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Edition · Monday, August 24, 2026·Archived · 6d ago · historical·24 Aug 2026 14:00 UTC

ESNEGATIVE

Spot7651.80Futures7668.00Basis+16.20SessionPREMARKET
Dealer Regime
SHORT_GAMMA_PRICE_BELOW_EVERY_POSITIVE_STRIKE
NetGEX -$11.5KRisk ELEVATED
Opening Type
OPEN DRIVE DN
Conf 40%Day TRENDGAP DN
Share Card
Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓
Desk Thesis · 2026-08-24

Cash is open and the picture has hardened. The chain underlying is live, only 18 of 256 0DTE calls now fail to solve against 163 pre-open, so the parity repair that drove both earlier scans is no longer load-bearing and the published -$11.52B can be read directly. ES is short gamma and below every positive strike: the ladder is negative from SPX 7600 through 7670 and turns positive only at 7675, a flip that has RISEN ten points while price fell. Price sits exactly on the STRONG put cluster and 1DTE put wall at SPX 7650 / ES 7666. The asymmetry is now downside-weighted - the 0DTE put wall at 7630 has nearly doubled to -$2,532.1M and is the largest node in the book either side, with thin tape between it and current price.

Cash is open, the chain is live and the parity defect has largely cleared, so the -$11.52B 0DTE net GEX is now a measurement rather than an artefact: ES is genuinely short gamma and trading below every positive strike. The ladder is negative from SPX 7600 to 7670 and turns positive only at 7675 (ES 7691), a flip that has RISEN ten points while price fell. Price is sitting exactly on the STRONG put cluster and 1DTE put wall at SPX 7650 / ES 7666. Hold it and a reclaim of ES 7686-7691 turns hedging back to absorbing; lose it and the 0DTE put wall at ES 7646, now nearly doubled to -$2,532M, is the objective with thin tape between. Into a scheduled speaker in a short-gamma tape the first impulse will overshoot - trade the retest, not the break.

Level Map

Confluence-ranked · distances from spot 7651.80
ES
SPX
Level
Action · Distance
ES7726.20
SPX7710.00
DOMINANT ANCHORSPX 7710 positive node / ES 7726.20
WATCH+0.76% · conf 2
ES7724.50
SPX7708.30
GAMMA NEUTRALSPX 7DTE Gamma Neutral / ES 7724.50
WATCH+0.74% · conf 2
ES7716.20
SPX7700.00
CALL WALLSPX 7700 call wall 0DTE + 7DTE / ES 7716.20
WATCH+0.63% · conf 3
ES7696.20
SPX7680.00
DOMINANT ANCHORSPX 7680 positive node / ES 7696.20
WATCH+0.37% · conf 2
ES7691.20
SPX7675.00
GAMMA FLIPFIRST POSITIVE STRIKE / ES 7691.20
WATCH+0.30% · conf 3
ES7686.20
SPX7670.00
NEG GEX TRIGGERLast negative strike / ES 7686.20
WATCH+0.24% · conf 3
ES7685.13
SPX7668.93
GAMMA NEUTRALSPX 0DTE GAMMA NEUTRAL / ES 7685.13
WATCH+0.22% · conf 3
ES7681.20
SPX7665.00
CALL WALLSPX 7665 1DTE call wall / ES 7681.20
WATCH+0.17% · conf 2
ES7666.20
SPX7650.00
PUT WALLSTRONG put cluster + 1DTE put wall / ES 7666.20
WATCH-0.02% · conf 3
ES7662.25
SPX7646.05
DOMINANT ANCHORSPX CEX Pressure Centroid / ES 7662.25
WATCH-0.08% · conf 1
ES7661.20
SPX7645.00
NEG GEX TRIGGERSPX 7645 negative node / ES 7661.20
WATCH-0.09% · conf 2
ES7656.20
SPX7640.00
NEG GEX TRIGGERSPX 7640 negative node / ES 7656.20
WATCH-0.15% · conf 2
SPOT
ES7668.00
SPX7651.80
Range 7607.30–7728.70
ES7646.20
SPX7630.00
PUT WALLSPX 7630 0DTE PUT WALL / ES 7646.20
WATCH-0.28% · conf 3
ES7636.20
SPX7620.00
NEG GEX TRIGGERSPX 7620 negative node / ES 7636.20
WATCH-0.41% · conf 2
ES7616.20
SPX7600.00
PUT WALLSPX 7600 7DTE PUT WALL / ES 7616.20
WATCH-0.68% · conf 2

Level Reaction

Intraday tape · ES · 2026-08-24
Loading session tape…

Greek Pressure

Dealer directional forces · next session
GAMMA
COMPRESSION · 62

The published 0DTE net GEX of -$1.23B is not usable as stated; parity repair puts it at roughly +$0.44B and the sign flips. At +$0.44B against $32.8B of gross gamma this is a balanced book that damps rather than one that extends. The per-strike ladder is the independent check and it agrees: net gamma is positive at every strike from SPX 7665 up (7675 +$1,172M, 7680 +$1,260M, 7710 +$1,744M) and negative at every strike from 7660 down, unbroken to 7600. Price sits between those two strikes. Folding in dollar delta: aggregate 0DTE dex is -5,537.1 and the dominant DEX node is SPX 7700 at -2,879.9 on 9,603 OI - the same strike that is the call wall and the top vega shelf, doing all the work in this book.

GAMMA
NEUTRAL · 55

Data-quality row rather than a market row, and this scan it is decisive. The chain underlying is frozen at Friday's close of 7674.37 against a live fair value of 7663, and 163 of 256 0DTE calls - every one struck below that stale spot - return implied vol 0 and therefore gamma 0. Zero puts fail at any expiry. Because gamma_call equals gamma_put at the same strike, expiry and implied vol, this is repairable by identity rather than estimate: +$1.61B of hidden call gamma across 43 legs, moving the book from -$1.17B to +$0.44B. The 1DTE book flips the same way, -$0.07B to +$0.37B across 52 legs. At the 08:13 scan the same repair moved -$7.09B to -$5.72B and the sign held; on the post-OPEX book it flips outright, because the new book is nearly balanced and the hidden leg is now decisive. This reverses the regime call made at 08:13.

VANNA
UP · 66

Net vanna +20,038.6 - STABILISING, and a sign flip from -11,454.2 at the 08:13 scan. Spot-down with vol-up now damps rather than feeding further selling, which is the correct companion to the repaired gamma sign. The structural map has moved with it: the rank-1 antimagnet on the 1DTE structuralActual rail has fallen to SPX 7650 at VHI -3,880.8, roughly double its earlier magnitude, and now coincides exactly with the newly rolled-up 1DTE put wall. Magnets sit at SPX 7600 (+3,977.1) and 7700 (+3,254.5). Vanna Neutral itself is refused on eligibilityCoverageBelowMinimum with coverage that has WORSENED to 710 of 1,826 eligible, so no vanna-neutral level is published.

CHARM
DOWN · 74

netCharmDaily -425,203.1, a sign flip from +1,142,776.9 at 08:13, and it corroborates the charmDrift card rather than contradicting it. That card reads direction downward with projectedDeltaToClose -$177,523,880, split -$134.3M at 0DTE and -$43.2M later, at horizonDeltaChangeAgreement -0.9968 - near-total agreement across tenors. The magnitude has halved since this morning but the conviction has tightened and the driver has shifted to 0DTE settlement revaluation. This is the strongest single directional reading in the scan and it points down; it is the reason the bias is neutral rather than bullish. The card is DEGRADED with ETF confirmation disabled, so it is weighted as one input. Pressure centroid SPX 7672.98, session centroid 7674.72, both negativeCharm, both now computed on today's open interest.

COLOR
UP · 58

netColorDaily +115,518.2, six and a half times its value at the 08:13 scan. Gamma is building hard into the session rather than eroding, which favours the boundary firming and the balance case over the trend case. Together with the vanna sign flip this is the second independent greek corroborating the repaired positive gamma reading, against charm arguing the other way. The tension is real and is stated rather than smoothed over.

VOMMA
UP · 70

netVomma +35,240,399, amplifying, up 9.4M on the morning. Paired with netVega +4,828,316 the book is long vega into a week carrying PCE, GDP and NVDA. Two aggregates newly populated this scan bear on the same axis: netVeta +7,485,835,723, so vega decay is large and positive, and netUltima +1,261,161.3, positive and amplifying. Veta is a first-class harvested aggregate but has no member in this schema's greek enum, so it is reported here rather than as its own row. The VIX side frames the tail: the front weekly expiry (Wednesday 26 August) is negative at -114,391 with its call wall still at 16 against spot 15.91 and a 2DTE gamma neutral at 16.41, while the belly call walls have lifted from 16 to 20 and 18 to 22 - the market has pushed its upside vol strikes further out of reach, which is mildly constructive for equities.

SPEED
NEUTRAL · 5

speedAtGn0 is 0 at strike 7675. A single-strike level property, never comparable against a net, and carrying the standing coverage caveat that speed is non-zero on only about 1% of contracts. No directional weight. Recorded because gn0Strike 7675 independently agrees with the 0DTE gamma neutral crossing at 7676.27, and because netRho -91,511.9 - also newly populated - confirms rates are not a live driver today and is reported here rather than as its own row.

ZOMMA
DOWN · 8

zommaAtGn0 -0.3111 at strike 7675, ten times its morning magnitude but still negligible in absolute terms. A single-strike level property, not an aggregate. Reported with the same coverage caveat as speed. Also recorded here: medianProbabilityItm is now populated at 0.0085, so the median 0DTE contract carries a 0.85% chance of expiring in the money - probability of TOUCHING the strike is roughly twice that, about 1.7%, and the two must not be conflated.

Higher-Order

Second + third-order greeks
color
LATENT
115518.180

speed
LATENT
0.000

vomma
LATENT
35240398.890

zomma
LATENT
-0.311

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile0
Skew Pctile66
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

CONFIRMING · COMPLETE
4 native levels received secondary cross-asset confirmation. Strongest alignment sits around 7646.20 via ETF ratio levels and component confluence zones.

Native 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.

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

4 matched levels
PUT WALL
75 conf
7646.20
SPX 7630 0DTE PUT WALL / ES 7646.20

SPX 7630 0DTE PUT WALL / ES 7646.20 is secondarily confirmed by SPY ratio level near 7650.78 and 3-stock zone 7655.68-7667.18.

ETF 2COMP 2
NEG GEX TRIGGER
75 conf
7656.20
SPX 7640 negative node / ES 7656.20

SPX 7640 negative node / ES 7656.20 is secondarily confirmed by SPY ratio level near 7660.79 and 3-stock zone 7655.68-7667.18.

ETF 3COMP 2
NEG GEX TRIGGER
75 conf
7661.20
SPX 7645 negative node / ES 7661.20

SPX 7645 negative node / ES 7661.20 is secondarily confirmed by SPY ratio level near 7660.79 and 3-stock zone 7655.68-7667.18.

ETF 3COMP 2
DOMINANT ANCHOR
75 conf
7662.25
SPX CEX Pressure Centroid / ES 7662.25

SPX CEX Pressure Centroid / ES 7662.25 is secondarily confirmed by SPY ratio level near 7660.79 and 3-stock zone 7655.68-7667.18.

ETF 3COMP 2

ETF Confirmation Levels

SPY ratio-converted
SPY
0.85
7730.89
CALL_WALL · DTE 0

SPY ratio-converted CALL_WALL at 7730.89 (DTE 0). Secondary confirmation only.

SPY
0.85
7660.79
PUT_WALL · DTE 0

SPY ratio-converted PUT_WALL at 7660.79 (DTE 0). Secondary confirmation only.

SPY
0.85
7660.79
PUT_SUPPORT · DTE 0

SPY ratio-converted PUT_SUPPORT at 7660.79 (DTE 0). Secondary confirmation only.

SPY
0.85
7660.79
PUT_FLOOR · DTE 0

SPY ratio-converted PUT_FLOOR at 7660.79 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only
CALL_WALL
0.47
7665.72 - 7680.57
center 7673.70 · 3 names · DTE 4

3-stock call-side confluence cluster centered 7673.70. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.47
7655.68 - 7667.18
center 7661.43 · 3 names · DTE 4

3-stock put-support confluence cluster centered 7661.43. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.42
7639.58 - 7651.08
center 7645.33 · 3 names · DTE 0

3-stock put-support confluence cluster centered 7645.33. Provisional component estimate, not a native executable level.

CALL_WALL
0.40
7660.14 - 7674.99
center 7667.85 · 12 names · DTE 0

12-stock call-side confluence cluster centered 7667.85. 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 52s
  • 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.

LBF Status

Look-Below-And-Fail · conditions armed
0
NOT ARMED · 0/3 conditions
0
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
2026-08-28 · NQ
The Nasdaq is net positive on 0DTE gamma but is trading just BELOW its 0DTE flip on the rail that actually has depth, which puts it in a shallow negative-gamma pocket rather than in a damped one. The ETF rail carries 240,914 contracts within 1.5 percent of spot against the native book's 7,483 - a 32 to 1 ratio - and it places the cumulative crossing at 29,626-29,667 index, above spot, while the thin native rail places it below. Being under the flip does not contradict an upward lean, it amplifies it: impulses are not damped here, so a push accelerates into the nodes overhead rather than being sold into. Vanna agrees emphatically - all four native antimagnets sit in a band that contains spot while all four magnets sit above it, the strongest repulsion being -20,028 essentially on price. The counterweight is charm, which flipped negative early and stayed there, a mild drag that the S&P does not have.
OPEN AUCTION · NORMAL
BULLISHPOSITIVE
2026-08-28 · ES
The S&P is in strongly positive gamma with spot 15 points above a Gamma Neutral that has been rising all morning, and the book is asymmetric in a way that supports both halves of a grind-up-with-a-trapdoor read: the entire 0DTE put wing sits at ONE strike, 7700 carrying -$2,890M on 12,021 contracts, while call gamma runs continuously across eleven strikes from 7745 to 7800 with no single dominant obstacle - so the downside is a cliff at one level and the upside is a ramp. Vanna says the same thing from a different direction, with a -23,142 antimagnet at 7717.66 and a +24,764 magnet at 7767.77 straddling spot. Charm is positive and building 28.7 percent this morning. The path of least resistance is up toward the 7765-7775 complex where the dominant gamma node, the vanna magnet and the cumulative crossing all coincide.
OPEN AUCTION · NORMAL
BULLISHPOSITIVE
2026-08-27 · NQ
NDX is pinned on the largest gamma node in its own book - the native 29,510 strike at +$526M and the ETF 718 strike at +$295.7M land seven points apart on separately measured chains, joined by a STRONG allCredible cluster at percentile 0.948 - inside a strongly positive-gamma regime where dealer hedging damps every impulse, and since the open the vanna channel has inverted at spot from antimagnet to magnet so that it now reinforces the pin rather than fighting it.
OPEN AUCTION · TREND
NEUTRALPOSITIVE
2026-08-27 · NQ
NDX has cleared into damped positive gamma with spot sitting at the top of its 29,326 to 29,483 flip band, so unlike the S&P it absorbs impulses rather than amplifying them - but price is resting directly on the 0DTE vanna antimagnet at QQQ 717 with the dominant magnet of the whole board 123 points above at QQQ 720, so it is unlikely to sit still, and the 718 call wall at NQ 29,573 is the gate that decides which way it goes.
OPEN AUCTION · TREND
NEUTRALPOSITIVE
2026-08-27 · ES
SPX is sitting on its 0DTE gamma flip inside a negative-gamma pocket running from 7647 to 7736, so intraday moves amplify rather than damp until price reaches an edge - and the upper edge is guarded by the largest one-sided call-gamma block on either chain, roughly +$8.0B from 7740 to 7820 with zero put open interest above 7755.
OPEN AUCTION · TREND
NEUTRALPOSITIVE
2026-08-26 · RTY
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.
OPEN AUCTION · NORMAL
NEUTRALPOSITIVE
2026-08-26 · NQ
NQ is structurally coiled with a genuine upside pull that is capped about 150 points above spot. Spot sits INSIDE a contiguous vanna antimagnet band running NQ 29,181 to 29,269, with a contiguous magnet band NQ 29,328 to 29,416 immediately above and nothing between them, so vanna is repelling price from where it is and attracting it higher. Two independent pieces of evidence support that lean: the NQ family is call-skewed into the event, with NDX 0DTE ATM calls at 16.4 against puts at 14.9 and QQQ at 21.1 against 16.2, a REVERSE_SMIRK on both, while the ES family is put-skewed; and QQQ 0DTE positive gamma built 12x through the pre-market. Against it, the NQ family is the fragile one - underperforming ES by 16 basis points overnight, charm negative on both native and ETF books where SPX is positive, spot 47 points BELOW its own Gamma Neutral where SPX is 2 points above, and its call wall and flip both migrating DOWN while the ES flip migrated UP. The resolution is that this is a two-sided, discriminator-dependent session rather than a directional one.
OPEN AUCTION · NORMAL
NEUTRALPOSITIVE
2026-08-26 · ES
ES is in a positive and building 0DTE gamma regime with spot two points above the most corroborated level in the complex - SPX 0DTE Gamma Neutral at 7670.57 / ES 7685.1, which is also the STRONG cross-rail cluster at the 0.949 GEX percentile. Positive gamma more than doubled through the pre-market while the put wall and the flip both migrated up and the call wall never moved, a constructive drift on every component. The 0DTE straddle implies only plus or minus 31 ES points, 41 percent of the VIX-implied daily, so the base case is a small, dampened, range-bound session. The structural asymmetry is in time rather than price: 0DTE is the only positive-gamma tenor in the whole ES complex and its dampening expires at today's close, into a negative-gamma 1DTE book that prices NVDA and whose largest negative node sits overhead at SPX 7715.
OPEN AUCTION · NORMAL
BULLISHPOSITIVE
2026-08-25 · NQ
NDXP is live for the first time today and the book is unambiguously positive gamma at +$1.42B with the entire gamma shelf stacked above spot at NQ 29440-29496, while session VWAP at 29331-29337 sits precisely on the QQQ 712 node and the 0.998-percentile cluster - so a reversion into 29326-29337 followed by extension into the overhead shelf is the mechanically favoured path, with the caveat that long-gamma dealers decelerate the extension rather than accelerating it.
OPEN DRIVE UP · NORMAL
BULLISHPOSITIVE
OpenGamma Intelligence · Schema v1.1.0This brief is not investment advice.