Edition · Monday, May 4, 2026·Published 1h ago · pre-open·04 May 2026 15:25 UTC
ESNEGATIVE
Spot7228.00Futures7255.00Basis+27.00SessionREGULAR
Dealer Regime
NEGATIVE GAMMA — SLIGHTLY IMPROVED. 0DTE snapshot -$18.65M vs -$21.47M at rescan #1 (13% improvement). Breakdown near-neutral (-$3.16M). HOD 7271 tested call wall 7277, was repelled. Put floor migrated DOWN 25pts: ES 7227 → ES 7202. Gamma peak updated to ES 7257 (3x build). Vanna inverted bullish: magnets above, anti-magnets below. Structural binary ES 7249 holds.
NetGEX -$18.6MRisk ELEVATED
Opening Type
IN SESSION EU CLOSE PULLBACK
Conf 80%Day IRAN SHOCK GLOBEX RECOVEREDHOD AT 7271 REPELLED BY CALL WALL 7277 EU CLOSE PULLBACK TO 7255
Desk Thesis · 2026-05-04
ES at 7255 is pulling back from HOD 7271 (was 6pts from HVL 7277) on European close. Gamma peak at ES 7257 (3x build) provides strong PM pin pressure. Structural binary ES 7249 remains key: above = pin toward 7257-7264 with vanna magnets pulling up; below = anti-magnet cascade (7242→7228) to secondary support 7227 and migrated-down dominant put floor ES 7202 (was 7227 — floor weakened). Call wall at 7277 has STRENGTHENED (+$15.46M). 2DTE +$21.76M structural backstop unchanged. Vanna inverted to bullish configuration (magnets now above spot, anti-magnets below).
PRE-MARKET STRUCTURE INTACT. No gates triggered. STRUCTURAL UPDATES: put floor migrated down ES 7227→7202 (weakened). Call wall 7277 strengthened. Gamma peak 7257. Vanna inverted bullish. PM dominant scenario: pin near ES 7257 in 3x gamma environment. Binary: ES 7249. Below → anti-magnet cascade to migrated-down floor ES 7202 (not 7227). Scenarios: Pin 7249-7277 (45%), HOD retest 7271 (25%), binary failure to ES 7202 (30%).
Level Map
Confluence-ranked · distances from spot 7228.00ES
SPX
Level
Action · Distance
ES7327.00
SPX7300.00
CALL WALL2DTE+7DTE dominant call wall (+$21.76M 2DTE, +$10.06M 7DTE) (ES 7327 / SPX 7300)
WATCH+1.40% · conf 3
ES7302.00
SPX7275.00
CALL WALL0DTE upper call zone (+$4.29M snapshot) (ES 7302 / SPX 7275)
WATCH+0.73% · conf 2
ES7277.00
SPX7250.00
GEX MAGNETHVL (medium conf) + CALL WALL STRENGTHENED (+$15.46M call GEX, +$7.13M net). REPELLED HOD 7271. (ES 7277 / SPX 7250)
WATCH+0.86% · conf 3
ES7275.00
SPX7248.00
VANNA MAGNETSecondary vanna magnet (+363K) (ES 7275 / SPX 7248)
WATCH+0.78% · conf 2
ES7271.00
SPX7244.00
RESISTANCEHOD reference — session HOD established, tested call wall resistance (ES 7271 / SPX 7244)
WATCH+0.62% · conf 2
ES7264.00
SPX7237.00
VANNA MAGNETPRIMARY vanna magnet (+462K STRONGEST) — now ABOVE spot, net vanna pull upward (ES 7264 / SPX 7237)
WATCH+0.35% · conf 3
ES7257.00
SPX7230.00
DOMINANT ANCHORGAMMA PEAK (updated 7253→7257 / SPX 7230). 3x gamma build = PM pin anchor. (ES 7257 / SPX 7230)
WATCH+0.08% · conf 3
ES7249.00
SPX7222.00
GAMMA FLIPSTRUCTURAL BINARY (maintained from rescan #1). 0DTE BS flip dissolved to LOW conf. Functional zone ~7242-7249. Anti-magnet SPX 7222 (-288K). Hold above = bull/pin. Break = cascade. (ES 7249 / SPX 7222)
WATCH-0.23% · conf 3
ES7242.00
SPX7215.00
VANNA ANTI MAGNETSTRONGEST anti-magnet BELOW (-453K) — maximum acceleration zone on binary break (ES 7242 / SPX 7215)
WATCH-0.50% · conf 2
ES7235.00
SPX7208.00
VANNA ANTI MAGNETSecondary anti-magnet (-184K) (ES 7235 / SPX 7208)
WATCH-0.77% · conf 2
SPOT
ES7255.00
SPX7228.00
Range 7177.00–7302.00
ES7228.00
SPX7201.00
VANNA ANTI MAGNETTertiary anti-magnet (-214K) (ES 7228 / SPX 7201)
WATCH-1.04% · conf 2
ES7227.00
SPX7200.00
SUPPORTSECONDARY SUPPORT — former dominant put wall REDUCED to -$4.93M (was -$12.71M). Still support, no longer dominant floor. (ES 7227 / SPX 7200)
WATCH-1.09% · conf 2
ES7202.00
SPX7175.00
SUPPORT⚠️ DOMINANT PUT FLOOR — MIGRATED DOWN from ES 7227. SPX 7175 (-$7.46M breakdown / -$8.28M snapshot). Bear first target. (ES 7202 / SPX 7175)
WATCH-2.06% · conf 3
ES7177.00
SPX7150.00
VOL TRIGGERVol trigger MUST HOLD (-$5.86M at SPX 7150). Below = open air. (ES 7177 / SPX 7150)
WATCH-3.04% · conf 3
ES7150.00
SPX7123.00
NEG GEXDeep vol trigger / open air below (ES 7150 / SPX 7123)
WATCH-4.07% · conf 2
Level Reaction
Intraday tape · ES · 2026-05-04Loading session tape…
Greek Pressure
Dealer directional forces · next sessionGAMMA
NEUTRAL · 60
NEGATIVE regime. Net GEX -$18.65M (snapshot). Breakdown shows near-neutral -$3.16M (Polygon-quoted only). 3x gamma build today (14,655→43,224). Color: -26,762 (gamma near peak). Gamma peak updated to ES 7257 / SPX 7230. Call wall at 7277 strengthened and repelled HOD. Put floor migrated DOWN from ES 7227 → ES 7202.
VANNA
NEUTRAL · 30
VHI IMPROVING ALL SESSION: -384K (pre-mkt) → -212K (rescan #1) → -112K (rescan #2). Session min was -707K at open. FALLING trend maintained. KEY STRUCTURAL INVERSION: vanna magnets shifted to ABOVE spot (SPX 7237/7230 = ES 7264/7257) while anti-magnets moved to BELOW spot (SPX 7222/7215 = ES 7249/7242). Net vanna pull is NOW UPWARD — most bullish vanna configuration of the session.
CHARM
NEUTRAL · 50
Net charm: -570.4B (was -242.5B at rescan #1 — more than doubled). Charm/gamma ratio: 176.77 (high, peaked at 184 during HOD). Path of least resistance: BALANCED (1.075:1 below/above). FALLING trend. High charm = time decay dominant. Balanced path = no strong directional pull for PM session. Pin near gamma peak 7257 is most likely EOD outcome.
Higher-Order
Second + third-order greekscolor
LATENT
0.000
—
speed
LATENT
0.000
—
vomma
LATENT
0.000
—
zomma
LATENT
0.000
—
IV Intelligence
Quadrant · skew · term structureRegime Quadrant
Not captured
ATM IVUnavailable
IV Percentile—
Skew Pctile—
Skew Shape—
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).
LBF Status
Look-Below-And-Fail · conditions armedNOT ARMED · 0/3 conditions
0
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 editions2026-05-04 · ES
ES at 7255 is pulling back from HOD 7271 (was 6pts from HVL 7277) on European close. Gamma peak at ES 7257 (3x build) provides strong PM pin pressure. Structural binary ES 7249 remains key: above = pin toward 7257-7264 with vanna magnets pulling up; below = anti-magnet cascade (7242→7228) to secondary support 7227 and migrated-down dominant put floor ES 7202 (was 7227 — floor weakened). Call wall at 7277 has STRENGTHENED (+$15.46M). 2DTE +$21.76M structural backstop unchanged. Vanna inverted to bullish configuration (magnets now above spot, anti-magnets below).
IN SESSION EU CLOSE PULLBACK · IRAN SHOCK GLOBEX RECOVERED
NEUTRALNEGATIVE—
2026-05-04 · NQ
NQ pulled back sharply from HOD 27940 (within 18 NQ pts of HVL 27958) on European close. Gamma peak has MIGRATED DOWN from 27908 → 27842, creating a new gravitational anchor. Current spot 27863 is 21 NQ pts above the gamma peak. Dominant PM scenario: gravity pull toward gamma peak 27842 and settlement 27840-27880 (6.7x gamma build = strong pin). BEAR RISK: gamma peak 27842 fails → anti-magnet at NQ 27815 (NDX 27697, -18,247) cascades → put wall 27818 → structural floor 27787. EXTREME BEAR: charm 2.16:1 downward pulls toward VOL TRIGGER 27538 = CHARM MAX DECAY ZONE (NDX 27420). Vanna VHI at session minimum (-16,082) amplifies any vol event.
IN SESSION EU CLOSE PULLBACK · IRAN SHOCK GLOBEX RECOVERED NQ OUTPERFORMED
NEUTRALPOSITIVE—
2026-05-04 · RTY
RTY is in razor-thin positive gamma (+$333K, 69% thinner than pre-market) sitting on the vanna anti-magnet/magnet corridor at RTY 2811. Session binary is now RTY 2809 (gamma flip, updated from pre-market 2795): above = magnet staircase to 2820-2832; below = negative gamma air pocket to dominant put wall RTY 2797. ES binary (7252) resolution is the directional catalyst. FALLING charm means the morning window is cleaner than the afternoon.
OPEN AUCTION · ATH TEST WITH NEGATIVE CVD DIVERGENCE
NEUTRALPOSITIVE—
2026-05-01 · ES
Gate 2 triggered via constructive GEX expansion, not deterioration. ES is rotating inside a stronger positive-gamma cage: hold ES 7275 (SPX 7245) and then ES 7230 (SPX 7200) for continued pin/upper-balance behavior toward ES 7280 and ES 7310. Lose ES 7230 and the repair path opens toward ES 7209.44 and ES 7202.94.
IN SESSION RANGE PIN · BALANCE EXPANSION TO ATH
NEUTRAL_BULLISHPOSITIVE—
2026-05-01 · RTY
Gate 2 supersedes the pre-market ATH-continuation bias into an upper-balance pin: RTY must accept above RTY 2807-2808 to reactivate the bull path; below RTY 2797 the auction repairs toward RTY 2792 and RTY 2782.
IN SESSION UPPER BALANCE PIN · FAILED BREAKDOWN THEN FULL BALANCE TRAVERSE
NEUTRAL_BULLISHPOSITIVE—
2026-05-01 · NQ
Base case is extended imbalance continuation while NQ holds the 27583-27603 opening shelf and reclaims the 27628 call-wall/HVL; failure below NQ 27539 then 27511 shifts the day from ATH continuation into failed-breakout repair toward 27429 and 27328.
OPEN AUCTION TO DRIVE · BALANCE RETEST AND EXPANSION TO ATH
BULLISHPOSITIVE—
2026-04-30 · ES
Gate 2 triggered (0DTE GEX +273%): morning bear thesis invalidated. ES accepted above the former call wall (ES 7180 / SPX 7150) post-GDP. Bullish continuation thesis: hold above HVL (ES 7175 / SPX 7145) targets 1DTE call wall (ES 7230 / SPX 7200), then squeeze extension (ES 7270 / SPX 7240). Failure below ES 7175 (HVL) → gamma crossover risk toward gamma flip ES 7155 and put wall ES 7130.
POST EVENT CONTINUATION · EVENT BINARY GDP
BULLISHPOSITIVE—
2026-04-30 · NQ
Gate 3 triggered (vanna sign flip SHORT→LONG): morning bear cascade thesis invalidated. NQ accepted above former call wall (NQ 27480 / NDX 27350) post-GDP. Vanna stabilizing = NQ no longer leads cascade. Bullish continuation thesis: hold above former call wall (NQ 27480 / NDX 27350) targets 1DTE call wall (NQ 27630 / NDX 27500), then 6DTE call wall (NQ 27830 / NDX 27700). Failure below NQ 27290 (HVL) reinstates bear path toward gamma flip (NQ 27173) then put wall (NQ 27130).
POST EVENT CONTINUATION · EVENT BINARY GDP
BULLISHPOSITIVE—
2026-04-30 · RTY
PRE-MARKET STRUCTURE INTACT (no gate triggered) — bear prior persists as RTY remains below VAL (2786), below new HVL (2774), and below dominant call wall (2769). Morning unfinished auction at RTY 2753 is being tested LIVE. Post-GDP resolved catalyst, VIX suppression, rising charm drift, and vanna magnets above shift Scenario B probability to 45%. Tape judgment at RTY 2753 governs whether the bear structural prior is replaced.
IN SESSION AUCTION TEST · B SHAPE SERIES
BEARISH_LEANPOSITIVE—