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OpenGammaIntelligence · Pre-Market
Edition · Thursday, July 2, 2026·Archived · 14d ago · historical·02 Jul 2026 12:49 UTC

NQPOSITIVE

Spot30155.00Futures30155.00Basis+262.00SessionREGULAR
Dealer Regime
DUAL_POSITIVE_GAMMA_VANNA_STABILIZING_THIN_0DTE_NFP_WINDOW
NetGEX $1Risk LOW
Opening Type
OPEN TEST DRIVE
Day DOUBLE DISTGAP UP
Share Card
Accuracy Ledger2 logged · 2 scored50% hit rateFull ledger ↓
Desk Thesis · 2026-07-02

Positive-but-thin 0DTE gamma with cleanly positive 6DTE gamma, and LONG/stabilizing (rising) vanna, but NDX's charm signal is the one confirmed bearish tell today - independently corroborated by pathOfLeastResistance, centroid mass split, and desktop session CEX all agreeing on a downward lean into the NFP print.

NDX/NQ is in positive-but-thin 0DTE gamma and cleanly positive 6DTE gamma, with vanna LONG/stabilizing and RISING (strengthening); live spot sits just below a stabilizing magnet cluster (30116-30265), but NDX's own charm signal (pathOfLeastResistance explicitly Downward, corroborated by desktop session CEX) is the one confirmed cross-index asymmetry today - this scan lands inside the NFP release window, so treat the structure as pre-print positioning, with NDX the more likely leg to break first on a bearish surprise.

Level Map

Confluence-ranked · distances from spot 30155.00
NQ
NDX
Level
Action · Distance
NQ30762.00
NDX30500.00
CALL WALLConfluence resistance (0,6DTE)
WATCH+1.13% · conf 2
NQ30472.00
NDX30210.00
CALL WALLConfluence resistance (0,6DTE)
WATCH+0.18% · conf 2
NQ30382.00
NDX30120.00
CALL WALL0DTE Call Wall
WATCH-0.12% · conf 2
NQ30262.00
NDX30000.00
CALL WALLConfluence resistance + 6DTE Call Wall
WATCH-0.51% · conf 3
NQ30175.72
NDX29913.72
VANNA MAGNETVanna Magnet #1 (dominant stabilizing)
WATCH-0.79% · conf 1
SPOT
NQ30155.00
NDX30155.00
Range 29478.00–30832.00
NQ30026.30
NDX29764.30
VANNA ANTIMAGNETVanna Antimagnet #1 (biggest destabilizing)
WATCH-1.28% · conf 1
NQ29662.00
NDX29400.00
PUT WALL0DTE Put Wall + 0DTE Vol Trigger + Max Charm Growth Zone
WATCH-2.48% · conf 3
NQ29462.00
NDX29200.00
PUT FLOORConfluence support (0,6DTE)
WATCH-3.14% · conf 2
NQ29262.00
NDX29000.00
PUT FLOORConfluence support (0,6DTE)
WATCH-3.80% · conf 2
NQ28962.00
NDX28700.00
PUT WALL6DTE Put Wall
WATCH-4.78% · conf 1

Level Reaction

Intraday tape · NQ · 2026-07-02
Loading session tape…

Greek Pressure

Dealer directional forces · next session
VANNA
UP · 50

NDX vanna LONG/stabilizing and RISING (strengthening) - the more constructive of the two vanna reads today

CHARM
DOWN · 65

NDX charm/gamma ratio extreme (64,918, thin gamma); pathOfLeastResistance explicitly Downward, corroborated by desktop session CEX centroid (negativeCharm dominant on both session and full-curve rails)

GAMMA
UP · 25

0DTE barely positive (+$1.09M, only 6,303 OI - thin book); 6DTE cleanly positive (+$3.24M)

COLOR
UP · 40

Positive color both MCP and desktop - modest gamma building

VOMMA
DOWN · 30

MCP reads dampening; desktop reads amplifying (+8.73M) - cross-source disagreement, same pattern as SPX

Higher-Order

Second + third-order greeks
color
LATENT
8.510

—

speed
LATENT
-0.002

—

vomma
LATENT
-152.930

—

zomma
LATENT
0.430

—

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile28
Skew Pctile30
Skew ShapeNORMAL
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).

Cross-Asset Confirmation / Component Confluence

CONFIRMING · COMPLETE
4 native levels received secondary cross-asset confirmation. Strongest alignment sits around 30382.00 via ETF ratio levels.

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
CALL WALL
38 conf
30382.00
0DTE Call Wall

0DTE Call Wall is secondarily confirmed by QQQ ratio level near 30355.85.

ETF 3
CALL WALL
38 conf
30762.00
Confluence resistance (0,6DTE)

Confluence resistance (0,6DTE) is secondarily confirmed by QQQ ratio level near 30771.68.

ETF 3
VANNA ANTIMAGNET
19 conf
30026.30
Vanna Antimagnet #1 (biggest destabilizing)

Vanna Antimagnet #1 (biggest destabilizing) is secondarily confirmed by 3-stock zone 30037.75-30082.99.

COMP 2
VANNA MAGNET
18 conf
30175.72
Vanna Magnet #1 (dominant stabilizing)

Vanna Magnet #1 (dominant stabilizing) is secondarily confirmed by 9-stock zone 30108.38-30163.80.

COMP 2

ETF Confirmation Levels

QQQ ratio-converted
QQQ
0.85
30563.76
CALL_WALL · DTE 0

QQQ ratio-converted CALL_WALL at 30563.76 (DTE 0). Secondary confirmation only.

QQQ
0.85
19752.09
PUT_WALL · DTE 0

QQQ ratio-converted PUT_WALL at 19752.09 (DTE 0). Secondary confirmation only.

QQQ
0.85
19752.09
PUT_SUPPORT · DTE 0

QQQ ratio-converted PUT_SUPPORT at 19752.09 (DTE 0). Secondary confirmation only.

QQQ
0.85
19752.09
PUT_FLOOR · DTE 0

QQQ ratio-converted PUT_FLOOR at 19752.09 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only
PUT_SUPPORT
0.42
30037.75 - 30082.99
center 30060.37 · 3 names · DTE 0

3-stock put-support confluence cluster centered 30060.37. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.42
29827.63 - 29872.87
center 29850.25 · 3 names · DTE 8

3-stock put-support confluence cluster centered 29850.25. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.40
30108.38 - 30163.80
center 30135.43 · 9 names · DTE 0

9-stock put-support confluence cluster centered 30135.43. Provisional component estimate, not a native executable level.

CALL_WALL
0.40
30134.88 - 30214.70
center 30165.67 · 11 names · DTE 0

11-stock call-side confluence cluster centered 30165.67. 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 48s
  • 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
0
NOT ARMED · 0/3 conditions
0
Tension Index

Accuracy Log

Outcomes · last 2 levels scored
DateSymbolLevelPredictedOutcomeNotes
2026-04-20NQDOMINANT ANCHOR@ 26831.00FADE_ATHELDHigh print was 26827.00, four points shy of the 26831 anchor. The ceiling held and the contract closed back below at 26774.50.
2026-04-20NQPUT FLOOR@ 26689.00BUY_ON_TESTABSORBEDNQ 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.
Total Logged2
Scored2
Hit Rate50%
Best Level Type—

Archive

Recent editions
2026-07-15 · RTY
RTY's PPI reaction was the weakest of the three families (+0.15% vs ES/NQ's +0.2-0.3%), and session-long DEX/vanna have stayed negative the entire morning without crossing positive - a persistent bearish-leaning Greek signature distinct from SPX/NQ's more constructive builds, reinforcing the user's own excess-high/breakdown read while respecting genuine two-sided rotation risk within the newly-formed lower balance.
OPEN TEST DRIVE
BEARISHNEGATIVE—
2026-07-15 · NQ
PPI printed a market-friendly reaction that pushed NQ ~70-90pts through the dominant confluence pin (29929) before the open; today resolves on whether that breakout holds through the first 30 minutes of cash trading or gets reclaimed and rejected back into the pin/HG zone, with NDX-side data quality thinner than SPX's this session.
OPEN TEST DRIVE
BULLISHNEGATIVE—
2026-07-15 · ES
PPI printed a market-friendly reaction that pushed ES 15-19pts through the dominant 0DTE pin (7589) before the open; today resolves on whether that breakout holds through the first 30 minutes of cash trading or gets reclaimed and rejected back into the pin/charm-centroid zone.
OPEN TEST DRIVE
BULLISHNEGATIVE—
2026-07-14 · RTY
RTY flipped back to positive/dampening 0DTE gamma today (+$32.29M), the only positive-gamma instrument of the three families, with spot pinned essentially on top of the native 0DTE GN (RTY 2965.59) and the day's strongest confluence (RTY 2964.35); expect chop inside the pin through CPI, with RTY likely dampening rather than amplifying a directional CPI move relative to ES/NQ's negative-gamma books today.
OPEN AUCTION
NEUTRALPOSITIVE—
2026-07-14 · NQ
NDX/NQ flipped to a thin/mild negative-gamma 0DTE book overnight (-$186.4M) with live spot sitting essentially inside the day's strongest GEX confluence (NQ 29609-29646); CPI prints within the hour, and NQ's vanna map (largest magnet above spot) and charm read (dominant centroid below spot) disagree on direction, arguing for a genuinely two-sided, event-driven session.
OPEN AUCTION
NEUTRALNEGATIVE—
2026-07-14 · ES
SPX/ES flipped to a decisively negative-gamma 0DTE book overnight (-$6.99B) with live spot sitting essentially inside the day's strongest GEX confluence (ES 7554-7564); CPI prints within the hour, and the negative-gamma regime means a surprise in either direction has more room to extend than yesterday's positive-gamma session allowed.
OPEN AUCTION
NEUTRALNEGATIVE—
2026-07-13 · RTY
RTY sits 17.75pts below a now-clean native 0DTE GN (RTY 3002.75) inside a freshly negative-gamma book (-$18.0M, a regime flip from Friday's balance); expect a test toward the 2994 resistance/antimagnet confluence with real rejection-or-acceleration risk given the negative-gamma regime, rotating toward the 2962-2964 support confluence if rejected.
OPEN TEST DRIVE
NEUTRALNEGATIVE—
2026-07-13 · NQ
NDX/NQ sits inside a tight, genuinely bracketing confluence pin (NQ 29762-29793); expect chop within or just outside that bracket toward 29629-29639 (dominant put wall/HG control line) below or 29886 (call wall) above unless a level breaks with volume ahead of tomorrow's CPI.
OPEN AUCTION
NEUTRALPOSITIVE—
2026-07-13 · ES
SPX/ES sits 11.8pts below a multi-root 0DTE Gamma Neutral (ES 7610.82) inside a decisively positive-gamma book; expect range/fade behavior between the 7591 near-spot support and the 7620-7621 GEX/vanna confluence resistance unless one side breaks with volume ahead of tomorrow's CPI.
OPEN AUCTION
NEUTRALPOSITIVE—
OpenGamma Intelligence · Schema v1.1.0This brief is not investment advice.