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OpenGammaIntelligence · Pre-Market
Edition · Tuesday, August 25, 2026·Archived · 5d ago · historical·25 Aug 2026 13:42 UTC

NQPOSITIVE

Spot29280.95Futures29350.50Basis+69.55SessionINTRADAY_RESCAN
Dealer Regime
POSITIVE_0DTE_GAMMA_STACKED_ABOVE_SPOT
NetGEX $1.4KRisk MODERATE
Opening Type
OPEN DRIVE UP
Conf 58%Day NORMALGAP UP
Share Card
Accuracy Ledger2 logged · 2 scored50% hit rateFull ledger ↓
Desk Thesis · 2026-08-25

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.

The pullback-to-VWAP-then-extension thesis is mechanically supported: session VWAP at NQ 29331-29337 sits on the QQQ 712 gamma node, the heaviest dealer-long-gamma strike within 100 points of price, with the 0.998-percentile cross-rail cluster six points under it - so a dip into 29326-29337 lands on the strongest support in the book, while the entire overhead gamma shelf at NQ 29440-29496 gives the extension leg real magnets to pull toward. The qualifier is that positive gamma decelerates rather than accelerates, so take the upside in stair-steps and expect the shelf to cap as much as attract; the thesis dies below NQ 29084-29126 where the QQQ book flips put-dominant.

Level Map

Confluence-ranked · distances from spot 29280.95
NQ
NDX
Level
Action · Distance
NQ29496.00
NDX29426.45
CALL WALLQQQ 716 gamma node / NQ 29496
WATCH+0.50% · conf 2
NQ29470.00
NDX29400.00
CALL WALLNDX 29400 gamma node / NQ 29470
WATCH+0.41% · conf 2
NQ29455.00
NDX29385.45
CALL WALLQQQ 715 — LARGEST gamma node in the complex / NQ 29455
WATCH+0.36% · conf 3
NQ29443.00
NDX29373.45
DOMINANT ANCHORSTRONG cross-rail cluster / NQ 29443
WATCH+0.32% · conf 3
NQ29440.00
NDX29370.00
CALL WALLNDX 29370 dominant 0DTE node / NQ 29440
WATCH+0.30% · conf 3
NQ29422.00
NDX29352.45
VANNA MAGNETVanna magnet / NQ 29422
WATCH+0.24% · conf 2
NQ29381.00
NDX29310.00
CALL WALLNDX 29310 gamma node / NQ 29381
WATCH+0.10% · conf 2
NQ29332.00
NDX29262.45
DOMINANT ANCHORQQQ 712 gamma node = SESSION VWAP / NQ 29332
WATCH-0.06% · conf 3
NQ29326.00
NDX29256.45
DOMINANT ANCHORMODERATE cluster, GEX percentile 0.998 / NQ 29326
WATCH-0.08% · conf 3
SPOT
NQ29350.50
NDX29280.95
Range 29160.00–29540.00
NQ29249.00
NDX29179.45
DOMINANT ANCHORQQQ 710 gamma node / NQ 29249
WATCH-0.35% · conf 2
NQ29217.00
NDX29147.45
VANNA ANTIMAGNETVanna antimagnet / NQ 29217
WATCH-0.45% · conf 2
NQ29170.00
NDX29100.00
PUT FLOORNDX 29100 put wall + cluster / NQ 29170
WATCH-0.61% · conf 3
NQ29140.00
NDX29070.45
GAMMA NEUTRALNDX 0DTE GAMMA NEUTRAL / NQ 29140
WATCH-0.72% · conf 2
NQ29084.00
NDX29014.45
NEG GEX TRIGGERQQQ 706 — LARGEST negative node / NQ 29084
WATCH-0.91% · conf 3

Level Reaction

Intraday tape · NQ · 2026-08-25
Loading session tape…

Greek Pressure

Dealer directional forces · next session
GAMMA
UP · 85

NDX 0DTE net GEX +$1.42B, and today the published rail can be trusted: the vendor sum reads +$1.429B and an independent rebuild at the parity-recovered spot with IV re-solved from mids reads +$1.417B - agreement within 1 percent, against a 15.5-hour frozen chain this morning that had to be discarded. QQQ corroborates independently at +$1.427B vendor / +$1.426B rebuilt. Raw open interest agrees with no model at all: within 100 index points of spot the native book holds 679 call OI against 148 put. Dealers are long gamma and the session damps. Crucially the gamma is stacked ABOVE price - the four largest positive nodes are QQQ 715 (+$431M), NDX 29370 (+$409M), QQQ 712 (+$260M) and QQQ 716 (+$246M) - while everything below spot is an order of magnitude smaller. DELTA evidence folded in here: net dex is now +485.7 delta-contracts on the live chain, having flipped from -327.4 on the frozen data, so the delta lean is mildly long rather than short.

CHARM
UP · 55

Net charm daily has FLIPPED POSITIVE on live quotes: +21,144, against -24,292 measured on this morning's frozen chain. That is an upward decay drift into the close and it supports the extension leg rather than the pullback. Read it alongside the CEX pressure centroids, which sit BELOW spot at NDX 29205 / NQ 29275 (full curve) and NDX 29209 / NQ 29279 (0DTE+1DTE session), net charm -2.28e12. These are not contradictory: the centroid is a centre of mass of charm pressure and CEX_PRESSURE_CENTROID_NOT_PRICE_TARGET, while the sign of net charm is the drift. Centre of mass below, drift upward. The NQ Charm Drift card remains STALE with no canonical native drift published and nothing was taken from it.

VANNA
NEUTRAL · 18

Net vanna is effectively zero on the live chain at +94.3, down from +1,110.7 on the frozen data - vanna is not a directional force on this book today. The usable map is the actualRemaining rail: magnets at NDX 29352 / NQ 29422 (+9,821) and NDX 29393 / NQ 29463 (+7,706) above, antimagnets at NDX 29147 / NQ 29217 (-3,221) and NDX 29023 / NQ 29093 (-4,187) below. The structuralActual rail still clusters its nodes at 28921-29154, well below live spot, because its GN0 anchor fell back to the stale 29025 strike (GREEKS_GN0_ANCHOR_FALLBACK_SPOT) - those rows are stale-anchored and are flagged wherever they appear.

VOMMA
UP · 50

Net vomma positive at +2.21M on the live chain: vol-of-vol amplifying, so an IV move gets extended rather than damped. VETA can finally be reported and it is large and positive: +758,161,338, meaning vega itself decays fast into the close - the vol sensitivity of this book shrinks materially through the session, which reinforces the pin as the day runs. Note netVeta is one of four aggregates the store's parser never populates; it was recovered by aggregating the vendor's own veta column directly off the chain, along with netTheta -264,207, netRho +8,893 and netUltima -5,634,389.

COLOR
DOWN · 15

Net color daily is slightly negative at -197.5 - NDX gamma erodes marginally through the session rather than building. Small enough to be read as flat: the NQ pin should be about as tight at the close as it is now, unlike the SPX book which is building gamma into the afternoon.

ZOMMA
DOWN · 25

Zomma at the money (29275 strike) is -0.0102 - gamma erodes as vol rises. SINGLE-STRIKE LEVEL PROPERTY, not an aggregate, and never compared against a net. At the Gamma Neutral strike itself (29070) zomma is +0.0005, essentially zero, which is another reason to treat that level as a zone.

SPEED
NEUTRAL · 0

Speed reads exactly 0.0000 at every strike checked on the live chain, consistent with the documented approximately 1 percent coverage on this greek. Reported with its coverage caveat and read as no signal. Like zomma it is a single-strike level property, not an aggregate.

ULTIMA
DOWN · 20

Net ultima -5.63M on the live chain, third-order vol convexity leaning negative - it damps the vomma amplification somewhat rather than compounding it. Recovered directly from the chain because the store's parser does not populate this aggregate. Reported for completeness; it is not load-bearing in today's read.

Higher-Order

Second + third-order greeks
color
LATENT
-197.520

—

speed
LATENT
0.000

—

vomma
LATENT
2209955.370

—

zomma
LATENT
-0.010

—

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile11
Skew Pctile92
Skew ShapeREVERSE_SMIRK
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 29084.00 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
NEG GEX TRIGGER
38 conf
29084.00
QQQ 706 — LARGEST negative node / NQ 29084

QQQ 706 — LARGEST negative node / NQ 29084 is secondarily confirmed by QQQ ratio level near 29087.88.

ETF 3
CALL WALL
38 conf
29496.00
QQQ 716 gamma node / NQ 29496

QQQ 716 gamma node / NQ 29496 is secondarily confirmed by QQQ ratio level near 29503.42.

ETF 2
DOMINANT ANCHOR
19 conf
29326.00
MODERATE cluster, GEX percentile 0.998 / NQ 29326

MODERATE cluster, GEX percentile 0.998 / NQ 29326 is secondarily confirmed by 6-stock zone 29313.57-29359.08.

COMP 2
DOMINANT ANCHOR
19 conf
29332.00
QQQ 712 gamma node = SESSION VWAP / NQ 29332

QQQ 712 gamma node = SESSION VWAP / NQ 29332 is secondarily confirmed by 6-stock zone 29313.57-29359.08.

COMP 2

ETF Confirmation Levels

QQQ ratio-converted
QQQ
0.85
29711.19
CALL_WALL · DTE 0

QQQ ratio-converted CALL_WALL at 29711.19 (DTE 0). Secondary confirmation only.

QQQ
0.85
22023.68
PUT_WALL · DTE 0

QQQ ratio-converted PUT_WALL at 22023.68 (DTE 0). Secondary confirmation only.

QQQ
0.85
22023.68
PUT_SUPPORT · DTE 0

QQQ ratio-converted PUT_SUPPORT at 22023.68 (DTE 0). Secondary confirmation only.

QQQ
0.85
22023.68
PUT_FLOOR · DTE 0

QQQ ratio-converted PUT_FLOOR at 22023.68 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only
PUT_SUPPORT
0.41
29313.57 - 29359.08
center 29336.19 · 6 names · DTE 3

6-stock put-support confluence cluster centered 29336.19. Provisional component estimate, not a native executable level.

CALL_WALL
0.39
29336.13 - 29410.38
center 29372.82 · 13 names · DTE 3

13-stock call-side confluence cluster centered 29372.82. Provisional component estimate, not a native executable level.

CALL_WALL
0.39
29316.38 - 29407.39
center 29367.05 · 15 names · DTE 6

15-stock call-side confluence cluster centered 29367.05. Provisional component estimate, not a native executable level.

PUT_SUPPORT
0.39
29295.97 - 29369.82
center 29335.04 · 15 names · DTE 6

15-stock put-support confluence cluster centered 29335.04. 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 43s
  • 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.