OpenGamma LogoOpenGamma
Loading...
OpenGammaIntelligence · Pre-Market
Edition · Monday, July 6, 2026·Archived · 10d ago · historical·06 Jul 2026 11:51 UTC

NQPOSITIVE

Spot29866.00SessionREGULAR
Dealer Regime
POSITIVE_GAMMA_CLEAN_VANNA_PULL
NetGEX $488Risk MODERATE
Opening Type
OPEN AUCTION
Conf 45%
Share Card
Accuracy Ledger2 logged · 2 scored50% hit rateFull ledger ↓
Desk Thesis · 2026-07-06

NDX carries a materially cleaner continuation-higher vanna structure than SPX -- both meaningful magnets above spot (29976, 30058) have no opposing antimagnet, while every antimagnet of real magnitude sits below spot. If NDX pushes through this cluster while SPX stalls at its own 7550/ES7600 trap, the SPX/NDX split becomes the session's key signal.

Favor the NQ magnet pull toward 29925-29976-30058 over fading it, unless ES visibly rejects first at 7587-7600 -- in which case treat any NQ push into that zone as the look-above-and-fail setup completing on a lag, and fade the divergence.

Level Map

Confluence-ranked · distances from spot 29866.00
NQ
NDX
Level
Action · Distance
NQ30058.00
NDX29800.00
CALL WALL1DTE native call wall + QQQ-projected call wall + strongest-above-spot vanna magnet (NDX 29800)
WATCH+0.64% · conf 3
NQ29976.00
NDX29717.50
VANNA MAGNETStrongest vanna magnet above spot, vhi +5144.2 (NDX 29717.5)
WATCH+0.37% · conf 2
SPOT
NQ29866.00
NDX29866.00
Range 29560.70–30171.30
NQ29843.00
NDX29585.50
CALL WALLQQQ-projected 0/1DTE call wall, credible OI 2758 (NDX 29585.5)
WATCH-0.08% · conf 2
NQ29818.00
NDX29560.00
CALL WALLNative 0DTE call wall, spot already through it (NDX 29560)
WATCH-0.16% · conf 1
NQ29808.00
NDX29550.00
PUT WALLNative 0DTE put wall (NDX 29550)
WATCH-0.19% · conf 1
NQ29761.00
NDX29503.50
PUT WALLQQQ-projected put wall, deepest OI 3396 + antimagnet cluster (NDX 29503.5)
WATCH-0.35% · conf 3
NQ29759.00
NDX29500.77
GAMMA FLIPNative 0DTE Gamma Neutral (NDX 29500.77)
WATCH-0.36% · conf 3

Level Reaction

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

Greek Pressure

Dealer directional forces · next session
VANNA
UP · 60

netVanna stabilizing-positive (opposite sign to SPX); every antimagnet of real magnitude sits below spot, while both meaningful magnets above spot (29976, 30058) have no opposing antimagnet in front of them -- a cleaner continuation-higher structure than SPX.

CHARM
UP · 40

netCharmDaily small but positive and building; thin premarket chain (798 zero-DTE contracts) means this reading updates infrequently and should be treated as a coarse signal.

GAMMA
UP · 70

0DTE book net long-gamma (call GEX +1.18B vs put -692.17M); live spot sits 107pts above the native 0DTE Gamma Neutral -- positive/dampening regime, same as SPX.

VOMMA
UP · 50

netVomma positive, vol-of-vol amplifying; less structurally urgent than SPX's given NQ has no nearby antimagnet trap.

Higher-Order

Second + third-order greeks
color
LATENT
-33.640

—

speed
LATENT
0.000

—

vomma
LATENT
34472751.990

—

zomma
LATENT
-0.012

—

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile25
Skew Pctile50
Skew ShapeNORMAL
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 29759.00 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
GAMMA FLIP
51 conf
29759.00
Native 0DTE Gamma Neutral (NDX 29500.77)

Native 0DTE Gamma Neutral (NDX 29500.77) is secondarily confirmed by QQQ ratio level near 29757.03 and 12-stock zone 29786.44-29880.82.

ETF 1COMP 2
PUT WALL
51 conf
29761.00
QQQ-projected put wall, deepest OI 3396 + antimagnet cluster (NDX 29503.5)

QQQ-projected put wall, deepest OI 3396 + antimagnet cluster (NDX 29503.5) is secondarily confirmed by QQQ ratio level near 29757.03 and 12-stock zone 29786.44-29880.82.

ETF 1COMP 2
VANNA MAGNET
38 conf
29976.00
Strongest vanna magnet above spot, vhi +5144.2 (NDX 29717.5)

Strongest vanna magnet above spot, vhi +5144.2 (NDX 29717.5) is secondarily confirmed by QQQ ratio level near 29966.59.

ETF 3
PUT WALL
18 conf
29808.00
Native 0DTE put wall (NDX 29550)

Native 0DTE put wall (NDX 29550) is secondarily confirmed by 10-stock zone 29836.02-29898.31.

COMP 2

ETF Confirmation Levels

QQQ ratio-converted
QQQ
0.85
30385.70
CALL_WALL · DTE 0

QQQ ratio-converted CALL_WALL at 30385.70 (DTE 0). Secondary confirmation only.

QQQ
0.85
29337.92
PUT_WALL · DTE 0

QQQ ratio-converted PUT_WALL at 29337.92 (DTE 0). Secondary confirmation only.

QQQ
0.85
29337.92
PUT_SUPPORT · DTE 0

QQQ ratio-converted PUT_SUPPORT at 29337.92 (DTE 0). Secondary confirmation only.

QQQ
0.85
29337.92
PUT_FLOOR · DTE 0

QQQ ratio-converted PUT_FLOOR at 29337.92 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only
PUT_SUPPORT
0.42
29543.29 - 29588.09
center 29565.69 · 3 names · DTE 4

3-stock put-support confluence cluster centered 29565.69. Provisional component estimate, not a native executable level.

CALL_WALL
0.39
29836.02 - 29898.31
center 29872.64 · 10 names · DTE 0

10-stock call-side confluence cluster centered 29872.64. Provisional component estimate, not a native executable level.

CALL_WALL
0.39
29847.33 - 29929.13
center 29878.01 · 11 names · DTE 2

11-stock call-side confluence cluster centered 29878.01. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.38
29814.54 - 29880.82
center 29845.37 · 12 names · DTE 0

12-stock put-support confluence cluster centered 29845.37. 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 39s
  • 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.