ESNEGATIVE
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 7651.80Level Reaction
Intraday tape · ES · 2026-08-24Greek Pressure
Dealer directional forces · next sessionThe 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.
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.
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.
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.
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.
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.
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.
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—
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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 levelsSPX 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.
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.
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.
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 Confirmation Levels
SPY ratio-convertedSPY ratio-converted CALL_WALL at 7730.89 (DTE 0). Secondary confirmation only.
SPY ratio-converted PUT_WALL at 7660.79 (DTE 0). Secondary confirmation only.
SPY ratio-converted PUT_SUPPORT at 7660.79 (DTE 0). Secondary confirmation only.
SPY ratio-converted PUT_FLOOR at 7660.79 (DTE 0). Secondary confirmation only.
Component Confluence Zones
Provisional only3-stock call-side confluence cluster centered 7673.70. Provisional component estimate, not a native executable level.
3-stock put-support confluence cluster centered 7661.43. Provisional component estimate, not a native executable level.
3-stock put-support confluence cluster centered 7645.33. Provisional component estimate, not a native executable level.
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 armedAccuracy 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. |
