OpenGammaIntelligence · Pre-Market

Edition · Thursday, July 9, 2026·Archived · 7d ago · historical·09 Jul 2026 13:58 UTC

ESPOSITIVE

Spot7560.00SessionINTRADAY

Dealer Regime

SPX_POSITIVE_0DTE_POSTOPEN_BUILD

NetGEX $10.4KRisk MODERATE

Opening Type

OPEN DRIVE UP

Conf 65%Day NEUTRAL

Share Card

Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓

Desk Thesis · 2026-07-09

The open resolved this morning's asymmetry — SPX gamma built further positive and spot is now tightly bracketed by its own two largest 0DTE vanna magnets; positive gamma now dampens further momentum, favoring consolidation over continuation from here absent a new catalyst.

SPX gamma built further positive at the open (+$10.40B, up from +$2.57B premarket) and spot is now tightly bracketed by its own two largest 0DTE vanna magnets (ES 7558/7563); fade extremes inside that bracket and treat the dominant confluence just below (ES 7549-7552) as the pullback level to watch rather than chasing continuation.

Level Map

Confluence-ranked · distances from spot 7560.00

SPX

Level

Action · Distance

7599.45

GAMMA FLIPSPX native 7DTE Gamma Neutral

WATCH+0.52% · conf 2

7574.62

CALL WALL1/7DTE cross-rail call cluster (nearest resistance)

WATCH+0.19% · conf 2

7562.63

GAMMA FLIPSPX native 21DTE Gamma Neutral

WATCH+0.03% · conf 2

SPOT

ES7560.00

SPX7560.00

Range 7492.70–7627.30

7551.91

CALL WALLDominant 0/7/21DTE call-side cross-rail confluence (prior pin zone, now support)

WATCH-0.11% · conf 3

7548.97

PUT WALLDominant 0/1/7/21DTE put-side cross-rail confluence (prior pin zone, now support)

WATCH-0.15% · conf 3

7530.48

GAMMA FLIPSPX native 0DTE Gamma Neutral

WATCH-0.39% · conf 3

7524.81

PUT FLOOR7DTE put wall (nearest support)

WATCH-0.47% · conf 1

Level Reaction

Intraday tape · ES · 2026-07-09

Loading session tape…

Greek Pressure

Dealer directional forces · next session

GAMMA

UP · 80

Positive/dampening 0DTE gamma built sharply since premarket (+$2.57B to +$10.40B), 78% coverage — dealer book strongly favors pinning post-open.

VANNA

UP · 55

Stabilizing; spot is now bracketed within 5pts by its own two largest 0DTE vanna magnets (ES 7558/7563) — materially tighter than the premarket setup.

CHARM

UP · 60

Flipped strongly positive and built an order of magnitude since premarket (was -643K, now running 1.29M-2.04M continuously since the open) — decay pressure now firmly favors the upside regime.

COLOR

UP · 50

Built an order of magnitude since premarket (31.7K to 58.8K-84.7K range post-open) — corroborates the charm/dex regime shift.

VOMMA

DOWN · 40

Down from premarket's 32.7M as VIX has settled slightly since the scan (17.09-17.53 range this morning vs 17 now).

Higher-Order

Second + third-order greeks

color

LATENT

68832.510

—

speed

LATENT

-11268.670

—

vomma

LATENT

25447796.670

—

zomma

LATENT

-0.044

—

IV Intelligence

Quadrant · skew · term structure

Regime Quadrant

Not captured

ATM IVUnavailable

IV Percentile—

Skew Pctile—

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).

Cross-Asset Confirmation / Component Confluence

PARTIAL · PARTIAL_ERROR · partial

Cross-asset confirmation was only partially available in this run. Keep the native futures map primary.

No usable ETF ratio levels or component zones were produced. This should reduce confidence in the overlay, not alter the native thesis by itself.

Secondary confirmation only. Native index and MCP levels remain primary. MCP-native individual stock Greek scans are unavailable; if component confluence is attached it was produced by the system-level Polygon overlay path and remains opt-in, secondary, and provisional rather than an executable native futures level. Component weights are static/proxy unless explicitly holdings-confirmed, beta may be defaulted to 1.0, and TOP_10 lists should not be treated as quantitatively ranked until liquidity plus holdings/beta calibration are implemented.

Native Levels Confirmed

0 matched levels

No direct native-level overlap was captured in this bounded cross-asset run.That weakens confirmation quality, but it does not replace the native futures map.

ETF Confirmation Levels

SPY ratio-converted

No ETF ratio confirmations were retained.Missing ETF spot or source coverage can suppress this list on bounded runs.

Component Confluence Zones

Provisional only

No component confluence zones were retained.That can happen when contributor coverage is thin or the bounded runtime exits early.

Cautions

Quality-aware language

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.
The overlay scan was partial because the runtime budget was hit or a source stage degraded. Treat absent confirmations as unknown, not bearish or bullish evidence.

Overlay Diagnostics

Runtime 21s

No converted levels or confluence zones were produced

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
ETF_SOURCE: contracts:PAGINATION_TRUNCATED
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.
COMPONENT_SOURCE: NVDA: NVDA: contracts lookup via NVDA returned RATE_LIMITED (You've exceeded the maximum requests per minute, please wait or upgrade your subscription to continue. https://massive.com/pricing)

LBF Status

Look-Below-And-Fail · conditions armed

NOT ARMED · 0/3 conditions

Tension Index

Accuracy Log

Outcomes · last 1 levels scored

Date	Symbol	Level	Predicted	Outcome	Notes
2026-04-20	ES	NEG GEX TRIGGER@ 7152.00	SHORT_BELOW	ABSORBED	Opened 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

2026-07-16 · NQ

The NDXP native chain unfroze right at the cash open and immediately showed a flip to deep negative 0DTE gamma coincident with a sharp open-drive selloff (29645.25 to 29264.25); price is now testing the qqqProjected 0DTE call wall / STRONG cluster confluence (29376-29415) from below after a fresh, unconfirmed bounce off the session low. Negative gamma amplifies the next move rather than dampening it - the real downside magnet if the bounce fails is the 1DTE put-wall/cluster confluence at 28965-28971.

OPEN DRIVE DN

NEUTRALNEGATIVE—

2026-07-16 · ES

SPX flipped from thin-balanced to deeply negative 0DTE gamma at the open, driving a sharp selloff (7615.5 to 7575.5); price is now sitting almost exactly on the day's largest OI concentration (0DTE put wall 7582.30, call wall 7587.30 just above), with a fresh but unconfirmed 2-minute bounce off the session low. Negative gamma amplifies rather than dampens the next move - a reversion case exists but requires genuine acceptance above the wall pair, not just a touch.

OPEN DRIVE DN

NEUTRALNEGATIVE—

2026-07-16 · RTY

RUT native and IWM 0DTE Gamma Neutral converge on the same level (two-rail agreement) sitting ~11-12pts above spot on a thin put-skewed gross book, immediately after yesterday's swept-Friday's-high excess and today's continuation into a lower balance with VPOC shifted down; today's session high already capped almost exactly at a real Greek-derived level (IWM antimagnet), so this reads as balance-building/rotation risk rather than a confirmed breakdown unless 2968.50 fails with genuine acceptance.

OPEN TEST DRIVE

NEUTRALNEGATIVE—

2026-07-16 · NQ

The NDXP native chain is frozen since 10:31 UTC, so today's native NQ Greek map is background structure, not a live trigger; live order flow shows genuine two-sided chop with a session low (29361) that corroborates the recomputed native 0DTE put wall (29356) within 5pts, and a deeper operator-flagged swing-low/VPOC confluence (29304/29290) is the session's highest-quality setup if swept and reclaimed with acceptance rather than a mere touch - consistent with a range-bound day-before-OPEX read led by the live SPX chain.

OPEN TEST DRIVE

NEUTRALPOSITIVE—

2026-07-16 · ES

SPX 0DTE gamma is thin-negative on a huge balanced gross book (fragile pin, not thick pin), with the STRONG 4-rail cluster (7603.77) having already capped this morning's rally almost exactly at the session high (7615.5); day-before-monthly-OPEX dynamics plus a negative-gamma VIX front monthly favor continued two-sided chop inside the 7563-7604 bracket over a clean trend, with acceptance (not a touch) required at either boundary before trusting continuation.

OPEN TEST DRIVE

NEUTRALNEGATIVE—

2026-07-15 · RTY

RTY's PPI reaction was the weakest of the three families (+0.15% vs ES/NQ's +0.2-0.3%), and session-long DEX/vanna have stayed negative the entire morning without crossing positive - a persistent bearish-leaning Greek signature distinct from SPX/NQ's more constructive builds, reinforcing the user's own excess-high/breakdown read while respecting genuine two-sided rotation risk within the newly-formed lower balance.

OPEN TEST DRIVE

BEARISHNEGATIVE—

2026-07-15 · NQ

PPI printed a market-friendly reaction that pushed NQ ~70-90pts through the dominant confluence pin (29929) before the open; today resolves on whether that breakout holds through the first 30 minutes of cash trading or gets reclaimed and rejected back into the pin/HG zone, with NDX-side data quality thinner than SPX's this session.

OPEN TEST DRIVE

BULLISHNEGATIVE—

2026-07-15 · ES

PPI printed a market-friendly reaction that pushed ES 15-19pts through the dominant 0DTE pin (7589) before the open; today resolves on whether that breakout holds through the first 30 minutes of cash trading or gets reclaimed and rejected back into the pin/charm-centroid zone.

OPEN TEST DRIVE

BULLISHNEGATIVE—

2026-07-14 · RTY

RTY flipped back to positive/dampening 0DTE gamma today (+$32.29M), the only positive-gamma instrument of the three families, with spot pinned essentially on top of the native 0DTE GN (RTY 2965.59) and the day's strongest confluence (RTY 2964.35); expect chop inside the pin through CPI, with RTY likely dampening rather than amplifying a directional CPI move relative to ES/NQ's negative-gamma books today.

OPEN AUCTION

NEUTRALPOSITIVE—