OpenGammaIntelligence · Pre-Market

Edition · Tuesday, May 26, 2026·Archived · 5d ago · historical·26 May 2026 16:48 UTC

ESPOSITIVE

Spot7520.00Futures7531.00Basis+11.00SessionINTRADAY_RESCAN

Dealer Regime

POSITIVE — broad positive but 0DTE amplifier zones at current price. 1DTE becomes dominant PM frame from ~13:30 ET.

NetGEX $161.7MRisk LOW

Opening Type

OPEN REJECTION REVERSE

Conf 70%Day TREND

Share Card

Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓

Desk Thesis · 2026-05-26

ROTATIONAL DAY. ES PM band: ES 7516 (1DTE HVL) — ES 7541 (1DTE call wall). Slight bullish bias within range: NDX Q1 + positive RR call-buying + vanna magnet at current price (ES 7531 / SPX 7520 vanna +235K) + balanced SPX charm + VIX1D 10.49 (low intraday VIX velocity). Gap fill (ES 7486 / SPX 7475) is real but requires VIX ≥17.50 catalyst + structure confirmation. Pre-market bull thesis from morning: PRE-MARKET STRUCTURE INTACT for ES/NQ (no thesis change gate conditions met — GEX shift <25%, no regime flip, no vanna flip, no NDX trigger breach). RTY midday thesis change gate is an RTY-specific event.

Rotational day. ES PM band: 7516 (1DTE HVL) — 7541 (1DTE call wall). Key watch: 5-min close below ES 7516 + VIX ≥17.50 + negative CVD + NQ losing 29979 = gap fill at ES 7486 (SPX 7475, 0DTE +$717M + 1DTE +$1.1B dual floor) confirmed. Bull path: VIX ≤16.80 + ES reclaims 7541 = squeeze to 7551-7561. Do NOT hold short below ES 7486 into 16:00 ET close. Charm acceleration window 13:30-14:30 ET: ES 7541 (PIN #1) and ES 7511 (PIN #2) become strongly magnetic.

Bias

NEUTRAL

Confidence55%

<70 speculative · 70–85 confirmed · >85 structural

KEY DISCRIMINATOR

ES 7516 (SPX 7505): 1DTE HVL — PM FLOOR and rotational day gate. Hold above = bull range 7516-7541. 5-min close below + VIX ≥17.50 + neg CVD + NQ losing 29979 = gap fill at ES 7486 (SPX 7475, dual 0DTE +$717M / 1DTE +$1.1B floor) confirmed. Vanna trap door: dominant anti-magnets at ES 7515-7508 (SPX 7504-7497) sit immediately below 1DTE HVL — loss of 7516 triggers vanna-powered acceleration. NDX Q1 positive-RR call buying provides cross-asset bull support.

ES 5-min close above 7541 (1DTE call wall) with VIX ≤16.80 and NQ ≥30,020 = bull squeeze activated, bias flips BULLISH targeting 7551-7561. Alternatively: ES 5-min close below 7516 + VIX ≥17.50 + negative CVD = BEARISH, gap fill at 7486.

Level Map

Confluence-ranked · distances from spot 7520.00

SPX

Level

Action · Distance

ES7611.00

SPX7600.00

CALL WALLES 7611 (SPX 7600) — 3DTE Call Wall conf-4

WATCH+1.06% · conf 75 · $162.5M

ES7566.00

SPX7555.00

CALL WALLES 7566 (SPX 7555) — 1DTE SESSION CAP; QO 1DTE −$1.1B

WATCH+0.46% · conf 85 · $0

ES7561.00

SPX7550.00

CALL WALLES 7561 (SPX 7550) — 0DTE Call Wall conf-4

WATCH+0.40% · conf 88 · $16.1M

ES7551.00

SPX7540.00

CALL WALLES 7551 (SPX 7540) — 3DTE Upside Target; QO 3DTE +$549.7M

WATCH+0.27% · conf 70 · $0

ES7541.00

SPX7530.00

CALL WALLES 7541 (SPX 7530) — 1DTE Call Wall / PM CEILING / BULL GATE

WAIT_FOR_HOLD+0.13% · conf 92 · $88.6M

ES7531.00

SPX7520.00

VANNA MAGNETES 7531 (SPX 7520) — CURRENT PRICE / VANNA MAGNET; 0DTE NEG GEX

WATCH+0.00% · conf 72 · -$339.0M

ES7521.00

SPX7510.00

DOMINANT ANCHORES 7521 (SPX 7510) — 0DTE + 3DTE Negative GEX Zone

WATCH-0.13% · conf 78 · -$253.4M

SPOT

ES7531.00

SPX7520.00

Range 7390.00–7632.00

ES7516.00

SPX7505.00

HVL FLOORES 7516 (SPX 7505) — 1DTE HVL — PM FLOOR

WAIT_FOR_HOLD-0.20% · conf 90 · $88.6M

ES7515.00

SPX7504.00

VANNA MAGNETES 7515 (SPX 7504) — DOMINANT VANNA ANTI-MAGNET −572K

WATCH-0.21% · conf 82 · $0

ES7511.00

SPX7500.00

DOMINANT ANCHORES 7511 (SPX 7500) — 0DTE Amplifier + 3DTE Charm Settling

WATCH-0.27% · conf 88 · -$472.6M

ES7508.00

SPX7497.00

VANNA MAGNETES 7508 (SPX 7497) — VANNA ANTI-MAGNET −541K

WATCH-0.31% · conf 80 · $0

ES7506.00

SPX7495.00

HVL FLOORES 7506 (SPX 7495) — 0DTE HVL

WATCH-0.33% · conf 78 · $161.7M

ES7501.00

SPX7490.00

PUT WALLES 7501 (SPX 7490) — 0DTE Put Wall

WATCH-0.40% · conf 75 · $7.7M

ES7486.00

SPX7475.00

PUT WALLES 7486 (SPX 7475) — GAP FILL / DUAL STRUCTURAL FLOOR

WATCH-0.60% · conf 95 · $717.4M

ES7481.00

SPX7470.00

GAMMA FLIPES 7481 (SPX 7470) — 0DTE Gamma Flip + Void

WATCH-0.66% · conf 72 · -$529.5M

ES7476.00

SPX7465.00

GAMMA FLIPES 7476 (SPX 7465) — 1DTE Gamma Flip

WATCH-0.73% · conf 68 · $0

ES7461.00

SPX7450.00

PUT WALLES 7461 (SPX 7450) — 1DTE Put Wall

WATCH-0.93% · conf 72 · $0

ES7431.00

SPX7420.00

DOMINANT ANCHORES 7431 (SPX 7420) — Structural Anchor conf-4

WATCH-1.33% · conf 75 · $0

ES7411.00

SPX7400.00

PUT WALLES 7411 (SPX 7400) — 3DTE Put Wall

WATCH-1.59% · conf 72 · $0

ES7391.00

SPX7380.00

STRUCTURAL FLOORES 7391 (SPX 7380) — Vol Trigger; all DTEs

WATCH-1.86% · conf 80 · $0

Level Reaction

Intraday tape · ES · 2026-05-26

Loading session tape…

Greek Pressure

Dealer directional forces · next session

GAMMA

NEUTRAL · 45

Positive +$162M 0DTE but 0DTE expires today. Negative 0DTE GEX zones at ES 7531-7511 (QuantedOptions −$339M to −$472.6M) are AMPLIFIERS at current price. 1DTE becomes dominant PM structural frame from ~13:30 ET.

VANNA

DOWN · 78

SHORT VANNA (destabilizing), VHI −643K vs avg −107K — 6x more destabilizing than average. Trend RISING (intensifying). Vanna magnet AT current price ES 7531/SPX 7520 (+235K) partially pins. TRAP DOOR: dominant anti-magnets at ES 7515/7508 (−572K/−541K = −1.1M combined) sit immediately below 1DTE HVL (ES 7516). Lose 7516 = vanna-powered acceleration to 7486. Short vanna + VIX ≥17.50 = amplified downside.

CHARM

NEUTRAL · 50

Net charm −$1.04T. Path: BALANCED (above-spot $780B vs below-spot $746B). Rotational day signature — no strong charm direction. Near-spot charm positive (+$9.4K at SPX 7508 per QuantedOptions) → mild upward closing drift. PM charm pins: ES 7541 (1DTE +$1.1B, PIN #1), ES 7511 (3DTE +$1B, PIN #2), ES 7486 (dual floor, CHARM FLOOR). After 14:00 ET these become magnetic.

COLOR

COMPRESSION · 25

Proxy: negative color on 0DTE expiry day = gamma decays as time passes. 0DTE pinning force fades from ~14:00 ET. 1DTE takes full structural control into close.

Higher-Order

Second + third-order greeks

color

LATENT

-6375.984

—

speed

LATENT

-2.941

—

vomma

LATENT

-34521.603

—

zomma

LATENT

13.215

—

IV Intelligence

Quadrant · skew · term structure

Regime Quadrant

Not captured

ATM IVUnavailable

IV Percentile40

Skew Pctile20

Skew ShapeSMIRK

Expected Daily Move±1.61% / ±1.61%

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 7521.00 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

DOMINANT ANCHOR

75 conf

7521.00

ES 7521 (SPX 7510) — 0DTE + 3DTE Negative GEX Zone

ES 7521 (SPX 7510) — 0DTE + 3DTE Negative GEX Zone is secondarily confirmed by SPY ratio level near 7524.54 and 3-stock zone 7505.53-7516.83.

ETF 1COMP 2

VANNA MAGNET

75 conf

7531.00

ES 7531 (SPX 7520) — CURRENT PRICE / VANNA MAGNET; 0DTE NEG GEX

ES 7531 (SPX 7520) — CURRENT PRICE / VANNA MAGNET; 0DTE NEG GEX is secondarily confirmed by SPY ratio level near 7534.64 and 3-stock zone 7538.32-7549.62.

ETF 2COMP 2

CALL WALL

75 conf

7541.00

ES 7541 (SPX 7530) — 1DTE Call Wall / PM CEILING / BULL GATE

ES 7541 (SPX 7530) — 1DTE Call Wall / PM CEILING / BULL GATE is secondarily confirmed by SPY ratio level near 7544.74 and 3-stock zone 7538.32-7549.62.

ETF 2COMP 2

CALL WALL

75 conf

7551.00

ES 7551 (SPX 7540) — 3DTE Upside Target; QO 3DTE +$549.7M

ES 7551 (SPX 7540) — 3DTE Upside Target; QO 3DTE +$549.7M is secondarily confirmed by SPY ratio level near 7544.74 and 3-stock zone 7538.32-7549.62.

ETF 2COMP 2

ETF Confirmation Levels

SPY ratio-converted

SPY

0.85

7575.04

CALL_WALL · DTE 0

SPY ratio-converted CALL_WALL at 7575.04 (DTE 0). Secondary confirmation only.

SPY

0.85

7423.54

PUT_WALL · DTE 0

SPY ratio-converted PUT_WALL at 7423.54 (DTE 0). Secondary confirmation only.

SPY

0.85

7423.54

PUT_SUPPORT · DTE 0

SPY ratio-converted PUT_SUPPORT at 7423.54 (DTE 0). Secondary confirmation only.

SPY

0.85

7423.54

PUT_FLOOR · DTE 0

SPY ratio-converted PUT_FLOOR at 7423.54 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only

PUT_SUPPORT

0.47

7505.53 - 7516.83

center 7511.18 · 3 names · DTE 3

3-stock put-support confluence cluster centered 7511.18. Provisional component estimate, not a native executable level.

CALL_WALL

0.47

7538.32 - 7549.62

center 7543.97 · 3 names · DTE 6

3-stock call-side confluence cluster centered 7543.97. Provisional component estimate, not a native executable level.

CALL_WALL

0.40

7523.81 - 7544.10

center 7534.45 · 13 names · DTE 3

13-stock call-side confluence cluster centered 7534.45. Provisional component estimate, not a native executable level.

CALL_WALL

0.39

7524.40 - 7543.06

center 7532.59 · 15 names · DTE 0

15-stock call-side confluence cluster centered 7532.59. 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 51s

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

Gap Present

Flow Confirmed

Regime Aligned

Volume Confirmed

NOT ARMED · 0/3 conditions

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—