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OpenGammaIntelligence · Pre-Market
Edition · Tuesday, July 7, 2026·Published 17h ago · pre-open·07 Jul 2026 11:18 UTC

ESNEGATIVE

Spot7577.00SessionREGULAR
Dealer Regime
NEG_GAMMA_BELOW_GN_TIGHT
NetGEX $738Risk MODERATE
Opening Type
OPEN TEST DRIVE
Conf 50%
Share Card
Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓
Desk Thesis · 2026-07-07

Both indices trade below their native 0DTE Gamma Neutral (negative/accelerant regime); SPX's whole 0DTE book (GN, walls, cluster) sits clustered 8-13pts above spot at ES 7585-7590, with the book's largest vanna reading (-8109.5) at ES 7550 below spot -- a genuinely two-sided setup, react to a break rather than anticipate one.

Spot trades below the native 0DTE Gamma Neutral (negative/accelerant gamma) with a dense multi-rail resistance confluence at ES 7585-7590 and the book's single largest vanna reading (-8109.5, structural antimagnet) at ES 7550; react to a clean break of either boundary rather than anticipating one, and treat the 7550-7590 band as the no-edge zone into the PM 30Y auction.

Level Map

Confluence-ranked · distances from spot 7577.00
ES
SPX
Level
Action · Distance
7590.00
CALL WALL0DTE call wall + resistance confluence
WATCH+0.17% · conf 3
7588.54
DOMINANT ANCHORSPY-projected 0DTE call wall
WATCH+0.15% · conf 2
7585.64
GAMMA FLIPNative 0DTE Gamma Neutral
WATCH+0.11% · conf 3
SPOT
ES7577.00
SPX7577.00
live anchor
7550.00
VANNA ANTIMAGNET1DTE structural vanna antimagnet / put wall
WATCH-0.36% · conf 3
7488.02
PUT FLOORSPY-projected 7DTE put wall
WATCH-1.17% · conf 2
7433.73
STRUCTURAL FLOORNative 21DTE Gamma Neutral
WATCH-1.89% · conf 1

Level Reaction

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

Greek Pressure

Dealer directional forces · next session
CHARM
DOWN · 90

netCharmDaily built roughly 77x intraday from -11,354 at 04:00Z to -872,900 now, a large and genuinely recent move, concentrated up near the resistance confluence.

VANNA
UP · 55

netVanna building steadily positive/stabilizing all session (10,220 to 38,993, ~4x), but the single largest vanna reading in the book is a -8109.5 destabilizing antimagnet at ES 7550, below spot.

GAMMA
DOWN · 60

Spot trades ~8.6pts below the native 0DTE Gamma Neutral (7585.64 ES) -- negative/accelerant regime by position, even though the aggregate 0DTE dealer book (+$738.2M) is still net call-dominant.

COLOR
UP · 30

netColorDaily building positive from +15,624 at session open.

VOMMA
UP · 40

netVomma positive, amplifying vol sensitivity around current strikes.

ZOMMA
DOWN · 20

zommaAtGn0 slightly negative/destabilizing at the gamma-neutral pivot.

SPEED
NEUTRAL · 5

speedAtGn0 flat, no material speed signal today.

Higher-Order

Second + third-order greeks
color
LATENT
63098.800

—

speed
LATENT
0.000

—

vomma
LATENT
44461754.300

—

zomma
LATENT
-0.219

—

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile50
Skew Pctile50
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 7550.00 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
VANNA ANTIMAGNET
75 conf
7550.00
1DTE structural vanna antimagnet / put wall

1DTE structural vanna antimagnet / put wall is secondarily confirmed by SPY ratio level near 7543.92 and 3-stock zone 7551.68-7563.04.

ETF 3COMP 2
DOMINANT ANCHOR
71 conf
7588.54
SPY-projected 0DTE call wall

SPY-projected 0DTE call wall is secondarily confirmed by SPY ratio level near 7594.35 and 15-stock zone 7568.63-7587.39.

ETF 2COMP 2
CALL WALL
71 conf
7590.00
0DTE call wall + resistance confluence

0DTE call wall + resistance confluence is secondarily confirmed by SPY ratio level near 7594.35 and 15-stock zone 7568.63-7587.39.

ETF 2COMP 2
GAMMA FLIP
18 conf
7585.64
Native 0DTE Gamma Neutral

Native 0DTE Gamma Neutral is secondarily confirmed by 15-stock zone 7568.63-7587.39.

COMP 2

ETF Confirmation Levels

SPY ratio-converted
SPY
0.85
7594.35
CALL_WALL · DTE 0

SPY ratio-converted CALL_WALL at 7594.35 (DTE 0). Secondary confirmation only.

SPY
0.85
7564.09
PUT_WALL · DTE 0

SPY ratio-converted PUT_WALL at 7564.09 (DTE 0). Secondary confirmation only.

SPY
0.85
7564.09
PUT_SUPPORT · DTE 0

SPY ratio-converted PUT_SUPPORT at 7564.09 (DTE 0). Secondary confirmation only.

SPY
0.85
7564.09
PUT_FLOOR · DTE 0

SPY ratio-converted PUT_FLOOR at 7564.09 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only
PUT_SUPPORT
0.47
7551.68 - 7563.04
center 7557.36 · 3 names · DTE 1

3-stock put-support confluence cluster centered 7557.36. Provisional component estimate, not a native executable level.

CALL_WALL
0.39
7568.63 - 7586.91
center 7578.35 · 15 names · DTE 1

15-stock call-side confluence cluster centered 7578.35. Provisional component estimate, not a native executable level.

CALL_WALL
0.39
7568.63 - 7587.39
center 7579.07 · 15 names · DTE 3

15-stock call-side confluence cluster centered 7579.07. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.39
7564.76 - 7580.76
center 7573.46 · 15 names · DTE 3

15-stock put-support confluence cluster centered 7573.46. 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 42s
  • 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
2026-07-07 · RTY
RTY's gamma regime has flipped to positive/dampening by position (spot above the native 0DTE GN) though the aggregate book is still mildly negative; netVanna has been building steadily more destabilizing all session and both charm centroids plus the dominant cross-rail cluster sit below spot -- a rotation day with a real, converging case for a mild downside lean, consistent with the user's post-VAH-contact expectation.
OPEN AUCTION
NEUTRALTRANSITION—
2026-07-07 · NQ
NQ trades below its native 0DTE Gamma Neutral with a wide gap and a genuine air pocket between spot and the nearest real structure above (29750); the STRONG-tier cluster at 29625 is the book's highest-conviction level. Look-above-and-fail remains the better-evidenced path on NQ specifically, but react to a clean break rather than anticipate one.
OPEN TEST DRIVE
STAND_ASIDENEGATIVE—
2026-07-07 · ES
Both indices trade below their native 0DTE Gamma Neutral (negative/accelerant regime); SPX's whole 0DTE book (GN, walls, cluster) sits clustered 8-13pts above spot at ES 7585-7590, with the book's largest vanna reading (-8109.5) at ES 7550 below spot -- a genuinely two-sided setup, react to a break rather than anticipate one.
OPEN TEST DRIVE
STAND_ASIDENEGATIVE—
2026-07-06 · RTY
RTY is in negative gamma across the whole 0-7DTE curve with an immediate vanna antimagnet sitting right at live spot on two independent rails, and a magnet-then-antimagnet ceiling roughly 10-35pts above -- a structure that favors rotation/chop within the balance over a clean trend, matching the user's continued-rotation expectation.
OPEN AUCTION
NEUTRALNEGATIVE—
2026-07-06 · NQ
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.
OPEN AUCTION
NEUTRALPOSITIVE—
2026-07-06 · ES
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.
OPEN AUCTION
BEARISHPOSITIVE—
2026-07-02 · RTY
0DTE gamma is thin/transitional and 6DTE has already flipped negative; vanna is SHORT/destabilizing with no containment above live spot, and charm carries the family's most lopsided bearish skew (3:1) - the structure leans toward a dip/retest of the vanna magnet cluster before any further push at the highs, consistent with the user's own instinct even against a slightly bullish longer-term tilt.
OPEN TEST DRIVE · DOUBLE DIST
NEUTRALPOSITIVE—
2026-07-02 · NQ
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.
OPEN TEST DRIVE · DOUBLE DIST
NEUTRALPOSITIVE—
2026-07-02 · NQ
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.
OPEN TEST DRIVE · DOUBLE DIST
NEUTRALPOSITIVE—
OpenGamma Intelligence · Schema v1.1.0This brief is not investment advice.