and drive through 7182 targets HVL 7197 then 7202. Reject at 7182 and gap fill to 7142 is the test-drive scenario. Do not initiate new longs above ES 7182 without confirmation break. Skew at 9.7th percentile = low put protection; complacency supports gap hold but also means no floor if structure breaks.

Level Map

Confluence-ranked · distances from spot 7143.00
ES
SPX
Level
Action · Distance
ES7257.00
SPX7225.00
CALL WALLOuter Call Cluster (SPX 7225)
WATCH+1.14% · conf 1
ES7232.00
SPX7200.00
CALL WALLExtended Call Wall (SPX 7200)
WATCH+0.79% · conf 1
ES7202.00
SPX7170.00
CALL WALLSecondary Call Cluster (SPX 7170)
WATCH+0.38% · conf 1
ES7197.00
SPX7165.00
GEX MAGNETHVL - High Confidence Positive Gamma Floor (SPX 7165)
WATCH+0.31% · conf 1
ES7182.00
SPX7150.00
CALL WALLPRIMARY 0DTE Call Wall - Key Discriminator (SPX 7150)
WATCH+0.10% · conf 1
ES7162.00
SPX7130.00
DOMINANT ANCHORPrimary GEX Pin Cluster - Gap Fill Cap (SPX 7130)
WATCH-0.18% · conf 1
SPOT
ES7175.00
SPX7143.00
Range 7037.00–7244.00
ES7142.00
SPX7110.00
DOMINANT ANCHORPrevious Close Area (SPX 7110)
WATCH-0.46% · conf 0.67
ES7127.00
SPX7095.00
GAMMA FLIPGamma Flip - Structural Break (SPX 7095)
WATCH-0.67% · conf 1
ES7077.00
SPX7045.00
PUT WALLPut Support Cluster (SPX 7045)
WATCH-1.37% · conf 1
ES7032.00
SPX7000.00
PUT WALLHeavy Put Wall (SPX 7000)
WATCH-1.99% · conf 1

Level Reaction

Intraday tape · ES · 2026-04-24
Loading session tape…

Greek Pressure

Dealer directional forces · next session
GAMMA
UP · 70

Multi-DTE positive gamma +163M. 0DTE borderline -6.19M (expiry artifact). Gamma surged 2.5x pre-market (23K to 57K). Peak migrated down from 7127 to 7097 - market gapped 33-46 pts above pin zone. Gap-up places ES in unconstrained territory above GEX concentration.

VANNA
DOWN · 80

SHORT VANNA (-209K VHI) - DESTABILIZING. Exact sign flip from yesterday +208K. Vol expansion now amplifies moves away from strikes - trending/breakout behavior. Gap cleared primary stabilization zones (7097-7133). No stabilizing vanna force near or above live ES 7175 = extension risk elevated.

CHARM
DOWN · 65

Net negative charm from 7108 anchor. Max decay zone at SPX 7125 - now 18 pts below live. Gap-up has cleared primary downward charm pressure. Charm/gamma ratio 21.85 = time decay dominant. Max charm growth zone far above at SPX 7320. Afternoon pin tightens around whichever level holds.

COLOR
UP · 72

POSITIVE Color (portfolio level +5157) - gamma builds throughout RTH. Expiry pin tightens into close. Pin currently below live price (7097-7110) but will migrate toward wherever price stabilizes. Positive Color reinforces whichever side holds the key discriminator at 7182.

Higher-Order

Second + third-order greeks
color
LATENT
5157.018

—

speed
LATENT
-0.030

—

vomma
LATENT
-837.014

—

zomma
LATENT
204.259

—

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IV28.1%
IV Percentile52
Skew Pctile10
Skew ShapeSMIRK
Expected Daily MoveNot captured
Term Structure
Not captured
Term structure not captured for this sessionExpected: ivRegime.termStructure as array of IV fractions per tenor (front/mid/back).

LBF Status

Look-Below-And-Fail · conditions armed
Lbf Armed
Gamma Positive
Charm Gamma High
Vix Compressing
NOT ARMED · 0/3 conditions
8
Tension Index

Accuracy Log

Outcomes · last 1 levels scored
DateSymbolLevelPredictedOutcomeNotes
2026-04-20ESNEG GEX TRIGGER@ 7152.00SHORT_BELOWABSORBEDOpened 7148.25 below the 7152 trigger and sold to 7121.50, but downside follow-through stalled well above 7102. First 30-minute close was 7156.75 and session closed 7152.00, so bearish impulse fired but was absorbed and reclaimed by end of day.
Total Logged1
Scored1
Hit Rate0%
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 v1.0.0This brief is not investment advice.