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OpenGammaIntelligence · Pre-Market
Edition · Monday, July 6, 2026·Archived · 10d ago · historical·06 Jul 2026 11:50 UTC

ESPOSITIVE

Spot7560.00SessionREGULAR
Dealer Regime
POSITIVE_GAMMA_VANNA_TRAP
NetGEX $8.2KRisk MODERATE
Opening Type
OPEN AUCTION
Conf 45%
Share Card
Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓
Desk Thesis · 2026-07-06

SPX sits in positive/dampening 0DTE gamma with its strongest vanna magnet at ES 7600 sitting just beyond the book's strongest antimagnet at ES 7550 -- a magnet-into-antimagnet trap that favors a touch-and-reject over a clean breakout, consistent with the look-above-and-fail lean.

Fade a clean tag into ES 7587-7600 back toward 7551/7530 given the co-located vanna antimagnet at 7550; only respect a breakout above 7600 if NQ has already cleared 29976-30058 without SPX rejecting first.

Level Map

Confluence-ranked · distances from spot 7560.00
ES
SPX
Level
Action · Distance
ES7600.00
SPX7550.00
CALL WALL1DTE/7DTE call wall + strongest vanna magnet + STRONG-tier cluster (SPX 7550)
WATCH+0.53% · conf 3
SPOT
ES7560.00
SPX7560.00
Range 7482.70–7637.30
ES7550.00
SPX7500.00
VANNA ANTIMAGNETStrongest 1DTE vanna antimagnet, vanna -6981.5 (SPX 7500)
WATCH-0.13% · conf 3
ES7540.00
SPX7490.00
CALL WALL0DTE call wall (SPX 7490)
WATCH-0.26% · conf 1
ES7530.00
SPX7480.00
PUT WALL0DTE put wall, OI 662 (SPX 7480)
WATCH-0.40% · conf 2
ES7525.00
SPX7475.00
VANNA ANTIMAGNET0DTE vanna antimagnet, fixed1m (SPX 7475)
WATCH-0.46% · conf 1
ES7518.00
SPX7468.13
GAMMA FLIPNative 0DTE Gamma Neutral, rootStability clean (SPX 7468.13)
WATCH-0.56% · conf 3
ES7450.00
SPX7400.00
PUT FLOOR1DTE vanna magnet + 7DTE put wall confluence (SPX 7400)
WATCH-1.46% · conf 2

Level Reaction

Intraday tape · ES · 2026-07-06
Loading session tape…

Greek Pressure

Dealer directional forces · next session
VANNA
DOWN · 65

netVanna destabilizing-negative most of the session (-1600 to -5900 range), currently -1600.8; the single strongest vanna reading in the book is the -6981.5 antimagnet at ES 7550, directly beneath the strongest magnet at ES 7600.

CHARM
UP · 80

netCharmDaily built steadily from ~420k to 582,658 across the session with no reversal -- a mild grind/pin tailwind, not a directional charm-driven bias.

GAMMA
UP · 75

0DTE book net long-gamma (call GEX +15.33B vs put -7.13B); live spot sits 42pts above the native 0DTE Gamma Neutral -- positive/dampening regime.

VOMMA
UP · 55

netVomma positive -- vol-of-vol amplifying, consistent with the destabilizing vanna pocket at the 7550 antimagnet.

Higher-Order

Second + third-order greeks
color
LATENT
76887.430

—

speed
LATENT
-11199.780

—

vomma
LATENT
35844884.920

—

zomma
LATENT
-0.098

—

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile25
Skew Pctile50
Skew ShapeSMIRK
Expected Daily Move±1.03% / ±1.03%
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 7600.00 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
7600.00
1DTE/7DTE call wall + strongest vanna magnet + STRONG-tier cluster (SPX 7550)

1DTE/7DTE call wall + strongest vanna magnet + STRONG-tier cluster (SPX 7550) is secondarily confirmed by SPY ratio level near 7602.84.

ETF 3
PUT WALL
18 conf
7530.00
0DTE put wall, OI 662 (SPX 7480)

0DTE put wall, OI 662 (SPX 7480) is secondarily confirmed by 15-stock zone 7539.86-7563.58.

COMP 2
CALL WALL
18 conf
7540.00
0DTE call wall (SPX 7490)

0DTE call wall (SPX 7490) is secondarily confirmed by 15-stock zone 7544.71-7560.54.

COMP 2
VANNA ANTIMAGNET
18 conf
7550.00
Strongest 1DTE vanna antimagnet, vanna -6981.5 (SPX 7500)

Strongest 1DTE vanna antimagnet, vanna -6981.5 (SPX 7500) is secondarily confirmed by 15-stock zone 7544.71-7560.54.

COMP 2

ETF Confirmation Levels

SPY ratio-converted
SPY
0.85
7612.99
CALL_WALL · DTE 0

SPY ratio-converted CALL_WALL at 7612.99 (DTE 0). Secondary confirmation only.

SPY
0.85
6090.39
PUT_WALL · DTE 0

SPY ratio-converted PUT_WALL at 6090.39 (DTE 0). Secondary confirmation only.

SPY
0.85
6090.39
PUT_SUPPORT · DTE 0

SPY ratio-converted PUT_SUPPORT at 6090.39 (DTE 0). Secondary confirmation only.

SPY
0.85
6090.39
PUT_FLOOR · DTE 0

SPY ratio-converted PUT_FLOOR at 6090.39 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only
CALL_WALL
0.39
7551.26 - 7568.18
center 7561.34 · 15 names · DTE 0

15-stock call-side confluence cluster centered 7561.34. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.39
7546.98 - 7565.39
center 7556.48 · 15 names · DTE 0

15-stock put-support confluence cluster centered 7556.48. Provisional component estimate, not a native executable level.

CALL_WALL
0.39
7551.13 - 7571.71
center 7560.95 · 15 names · DTE 2

15-stock call-side confluence cluster centered 7560.95. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.39
7539.86 - 7563.58
center 7553.07 · 15 names · DTE 2

15-stock put-support confluence cluster centered 7553.07. 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 41s
  • 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 1 levels scored
DateSymbolLevelPredictedOutcomeNotes
2026-04-20ESNEG GEX TRIGGER@ 7152.00SHORT_BELOWABSORBEDOpened 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 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.