OpenGammaIntelligence · Pre-Market

Edition · Thursday, May 28, 2026·Archived · 3d ago · historical·28 May 2026 14:16 UTC

ESPOSITIVE

Spot7516.00Futures7526.00Basis+10.00SessionREGULAR

Dealer Regime

POSITIVE gamma ALL confirmed DTEs (0/1/6). 1DTE (May 29) dominant +.1M = 82% of +.4M total. 0DTE: +.7M. 6DTE: +.55M. ES 7526/SPX 7516 is below 0DTE HVL (SPX 7575/ES 7585) but above 0DTE gamma flip (SPX 7507/ES 7517). In positive 0DTE GEX zone. double put wall at ES 7510/SPX 7500 = structural floor.

NetGEX $181.4MRisk LOW

Opening Type

OPEN TEST DRIVE

Conf 55%Day NORMALGAP UP

Share Card

Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓

Desk Thesis · 2026-05-28

PCE confirmed in-line; IV crushed Q1-to-Q4; vanna surged +160% above avg; Color +7,493 creates dominant EOD pin toward ES 7540/SPX 7530 call wall. Hold ES 7510 mechanical floor and session closes near ES 7530-7540.

PCE confirmed in-line. IV crushed from 229% to 85.4% - Q1 Bullish Exuberance to Q4 Complacent regime flip. Vanna surged to VHI 546,206 vs avg 209,934 (+160% above avg). Color +7,493 = dominant EOD pin toward 0DTE call wall ES 7540/SPX 7530. Hold ES 7510 mechanical floor ( double put wall) and session closes near ES 7530-7540. Fail 7510 = vol amplification to 7455. Primary scenario: pin/hold 45%, bull break to 7556-7590 25%, range chop 20%, fail 10%.

Level Map

Confluence-ranked · distances from spot 7516.00

SPX

Level

Action · Distance

ES7585.00

SPX7570.00

DOMINANT ANCHORES 7580-7590 (SPX 7570-7580) triple call wall cluster - extended bull target

WATCH+0.78% · conf 90 · $10.1M

ES7560.00

SPX7550.00

CALL WALLES 7560 (SPX 7550) 1DTE Friday call wall

WATCH+0.45% · conf 78 · $12.1M

ES7540.00

SPX7530.00

CALL WALLES 7540 (SPX 7530) 0DTE call wall + dominant vanna magnet - SESSION PIN TARGET

TARGET+0.19% · conf 95 · $26.2M

ES7526.00

SPX7516.00

HVL FLOORES 7526 (SPX 7516) vanna fulcrum - AT current price

WAIT_FOR_HOLD+0.00% · conf 85 · -$292.5K

SPOT

ES7526.00

SPX7516.00

Range 7500.00–7570.00

ES7510.00

SPX7500.00

PUT WALLES 7510 (SPX 7500) double put wall - mechanical floor

CRITICAL_SUPPORT-0.21% · conf 96 · -$175.0M

ES7485.00

SPX7475.00

DOMINANT ANCHORES 7485 (SPX 7475) conf-3 support + put support

WATCH-0.54% · conf 80 · -$17.8M

ES7455.00

SPX7445.00

VOL TRIGGERES 7455 (SPX 7445) vol trigger - bear target

WATCH-0.94% · conf 72 · $0

Level Reaction

Intraday tape · ES · 2026-05-28

Loading session tape…

Greek Pressure

Dealer directional forces · next session

GAMMA

UP · 82

POSITIVE gamma ALL confirmed DTEs (0/1/6). Total +.4M. 1DTE dominant +.1M (82%, May 29 Friday). 0DTE +.7M. 6DTE +.55M. ES 7526 (SPX 7516) is 59 SPX pts below 0DTE HVL (7575) and 9 ES pts above 0DTE gamma flip (ES 7517). In positive GEX zone post-PCE. double put wall (0DTE+1DTE) at ES 7510/SPX 7500 = structural floor.

VANNA

UP · 95

LONG EXTREME STABILIZING. VHI 546,206 vs avg 209,934 (+160% above average) - MASSIVE surge from pre-market +7%. Trend: RISING. DOMINANT LONG MAGNETS: SPX 7531 (+1.1M), 7524 (+490K), 7539 (+168K), 7546 (+39K). ANTI-MAGNETS: SPX 7501 (-483K), 7508 (-356K), 7516 (-292K - AT current price SPX 7516), 7493 (-114K). Vanna surged post-PCE in-line print. Long magnets pull price toward ES 7541-7556.

CHARM

NEUTRAL · 50

Net -. Path of least resistance: BALANCED. Above-spot charm vs below-spot (1.04x - essentially flat). Primary attractors: SPX 7450 (+), 7475 (+.3B) on downside. Upside: SPX 7580 (+.7B), 7570 (+.9B), 7600 (+.1B). Color +7,493 EOD pin dominates direction post 12 PM ET - overrides balanced charm.

COLOR

UP · 94

Color +7,493. DOMINANT EOD PIN - 84x stronger than NQ (+88). After 12 PM ET, dominant GEX clusters gravitates ES toward 0DTE call wall (ES 7540/SPX 7530). SPX 7531 vanna magnet +1.1M reinforces pin. Primary mechanical close driver for session. Fade moves away from ES 7530-7540 zone after 13:30 ET.

SPEED

DOWN · 75

Speed -4.47. Gamma FALLS as price rises (dampening above - positive regime). AMPLIFICATION below ES 7517 gamma flip. Critical: if ES 7510 breaks, Speed amplifies downward hedging demand. Cascade to ES 7455 vol trigger accelerated by Speed mechanics.

VOMMA

UP · 68

Vomma +13,210. Positive vomma = vol expansion ADDS to GEX feedback. Post-PCE: residual event premium in chain retains value. If vol compresses further from 85.4%, positive vomma means GEX structure is robust. Consistent with Q4 complacent regime.

ZOMMA

UP · 45

Zomma +197.5. Positive (vs pre-market negative). GEX INCREASES as vol rises. Post-PCE pattern: if vol shock occurs, GEX amplification ADDS to hedging. Moderate level, no anomalous signal. Normal post-event positive zomma.

Higher-Order

Second + third-order greeks

color

LATENT

7493.233

DOMINANT EOD PIN FORCE. Active after 12 PM ET. Gravitates price toward 0DTE call wall cluster (SPX 7530/ES 7540). 84x stronger than NQ Color. Session's primary mechanical close driver.

speed

LATENT

-4.468

Gamma falls as price rises (dampening above). Amplification on downside through put wall ES 7510. Speed most dangerous below gamma flip ES 7517.

vomma

LATENT

13210.487

POSITIVE - vol convexity for dealers positive. Residual event premium in chain. Options retain value if IV rises from 85.4%. Less aggressive further compression vs RTY.

zomma

LATENT

197.526

Moderate positive. Gamma increases as vol rises. Normal post-event pattern. No anomalous signal.

IV Intelligence

Quadrant · skew · term structure

Regime Quadrant

Q4 Complacent (Cautious Stability) - PCE vol fully crushed. 0DTE ATM IV 85.40% at 31.5%ile (below average). Put skew restored (RR -170.76). Normal market conditions post-event.

ATM IV85.4%

IV Percentile32

Skew Pctile28

Skew ShapeSMIRK

Expected Daily Move±1.50% / ±1.50%

Term Structure

POST PCE CRUSH NORMAL — BACKWARDATION — stress premium in front

0DTE (2026-05-28, 85.40%, 31.5%ile, Q4 - PCE vol crushed from 229.28%)

7DTE (2026-06-04, 20.26%, 0.3%ile, Q3 - post-event complacency extreme low)

30DTE (38.58%, 0.6%ile, Q3 - multi-week complacency)

FRONT MID BACK

Cross-Asset Confirmation / Component Confluence

PARTIAL · PARTIAL_TIMEOUT · partial

4 native levels received secondary confirmation, but the overlay run was partial.

Use the retained confirmations as provisional context only. Partial runtime means missing confirmations should be treated as unknown rather than directional evidence.

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

18 conf

7510.00

ES 7510 (SPX 7500) double put wall - mechanical floor

ES 7510 (SPX 7500) double put wall - mechanical floor is secondarily confirmed by 12-stock zone 7505.93-7528.35.

COMP 2

HVL

18 conf

7526.00

ES 7526 (SPX 7516) vanna fulcrum - AT current price

ES 7526 (SPX 7516) vanna fulcrum - AT current price is secondarily confirmed by 12-stock zone 7514.78-7530.68.

COMP 2

CALL WALL

18 conf

7540.00

ES 7540 (SPX 7530) 0DTE call wall + dominant vanna magnet - SESSION PIN TARGET

ES 7540 (SPX 7530) 0DTE call wall + dominant vanna magnet - SESSION PIN TARGET is secondarily confirmed by 12-stock zone 7520.82-7539.34.

COMP 2

DOMINANT ANCHOR

2 conf

7485.00

ES 7485 (SPX 7475) conf-3 support + put support

ES 7485 (SPX 7475) conf-3 support + put support is secondarily confirmed by 1-stock zone 7483.89-7495.17.

COMP 1

ETF Confirmation Levels

SPY ratio-converted

No ETF ratio confirmations were retained.Missing ETF spot or source coverage can suppress this list on bounded runs.

Component Confluence Zones

Provisional only

CALL_WALL

0.41

7520.82 - 7539.34

center 7529.19 · 12 names · DTE 1

12-stock call-side confluence cluster centered 7529.19. Provisional component estimate, not a native executable level.

PUT_SUPPORT

0.41

7514.78 - 7530.68

center 7522.93 · 12 names · DTE 1

12-stock put-support confluence cluster centered 7522.93. Provisional component estimate, not a native executable level.

PUT_SUPPORT

0.41

7505.93 - 7528.35

center 7518.13 · 12 names · DTE 4

12-stock put-support confluence cluster centered 7518.13. Provisional component estimate, not a native executable level.

CALL_WALL

0.41

7520.82 - 7539.34

center 7530.55 · 12 names · DTE 6

12-stock call-side confluence cluster centered 7530.55. 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.
Parts of the overlay could not be converted onto the futures axis because a required live price was unavailable.
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.
The overlay scan was partial because the runtime budget was hit or a source stage degraded. Treat absent confirmations as unknown, not bearish or bullish evidence.

Overlay Diagnostics

Runtime 42s

Component source stage reached runtime budget

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.
COMPONENT_SOURCE: SYMBOL_TIMEOUT: META timed out during component source resolution

LBF Status

Look-Below-And-Fail · conditions armed

Above H V L

Vix Confirmation

Vanna Confirmation

Sustained Directional Flow

NOT ARMED · 1/3 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—