NQNEGATIVE
NDXP is quoting for the first time today and the live book is materially worse than the frozen data implied. Net 0DTE GEX is -$0.86B against the +$6.1M flat read pre-open, and the ladder is negative at EVERY strike from 28850 to 29210 - the first positive node is 29220, 257 index points above spot. There is no gamma support beneath price anywhere in this book. The second live-data shock is volatility: NDX 0DTE ATM implied vol has repriced from 10.78% pre-open to 22.81%, INVERTING the term structure that ran 0DTE 10.78 / 7DTE 16.89 into 0DTE 22.81 / 7DTE 19.02. The +6.11pp event premium that was stacked behind today has collapsed into today. The measured expected move has doubled from plus or minus 198 points to plus or minus 401.
NDXP is live for the first time today and the picture is worse than the frozen data showed: 0DTE net GEX -$0.86B against a flat +$6.1M read pre-open, and the ladder negative at every strike from 28850 to 29210 with the first positive node 257 points above spot at 29220. There is no gamma support under price. Simultaneously NDX 0DTE implied vol has repriced from 10.78% to 22.81% and inverted the term structure, doubling the expected move to plus or minus 401 points. Nearest credible support is the STRONG cluster at NQ 29148, then 29100 and 29000; overhead the first credible structure is the aggregate put wall at NQ 29200 and the real objective is NQ 29400. Trade this smaller than ES - NQ has no internal edge, twice the priced range and thin per-strike open interest of 20 to 65 contracts through the whole zone around price.
Level Map
Confluence-ranked · distances from spot 28963.00Level Reaction
Intraday tape · NQ · 2026-08-24Greek Pressure
Dealer directional forces · next sessionNDX 0DTE net GEX is +$6.1M on call gamma of +$1.596B against put gamma of -$1.589B - flat to three significant figures, and a real change from -$136.8M at the 08:13 scan. There is no polarity boundary anywhere near spot, which is the key structural difference from SPX today. Independent recompute from the raw chain gives +$0.21B published and +$0.22B parity-repaired: only 8 repairable call legs against 43 on SPX, so the frozen-underlying defect barely touches this book. Folding in dollar delta: aggregate 0DTE dex is -114.1 and the largest node is a positive +28.9 at NDX 28800 - tiny in absolute terms, consistent with a front expiry whose peak strike-level open interest is 145 contracts. NQ has no internal directional edge today.
Data-quality row rather than a market row. NDX, QQQ, SPY and IWM contracts all show an oldest-quote age of roughly 232,900 seconds - 64.7 hours, frozen at Friday's close - because NDXP and the ETFs do not quote before the 09:30 ET equity-options open. SPX runs 258 to 1,437 seconds and SPX_AM 11 seconds; RUT woke since the 08:13 scan and now runs 64 seconds. This refines the earlier claim that only SPXW quotes outside RTH. Every NDX greek in this payload is therefore a Friday-close calculation carrying a Monday timestamp. What HAS changed is that the open interest underneath is now current - today's file published at 10:30:30-10:30:42 UTC for NDX and describes Friday's post-OPEX close - so the strike-anchored structure of walls and clusters is genuinely today's, which is the half that matters for levels.
Net vanna +1,341.4 - stabilising, and the same sign as SPX for the first time today. Read with care given the frozen quotes. The structural map is more useful than the aggregate: the NDX 1DTE structuralActual rank-1 magnet is NDX 29400 at VHI +197.5, coinciding with the 1DTE call wall. The dominant vanna feature on the NQ board is ETF-projected - the QQQ 0DTE antimagnet at NDX 29182.57, VHI -78,686.2, an order of magnitude above everything else and sitting 46 points above spot, bracketed by QQQ magnets at NDX 29100.36 (+6,786.0) and 29305.88 (+8,864.7) which coincide with the put wall and the STRONG call cluster respectively. Vanna Neutral is refused with ZERO of 1,642 contracts eligible, unchanged from 08:13, so no vanna-neutral level is published. The opengammaNdx rail is excluded by judgement - unrefreshed data subscription, strikes centred on Friday's close.
netCharmDaily -5,245.2, negative and now agreeing in sign with SPX, which flipped negative this scan. Every NDX and QQQ centroid is negativeCharm. The two NDX centroids are the operationally important ones: pressure at NDX 29133.13 / NQ 29210.13 on 301 strikes and session at NDX 29140.58 / NQ 29217.58 on 279 strikes. They bracket spot within eight points, and paired with a flat gamma book that is a pinning configuration rather than a directional one - it is the explanation for the current lack of movement, and it means absence of movement here is the structure working rather than a position failing. All rows carry EXPERIMENTAL_CHARM_PRESSURE_CENTROID and the session rows add CEX_PRESSURE_CENTROID_NOT_PRICE_TARGET, honoured throughout and excluded from pivot construction.
netColorDaily -6.54, marginally negative and effectively nil on a 55.5% coverage ratio over a chain whose peak strike-level open interest is 145 contracts. It carries no information and is recorded rather than dropped. The contrast with SPX is worth noting only as a caution: SPX colour is +115,518 and building hard, NQ's is zero, and the difference is at least partly a coverage artefact rather than a real divergence in positioning.
netVomma +21,079,597, amplifying and up 2.5x on the morning, so an implied-vol move in NDX gets bigger rather than self-limiting. This remains the greek that matters most for NQ this week. The term structure is the whole story and it is intact: NDX ATM straddle IV runs 10.78% at 0DTE, 12.78% at 1DTE, 16.89% at 7DTE and 19.44% at 25DTE - a +6.11pp premium of 7DTE over 0DTE, against SPX running the opposite shape. Event risk is priced as tech-specific and later in the week with today almost free, which is precisely the exposure a long NQ position carries. Paired with netVega +2,355,046 the book is long vega into that. Veta, ultima and theta are first-class harvested aggregates but are NOT populated on NQ in this build, so no reading is offered for them.
speedAtGn0 is 0 and INVALID rather than merely small. The greeks block carries GREEKS_GN0_ANCHOR_FALLBACK_SPOT with gn0Strike 29310, which is Friday's NDX close of 29308.86 rounded to the strike grid - the anchor fell back to the chain's frozen spot rather than resolving to a real gamma-neutral strike, exactly as at the 08:13 scan. This value must not be used and is reported as invalid rather than silently dropped.
zommaAtGn0 -0.0288, sharing the same invalid GN0 anchor as speed above. A single-strike level property, never comparable to a net, and here anchored to the wrong strike entirely. Reported as invalid. Also recorded here because there is no schema member for them: medianProbabilityItm, netTheta, netRho, netVeta and netUltima are all ABSENT on NQ in this build, where all five are now populated on ES - so no probability-of-ITM, theta, rho, veta or ultima reading is offered for NQ rather than guessed.
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 levelsSTRONG put cluster / NQ 29148 is secondarily confirmed by QQQ ratio level near 29167.29 and 3-stock zone 29054.36-29110.65.
NDX 28880 negative node / NQ 28980 is secondarily confirmed by 3-stock zone 29016.30-29059.90.
NDX 28900 negative node / NQ 29000 is secondarily confirmed by 3-stock zone 29016.30-29059.90.
NDX CEX Pressure Centroid / NQ 29072.31 is secondarily confirmed by 3-stock zone 29054.36-29110.65.
ETF Confirmation Levels
QQQ ratio-convertedQQQ ratio-converted CALL_WALL at 29533.91 (DTE 0). Secondary confirmation only.
QQQ ratio-converted PUT_WALL at 21590.31 (DTE 0). Secondary confirmation only.
QQQ ratio-converted PUT_SUPPORT at 21590.31 (DTE 0). Secondary confirmation only.
QQQ ratio-converted PUT_FLOOR at 21590.31 (DTE 0). Secondary confirmation only.
Component Confluence Zones
Provisional only3-stock call-side confluence cluster centered 29084.62. Provisional component estimate, not a native executable level.
3-stock put-support confluence cluster centered 29038.10. Provisional component estimate, not a native executable level.
14-stock call-side confluence cluster centered 29064.60. Provisional component estimate, not a native executable level.
12-stock put-support confluence cluster centered 29061.24. 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 47s- 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 2 levels scored| Date | Symbol | Level | Predicted | Outcome | Notes |
|---|---|---|---|---|---|
| 2026-04-20 | NQ | DOMINANT ANCHOR@ 26831.00 | FADE_AT | HELD | High print was 26827.00, four points shy of the 26831 anchor. The ceiling held and the contract closed back below at 26774.50. |
| 2026-04-20 | NQ | PUT FLOOR@ 26689.00 | BUY_ON_TEST | ABSORBED | NQ broke below first support to 26593.75, but the move did not extend to 26499 structural support. The contract recovered and closed 26774.50, so the downside strike occurred but was ultimately absorbed. |
