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Edition · Monday, August 24, 2026·Archived · 6d ago · historical·24 Aug 2026 14:01 UTC

NQNEGATIVE

Spot28963.00Futures29063.00Basis+100.00SessionPREMARKET
Dealer Regime
SHORT_GAMMA_NO_POSITIVE_STRIKE_WITHIN_257_POINTS
NetGEX -$857Risk ELEVATED
Opening Type
OPEN DRIVE DN
Conf 40%Day TRENDGAP DN
Share Card
Accuracy Ledger2 logged · 2 scored50% hit rateFull ledger ↓
Desk Thesis · 2026-08-24

NDXP is quoting for the first time today and the live book is materially worse than the frozen data implied. Net 0DTE GEX is -$0.86B against the +$6.1M flat read pre-open, and the ladder is negative at EVERY strike from 28850 to 29210 - the first positive node is 29220, 257 index points above spot. There is no gamma support beneath price anywhere in this book. The second live-data shock is volatility: NDX 0DTE ATM implied vol has repriced from 10.78% pre-open to 22.81%, INVERTING the term structure that ran 0DTE 10.78 / 7DTE 16.89 into 0DTE 22.81 / 7DTE 19.02. The +6.11pp event premium that was stacked behind today has collapsed into today. The measured expected move has doubled from plus or minus 198 points to plus or minus 401.

NDXP is live for the first time today and the picture is worse than the frozen data showed: 0DTE net GEX -$0.86B against a flat +$6.1M read pre-open, and the ladder negative at every strike from 28850 to 29210 with the first positive node 257 points above spot at 29220. There is no gamma support under price. Simultaneously NDX 0DTE implied vol has repriced from 10.78% to 22.81% and inverted the term structure, doubling the expected move to plus or minus 401 points. Nearest credible support is the STRONG cluster at NQ 29148, then 29100 and 29000; overhead the first credible structure is the aggregate put wall at NQ 29200 and the real objective is NQ 29400. Trade this smaller than ES - NQ has no internal edge, twice the priced range and thin per-strike open interest of 20 to 65 contracts through the whole zone around price.

Level Map

Confluence-ranked · distances from spot 28963.00
NQ
NDX
Level
Action · Distance
NQ29500.00
NDX29400.00
CALL WALLNDX 29400 1DTE call wall / NQ 29500
WATCH+1.51% · conf 2
NQ29400.00
NDX29300.00
CALL WALLNDX 29300 aggregate call wall / NQ 29400
WATCH+1.16% · conf 3
NQ29320.00
NDX29220.00
GAMMA FLIPFIRST POSITIVE 0DTE NODE / NQ 29320
WATCH+0.89% · conf 2
NQ29290.00
NDX29190.00
NEG GEX TRIGGERNDX 29190 negative node / NQ 29290
WATCH+0.78% · conf 1
NQ29283.50
NDX29183.50
GAMMA NEUTRALNDX 0DTE Gamma Neutral / NQ 29283.50
WATCH+0.76% · conf 2
NQ29200.00
NDX29100.00
PUT WALLNDX 29100 aggregate put wall / NQ 29200
WATCH+0.47% · conf 3
NQ29148.00
NDX29048.00
DOMINANT ANCHORSTRONG put cluster / NQ 29148
WATCH+0.29% · conf 3
NQ29100.00
NDX29000.00
NEG GEX TRIGGERNDX 29000 negative node / NQ 29100
WATCH+0.13% · conf 2
NQ29072.31
NDX28972.31
DOMINANT ANCHORNDX CEX Pressure Centroid / NQ 29072.31
WATCH+0.03% · conf 1
NQ29000.00
NDX28900.00
NEG GEX TRIGGERNDX 28900 negative node / NQ 29000
WATCH-0.22% · conf 2
NQ28980.00
NDX28880.00
NEG GEX TRIGGERNDX 28880 negative node / NQ 28980
WATCH-0.29% · conf 1
SPOT
NQ29063.00
NDX28963.00
Range 28662.20–29463.80
NQ28829.81
NDX28729.81
GAMMA FLIPNDX Breadth/Dispersion 7DTE GN / NQ 28829.81
WATCH-0.80% · conf 2

Level Reaction

Intraday tape · NQ · 2026-08-24
Loading session tape…

Greek Pressure

Dealer directional forces · next session
GAMMA
COMPRESSION · 45

NDX 0DTE net GEX is +$6.1M on call gamma of +$1.596B against put gamma of -$1.589B - flat to three significant figures, and a real change from -$136.8M at the 08:13 scan. There is no polarity boundary anywhere near spot, which is the key structural difference from SPX today. Independent recompute from the raw chain gives +$0.21B published and +$0.22B parity-repaired: only 8 repairable call legs against 43 on SPX, so the frozen-underlying defect barely touches this book. Folding in dollar delta: aggregate 0DTE dex is -114.1 and the largest node is a positive +28.9 at NDX 28800 - tiny in absolute terms, consistent with a front expiry whose peak strike-level open interest is 145 contracts. NQ has no internal directional edge today.

GAMMA
NEUTRAL · 40

Data-quality row rather than a market row. NDX, QQQ, SPY and IWM contracts all show an oldest-quote age of roughly 232,900 seconds - 64.7 hours, frozen at Friday's close - because NDXP and the ETFs do not quote before the 09:30 ET equity-options open. SPX runs 258 to 1,437 seconds and SPX_AM 11 seconds; RUT woke since the 08:13 scan and now runs 64 seconds. This refines the earlier claim that only SPXW quotes outside RTH. Every NDX greek in this payload is therefore a Friday-close calculation carrying a Monday timestamp. What HAS changed is that the open interest underneath is now current - today's file published at 10:30:30-10:30:42 UTC for NDX and describes Friday's post-OPEX close - so the strike-anchored structure of walls and clusters is genuinely today's, which is the half that matters for levels.

VANNA
UP · 42

Net vanna +1,341.4 - stabilising, and the same sign as SPX for the first time today. Read with care given the frozen quotes. The structural map is more useful than the aggregate: the NDX 1DTE structuralActual rank-1 magnet is NDX 29400 at VHI +197.5, coinciding with the 1DTE call wall. The dominant vanna feature on the NQ board is ETF-projected - the QQQ 0DTE antimagnet at NDX 29182.57, VHI -78,686.2, an order of magnitude above everything else and sitting 46 points above spot, bracketed by QQQ magnets at NDX 29100.36 (+6,786.0) and 29305.88 (+8,864.7) which coincide with the put wall and the STRONG call cluster respectively. Vanna Neutral is refused with ZERO of 1,642 contracts eligible, unchanged from 08:13, so no vanna-neutral level is published. The opengammaNdx rail is excluded by judgement - unrefreshed data subscription, strikes centred on Friday's close.

CHARM
DOWN · 60

netCharmDaily -5,245.2, negative and now agreeing in sign with SPX, which flipped negative this scan. Every NDX and QQQ centroid is negativeCharm. The two NDX centroids are the operationally important ones: pressure at NDX 29133.13 / NQ 29210.13 on 301 strikes and session at NDX 29140.58 / NQ 29217.58 on 279 strikes. They bracket spot within eight points, and paired with a flat gamma book that is a pinning configuration rather than a directional one - it is the explanation for the current lack of movement, and it means absence of movement here is the structure working rather than a position failing. All rows carry EXPERIMENTAL_CHARM_PRESSURE_CENTROID and the session rows add CEX_PRESSURE_CENTROID_NOT_PRICE_TARGET, honoured throughout and excluded from pivot construction.

COLOR
DOWN · 3

netColorDaily -6.54, marginally negative and effectively nil on a 55.5% coverage ratio over a chain whose peak strike-level open interest is 145 contracts. It carries no information and is recorded rather than dropped. The contrast with SPX is worth noting only as a caution: SPX colour is +115,518 and building hard, NQ's is zero, and the difference is at least partly a coverage artefact rather than a real divergence in positioning.

VOMMA
UP · 72

netVomma +21,079,597, amplifying and up 2.5x on the morning, so an implied-vol move in NDX gets bigger rather than self-limiting. This remains the greek that matters most for NQ this week. The term structure is the whole story and it is intact: NDX ATM straddle IV runs 10.78% at 0DTE, 12.78% at 1DTE, 16.89% at 7DTE and 19.44% at 25DTE - a +6.11pp premium of 7DTE over 0DTE, against SPX running the opposite shape. Event risk is priced as tech-specific and later in the week with today almost free, which is precisely the exposure a long NQ position carries. Paired with netVega +2,355,046 the book is long vega into that. Veta, ultima and theta are first-class harvested aggregates but are NOT populated on NQ in this build, so no reading is offered for them.

SPEED
NEUTRAL · 0

speedAtGn0 is 0 and INVALID rather than merely small. The greeks block carries GREEKS_GN0_ANCHOR_FALLBACK_SPOT with gn0Strike 29310, which is Friday's NDX close of 29308.86 rounded to the strike grid - the anchor fell back to the chain's frozen spot rather than resolving to a real gamma-neutral strike, exactly as at the 08:13 scan. This value must not be used and is reported as invalid rather than silently dropped.

ZOMMA
DOWN · 0

zommaAtGn0 -0.0288, sharing the same invalid GN0 anchor as speed above. A single-strike level property, never comparable to a net, and here anchored to the wrong strike entirely. Reported as invalid. Also recorded here because there is no schema member for them: medianProbabilityItm, netTheta, netRho, netVeta and netUltima are all ABSENT on NQ in this build, where all five are now populated on ES - so no probability-of-ITM, theta, rho, veta or ultima reading is offered for NQ rather than guessed.

Higher-Order

Second + third-order greeks
color
LATENT
-6.540

speed
LATENT
0.000

vomma
LATENT
21079597.300

zomma
LATENT
-0.029

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile0
Skew Pctile66
Skew ShapeSMIRK
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 29148.00 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
DOMINANT ANCHOR
75 conf
29148.00
STRONG put cluster / NQ 29148

STRONG put cluster / NQ 29148 is secondarily confirmed by QQQ ratio level near 29167.29 and 3-stock zone 29054.36-29110.65.

ETF 2COMP 2
NEG GEX TRIGGER
21 conf
28980.00
NDX 28880 negative node / NQ 28980

NDX 28880 negative node / NQ 28980 is secondarily confirmed by 3-stock zone 29016.30-29059.90.

COMP 2
NEG GEX TRIGGER
21 conf
29000.00
NDX 28900 negative node / NQ 29000

NDX 28900 negative node / NQ 29000 is secondarily confirmed by 3-stock zone 29016.30-29059.90.

COMP 2
DOMINANT ANCHOR
21 conf
29072.31
NDX CEX Pressure Centroid / NQ 29072.31

NDX CEX Pressure Centroid / NQ 29072.31 is secondarily confirmed by 3-stock zone 29054.36-29110.65.

COMP 2

ETF Confirmation Levels

QQQ ratio-converted
QQQ
0.85
29533.91
CALL_WALL · DTE 0

QQQ ratio-converted CALL_WALL at 29533.91 (DTE 0). Secondary confirmation only.

QQQ
0.85
21590.31
PUT_WALL · DTE 0

QQQ ratio-converted PUT_WALL at 21590.31 (DTE 0). Secondary confirmation only.

QQQ
0.85
21590.31
PUT_SUPPORT · DTE 0

QQQ ratio-converted PUT_SUPPORT at 21590.31 (DTE 0). Secondary confirmation only.

QQQ
0.85
21590.31
PUT_FLOOR · DTE 0

QQQ ratio-converted PUT_FLOOR at 21590.31 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only
CALL_WALL
0.47
29054.36 - 29110.65
center 29084.62 · 3 names · DTE 4

3-stock call-side confluence cluster centered 29084.62. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.47
29016.30 - 29059.90
center 29038.10 · 3 names · DTE 4

3-stock put-support confluence cluster centered 29038.10. Provisional component estimate, not a native executable level.

CALL_WALL
0.40
29032.05 - 29103.28
center 29064.60 · 14 names · DTE 0

14-stock call-side confluence cluster centered 29064.60. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.39
29032.05 - 29094.88
center 29061.24 · 12 names · DTE 0

12-stock put-support confluence cluster centered 29061.24. 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 47s
  • 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
2026-08-28 · NQ
The Nasdaq is net positive on 0DTE gamma but is trading just BELOW its 0DTE flip on the rail that actually has depth, which puts it in a shallow negative-gamma pocket rather than in a damped one. The ETF rail carries 240,914 contracts within 1.5 percent of spot against the native book's 7,483 - a 32 to 1 ratio - and it places the cumulative crossing at 29,626-29,667 index, above spot, while the thin native rail places it below. Being under the flip does not contradict an upward lean, it amplifies it: impulses are not damped here, so a push accelerates into the nodes overhead rather than being sold into. Vanna agrees emphatically - all four native antimagnets sit in a band that contains spot while all four magnets sit above it, the strongest repulsion being -20,028 essentially on price. The counterweight is charm, which flipped negative early and stayed there, a mild drag that the S&P does not have.
OPEN AUCTION · NORMAL
BULLISHPOSITIVE
2026-08-28 · ES
The S&P is in strongly positive gamma with spot 15 points above a Gamma Neutral that has been rising all morning, and the book is asymmetric in a way that supports both halves of a grind-up-with-a-trapdoor read: the entire 0DTE put wing sits at ONE strike, 7700 carrying -$2,890M on 12,021 contracts, while call gamma runs continuously across eleven strikes from 7745 to 7800 with no single dominant obstacle - so the downside is a cliff at one level and the upside is a ramp. Vanna says the same thing from a different direction, with a -23,142 antimagnet at 7717.66 and a +24,764 magnet at 7767.77 straddling spot. Charm is positive and building 28.7 percent this morning. The path of least resistance is up toward the 7765-7775 complex where the dominant gamma node, the vanna magnet and the cumulative crossing all coincide.
OPEN AUCTION · NORMAL
BULLISHPOSITIVE
2026-08-27 · NQ
NDX is pinned on the largest gamma node in its own book - the native 29,510 strike at +$526M and the ETF 718 strike at +$295.7M land seven points apart on separately measured chains, joined by a STRONG allCredible cluster at percentile 0.948 - inside a strongly positive-gamma regime where dealer hedging damps every impulse, and since the open the vanna channel has inverted at spot from antimagnet to magnet so that it now reinforces the pin rather than fighting it.
OPEN AUCTION · TREND
NEUTRALPOSITIVE
2026-08-27 · NQ
NDX has cleared into damped positive gamma with spot sitting at the top of its 29,326 to 29,483 flip band, so unlike the S&P it absorbs impulses rather than amplifying them - but price is resting directly on the 0DTE vanna antimagnet at QQQ 717 with the dominant magnet of the whole board 123 points above at QQQ 720, so it is unlikely to sit still, and the 718 call wall at NQ 29,573 is the gate that decides which way it goes.
OPEN AUCTION · TREND
NEUTRALPOSITIVE
2026-08-27 · ES
SPX is sitting on its 0DTE gamma flip inside a negative-gamma pocket running from 7647 to 7736, so intraday moves amplify rather than damp until price reaches an edge - and the upper edge is guarded by the largest one-sided call-gamma block on either chain, roughly +$8.0B from 7740 to 7820 with zero put open interest above 7755.
OPEN AUCTION · TREND
NEUTRALPOSITIVE
2026-08-26 · RTY
RUT is the un-pinned index. It carries roughly 1.6 percent of SPX's dealer gamma (+$65M against +$4,010M) while pricing 171 percent of its implied volatility (21.90 percent against 12.82), which works out to an expected move of 0.64 percent against SPX's 0.40. Measured against a VIX-implied daily of 0.986 percent, RUT is priced at 65 percent of the 30-day equivalent where SPX is at 41 - the front-day compression dominating the large-cap complex this week is much weaker in small caps, and RUT retained 80 percent of its Tuesday-close front-day variance overnight against the SPX complex's 64 percent. The structure is balanced and the discriminator is unusually well defined despite a thin chain and a broken vendor IV field: the cumulative-GEX crossing has printed inside a 0.20 point band across fourteen polls and five hours, with spot 2 points above it. The ceiling is the STRONG 0.797 cluster at RUT 3017 where IWM's call wall sits on all three listed expiries; the floor is RUT 2997-3000, the only price both rails independently mark.
OPEN AUCTION · NORMAL
NEUTRALPOSITIVE
2026-08-26 · NQ
NQ is structurally coiled with a genuine upside pull that is capped about 150 points above spot. Spot sits INSIDE a contiguous vanna antimagnet band running NQ 29,181 to 29,269, with a contiguous magnet band NQ 29,328 to 29,416 immediately above and nothing between them, so vanna is repelling price from where it is and attracting it higher. Two independent pieces of evidence support that lean: the NQ family is call-skewed into the event, with NDX 0DTE ATM calls at 16.4 against puts at 14.9 and QQQ at 21.1 against 16.2, a REVERSE_SMIRK on both, while the ES family is put-skewed; and QQQ 0DTE positive gamma built 12x through the pre-market. Against it, the NQ family is the fragile one - underperforming ES by 16 basis points overnight, charm negative on both native and ETF books where SPX is positive, spot 47 points BELOW its own Gamma Neutral where SPX is 2 points above, and its call wall and flip both migrating DOWN while the ES flip migrated UP. The resolution is that this is a two-sided, discriminator-dependent session rather than a directional one.
OPEN AUCTION · NORMAL
NEUTRALPOSITIVE
2026-08-26 · ES
ES is in a positive and building 0DTE gamma regime with spot two points above the most corroborated level in the complex - SPX 0DTE Gamma Neutral at 7670.57 / ES 7685.1, which is also the STRONG cross-rail cluster at the 0.949 GEX percentile. Positive gamma more than doubled through the pre-market while the put wall and the flip both migrated up and the call wall never moved, a constructive drift on every component. The 0DTE straddle implies only plus or minus 31 ES points, 41 percent of the VIX-implied daily, so the base case is a small, dampened, range-bound session. The structural asymmetry is in time rather than price: 0DTE is the only positive-gamma tenor in the whole ES complex and its dampening expires at today's close, into a negative-gamma 1DTE book that prices NVDA and whose largest negative node sits overhead at SPX 7715.
OPEN AUCTION · NORMAL
BULLISHPOSITIVE
2026-08-25 · NQ
NDXP is live for the first time today and the book is unambiguously positive gamma at +$1.42B with the entire gamma shelf stacked above spot at NQ 29440-29496, while session VWAP at 29331-29337 sits precisely on the QQQ 712 node and the 0.998-percentile cluster - so a reversion into 29326-29337 followed by extension into the overhead shelf is the mechanically favoured path, with the caveat that long-gamma dealers decelerate the extension rather than accelerating it.
OPEN DRIVE UP · NORMAL
BULLISHPOSITIVE
OpenGamma Intelligence · Schema v1.1.0This brief is not investment advice.