ESPOSITIVE
Both indices are in positive 0DTE gamma at today's price - SPX rebuilt at +$13.58B against a published rail of -$7.42B that is a frozen-underlying artefact, NDX at +$1.94B and building - while the SPX front implies only 0.437 percent against a VIX-implied 0.99 percent, so structure and volatility are pointing at the same narrow, dealer-damped session with a constructive drift and a hard cap on distance.
Both indices are in positive 0DTE gamma at today's price and the SPX front is implying only a 0.437 percent daily move against a VIX-implied 0.99 percent, so trade this as a pin: fade the edges of the ES 7668.4-7735.6 envelope while ES holds above 7674, take upside in stair-steps through the dense 7714/7724/7736 call ladder rather than chasing it, and abandon mean-reversion entirely if ES loses 7674 because the book flips short gamma there and the 7664 put shelf comes into play fast.
Level Map
Confluence-ranked · distances from spot 7688.00Level Reaction
Intraday tape · ES · 2026-08-25Greek Pressure
Dealer directional forces · next sessionSPX 0DTE net GEX rebuilt at the parity-recovered spot 7689.86 with IV re-solved from two-sided mids: +$13.58B, stable from a plus/minus 60 band through the full 203-strike chain. Raw open interest corroborates with no model at all: +25,428 net call OI within 40 points of spot, +30,708 within 120. Dealers are LONG 0DTE gamma at today's price and the day should compress. DEX evidence folded in here: SPX 0DTE dex -2,175.0 delta-contracts, dollar-DEX -$1,802M, with high cancellation across the curve - delta carries little directional information today, gamma and open interest carry it all.
DATA-QUALITY ROW, not a market reading. The published rail prints SPX 0DTE net GEX -$7.42B and deepened it through the morning. That is an artefact: the chain underlying_price is frozen at 7652.86 (stamped 24-Aug 16:04 ET) against a live 7688, so every gamma is computed 35 points too low, parking the gamma peak among the put strikes at 7650-7660 and starving the call strikes at 7690+ where the open interest actually is. The same defect voids IV: at strike 7650 the vendor returns call IV 44.6 percent against put IV 5.0 percent, a 40-point violation of an identity. The sign is reversed, not merely the magnitude. Every per-DTE netGEX figure on this family carries the same defect; wall strikes are unaffected because the open-interest half of the argmax is correct.
Net vanna negative on SPX: destabilising into a vol-up move, the opposite of NDX which is positive at +1,111. The dominant 0DTE vanna node is a magnet at SPX 7662.64 (+41,200), 25 points below spot and 2.5 above the Gamma Neutral - on a vol shock vanna pulls price back into the same 7660-7677 zone where gamma polarity flips. Rails labelled: actualRemaining and structuralActual are actual-TTE maps; fixed1m rows are a 1-minute-TTE proximity band and no level was taken from them.
Net charm daily negative, a downward decay lean roughly 35x the NDX figure on a book about 3x the size. CEX pressure centroid at SPX 7656.78 / ES 7670.78, dominantSide negativeCharm - a centre of mass of charm pressure, explicitly not a price target. The Charm Drift card reads DEGRADED with direction downward and cohort agreement -1, but its dominant term is 0DTE settlement-payoff revaluation, a mechanical expiry artefact, so it is not weighted as a directional input.
Net vomma positive: vol-of-vol amplifying, so an IV move gets extended rather than damped. The vol regime is calm but not sticky - which is why the 20 percent expansion scenario is not smaller. VETA cannot be reported: netVeta is not populated in this build, along with netTheta, netRho and netUltima. Four of the ten harvest aggregates are absent and none were inferred.
Net color daily positive: SPX gamma is BUILDING through the session. On a positive-gamma day that tightens the pin as the day runs, so the afternoon should be quieter than the morning rather than livelier. NDX color is flat at -8.4.
Zomma at the GN0 strike (7660) is negative - gamma erodes as vol rises. SINGLE-STRIKE LEVEL PROPERTY at the Gamma Neutral strike, not an aggregate; never compared against a net anywhere in this analysis.
speedAtGn0 is zero, the documented approximately 1 percent coverage on the speed greek. Reported with its coverage caveat and read as no signal. Like zomma it is a single-strike level property at the GN0 strike, not an aggregate.
Higher-Order
Second + third-order greeks—
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IV Intelligence
Quadrant · skew · term structureCross-Asset Confirmation / Component Confluence
CONFIRMING · COMPLETENative 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.
Native Levels Confirmed
4 matched levelsSPX 7650 PUT WALL + top cluster / ES 7664 is secondarily confirmed by SPY ratio level near 7666.99 and 3-stock zone 7658.43-7669.99.
0DTE vanna ANTIMAGNET / ES 7666.66 is secondarily confirmed by SPY ratio level near 7666.99 and 3-stock zone 7658.43-7669.99.
Dominant 0DTE GEX node / ES 7669 is secondarily confirmed by SPY ratio level near 7666.99 and 3-stock zone 7658.43-7669.99.
SPX CEX pressure centroid / ES 7670.78 is secondarily confirmed by SPY ratio level near 7666.99 and 3-stock zone 7658.43-7669.99.
ETF Confirmation Levels
SPY ratio-convertedSPY ratio-converted CALL_WALL at 7707.35 (DTE 0). Secondary confirmation only.
SPY ratio-converted PUT_WALL at 7666.99 (DTE 0). Secondary confirmation only.
SPY ratio-converted PUT_SUPPORT at 7666.99 (DTE 0). Secondary confirmation only.
SPY ratio-converted PUT_FLOOR at 7666.99 (DTE 0). Secondary confirmation only.
Component Confluence Zones
Provisional only3-stock put-support confluence cluster centered 7664.21. Provisional component estimate, not a native executable level.
15-stock call-side confluence cluster centered 7706.21. Provisional component estimate, not a native executable level.
15-stock call-side confluence cluster centered 7705.44. Provisional component estimate, not a native executable level.
15-stock put-support confluence cluster centered 7698.20. 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 40s- 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 armedAccuracy Log
Outcomes · last 1 levels scored| Date | Symbol | Level | Predicted | Outcome | Notes |
|---|---|---|---|---|---|
| 2026-04-20 | ES | NEG GEX TRIGGER@ 7152.00 | SHORT_BELOW | ABSORBED | Opened 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. |