RTYNEGATIVE
This index has flipped from the resilient one to the laggard in a single session and the mechanism is legible - it was the only family carrying positive gamma into Friday's expiry yesterday, that bucket has gone negative, and it underperformed both large caps the day it did - so the constructive case is a capped rotation from the value-area low to the vanna magnet at 3041 rather than anything trend-like.
Hold RTY 3021 through the volatility settlement print and rotate to 3041 where the book's strongest attractor sits, take profit into 3051 rather than chasing through it, and size this smallest of the three families because the level structure is unusually good while the evidence base underneath it is the weakest of the week.
Level Map
Confluence-ranked · distances from spot 3020.00Level Reaction
Intraday tape · RTY · 2026-08-19Greek Pressure
Dealer directional forces · next sessionMildly constructive and the cleanest support for an upside rotation. The 0DTE magnet at +2,475 and the 1DTE magnet at +3,294 sit on the SAME strike at RUT 3035.28 for a combined +5,769, the strongest attractor in the book, 15 index points above spot. The upside is capped 10 points beyond it by the 1DTE antimagnet at -1,731. Below spot the magnets are weaker and further away at +1,502 and +3,096. Magnitude is held to 55 because vexConfidence reads unavailable with score 0 on this family, every row is ETF-projected with no native rows at all, vhi is null throughout with magnitude carried by vannaExposure, and the aggregate netVanna is negative at -337.95 throughout the session.
The two rails disagree on SIGN and the disagreement tracks the time-to-expiry convention exactly: both native centroids read positiveCharm on the fixedFloor convention at 5.35 minutes, while both ETF centroids read negativeCharm on actual-remaining at the true 8.24 hours. The drift card reads upward but is internally split - its own current pressure is negative at -1.896e10 with -0.916 agreement, and maturityDivergence explicitly reports that settlement revaluation and time decay diverge, with the upward headline coming entirely from the 0DTE tenor that is on the floor. I weight the ETF rail because its time convention is correct, making charm negative to neutral here. The native readings are quarantined rather than dismissed - netCharmDaily built +45% inside a stable coverage regime, which is real flow - pending investigation of whether the floor is flipping the computed sign.
Every exact-DTE bucket is negative, and the OPEX bucket at -$118.68M read +$226.02M yesterday. That sign flip removed the positive-gamma shelf that made this index the resilient one of the three families, and it underperformed both large caps the session it disappeared. Put gamma outweighs call gamma 2.9 to 1 across the book. Note the native 0DTE walls are on a 5.35-minute floored time convention and are inflated roughly 9.6 times; the ETF rail is not, and on a like-for-like basis the ETF 0DTE put wall is about twelve times larger than the native one.
Net vomma positive with vommaRegime positive. Vol-of-vol amplifies rather than absorbs an implied-volatility move, which matters on the morning the front volatility book settles to an opening print with no weekly expiry behind it this week.
Net color positive, so gamma is building rather than eroding into the session. Mildly favours the balance holding over a break.
Higher-Order
Second + third-order greeks—
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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 levels0DTE put wall, two-rail agreement (RTY 3021.2 / RUT 3015.2) is secondarily confirmed by IWM ratio level near 3023.68 and 3-stock zone 3022.84-3027.38.
Two-sided cluster at spot + 0DTE dominant node (RTY 3026 / RUT 3020) is secondarily confirmed by IWM ratio level near 3023.68 and 3-stock zone 3022.84-3027.38.
ETF charm pressure centroid (RTY 3026.7 / RUT 3020.7) is secondarily confirmed by IWM ratio level near 3023.68 and 3-stock zone 3022.84-3027.38.
Combined vanna magnet + 1DTE call wall + STRONG cluster (RTY 3041.3 / RUT 3035.3) is secondarily confirmed by IWM ratio level near 3043.84 and 3-stock zone 3029.70-3037.80.
ETF Confirmation Levels
IWM ratio-convertedIWM ratio-converted CALL_WALL at 3043.84 (DTE 0). Secondary confirmation only.
IWM ratio-converted PUT_WALL at 3023.68 (DTE 0). Secondary confirmation only.
IWM ratio-converted PUT_SUPPORT at 3023.68 (DTE 0). Secondary confirmation only.
IWM ratio-converted PUT_FLOOR at 3023.68 (DTE 0). Secondary confirmation only.
Component Confluence Zones
Provisional only3-stock put-support confluence cluster centered 3025.11. Provisional component estimate, not a native executable level.
6-stock put-support confluence cluster centered 3023.64. Provisional component estimate, not a native executable level.
4-stock call-side confluence cluster centered 3022.68. Provisional component estimate, not a native executable level.
7-stock call-side confluence cluster centered 3025.56. 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 37s- 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 | — |