OpenGammaIntelligence · Pre-Market

Edition · Friday, May 29, 2026·Archived · 2d ago · historical·29 May 2026 13:36 UTC

ESPOSITIVE

Spot7580.00Futures7590.00Basis+10.00SessionREGULAR

Dealer Regime

Positive Gamma - LOW risk, mean-reverting, dealer absorbing. Color +47642 strengthens pin into Friday close.

NetGEX $212.1MRisk LOW

Opening Type

OPEN AUCTION

Conf 50%Day NEUTRALGAP UP

Share Card

Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓

Desk Thesis · 2026-05-29

Massive positive gamma pin with bull bias. 7600 SPX / 7610 ES is triple-DTE call wall and 7DTE HVL - the structural ceiling of the day. Friday charm C/G ratio 607 (rising) pulls ES toward 7650-7660 charm magnet into close. Short/destabilizing vanna (VHI -983K) means vol expansion could overcome the pin. Bull gate: 7610 ES acceptance ? 7630/7660. Bear gate: 7585 ES (HVL) rejection ? 7550 put wall, 7497 gap/gamma flip zone.

Bull bias: 7610 ES acceptance ? long to 7630/7660 charm magnet. Bear path: 7585 ES (HVL) rejection ? short to 7550 put wall, then 7497 gap/gamma flip. No trades first 30 min. Friday charm C/G 607 pulls toward 7660 ES into close if above 7600 SPX.

Level Map

Confluence-ranked · distances from spot 7580.00

SPX

Level

Action · Distance

ES7660.00

SPX7650.00

CALL WALLMax charm growth zone (+130) / confluence score 3 all DTEs / 16,497 call OI / THETA_DECAY_SHELF - primary Friday charm magnet

WATCH+0.92% · conf 75

ES7610.00

SPX7600.00

DOMINANT ANCHORTriple-DTE call wall (0/3/7) + 7DTE HVL. 9,632 call OI. $35.2M GEX. Theta +160K. THETA_DECAY_SHELF. Bull/bear gate.

WATCH+0.26% · conf 75

ES7600.00

SPX7590.00

VANNA MAGNETVanna magnet VHI +415K - stabilising, near ATH. Vol compression pulls toward here.

WATCH+0.13% · conf 40

ES7593.00

SPX7583.00

VANNA MAGNETSecondary vanna magnet VHI +765K

WATCH+0.04% · conf 40

ES7585.00

SPX7575.00

HVL FLOORHVL 0DTE+3DTE / dominant vanna magnet VHI +1.02M / THETA_DECAY_SHELF (+106K). First bull gate.

WATCH-0.07% · conf 65

SPOT

ES7590.00

SPX7580.00

Range 7364.00–7783.00

ES7577.00

SPX7567.00

VANNA MAGNETTertiary vanna magnet VHI +369K

WATCH-0.17% · conf 40

ES7562.00

SPX7552.00

VANNA ANTIMAGNETDominant vanna anti-magnet VHI -1.15M - strongest trap door

WATCH-0.37% · conf 40

ES7555.00

SPX7545.00

VANNA ANTIMAGNETVanna anti-magnet VHI -933K - cascade zone

WATCH-0.46% · conf 40

ES7550.00

SPX7540.00

PUT WALLTOP NEGATIVE GEX (-$16.7M). 5,659 put OI. Triple-DTE put wall. HIGH_VEGA_SHELF. VAH balance zone. PRIMARY BEAR TRIGGER.

WATCH-0.53% · conf 75

ES7547.00

SPX7537.00

VANNA ANTIMAGNETVanna anti-magnet VHI -488K. Balance zone floor.

WATCH-0.57% · conf 40

ES7497.00

SPX7487.00

GAMMA FLIP7DTE BS gamma flip (APPROX). Below = 7-day chain negative gamma. Gap close zone (~7488 ES). Triple confluence.

WATCH-1.23% · conf 60

ES7495.00

SPX7485.00

PUT FLOORConfluence score 3 all DTEs. 4,649 put OI. -$6.1M GEX. Gap close zone. THETA_DECAY_SHELF.

WATCH-1.25% · conf 75

ES7445.00

SPX7435.00

STRUCTURAL FLOORConfluence score 3. 7DTE top negative GEX. Deep support.

WATCH-1.91% · conf 50

Level Reaction

Intraday tape · ES · 2026-05-29

Loading session tape…

Greek Pressure

Dealer directional forces · next session

GAMMA

COMPRESSION · 85

Massive +$212M net GEX 0DTE. +$317M aggregate 0+3+7. Color +47642 dramatically strengthens pin into Friday close. 665K OI. 92% gamma within 2% of spot.

CHARM

UP · 72

C/G ratio 607 (was 193 at 07:00, accelerating). Trend RISING. Max growth at 7650 (+130) - Friday charm gravitational pull toward 7660 ES into close. Balanced (charm above 636B slightly > below 433B).

VANNA

DOWN · 78

SHORT/DESTABILIZING. VHI -983K vs avg -667K (extreme, FALLING). Vol expansion pushes away from strikes. Anti-magnets below spot (7537-7552 SPX). Stabilising magnets above (7575-7590). Breakout potential on vol event.

VOMMA

DOWN · 55

Vomma -36404 - large negative. Vol expansion REDUCES positive GEX effect. VIX spike removes structural dealer support and accelerates negative gamma cascade.

Higher-Order

Second + third-order greeks

color

LATENT

47641.606

MASSIVE POSITIVE - gamma builds dramatically with time. Pin strengthens into Friday close. Dominant higher-order signal.

speed

LATENT

-5.654

Large negative - gamma deteriorates sharply on downside. Below gamma flip, moves accelerate significantly.

vomma

LATENT

-36403.680

Large negative - vol expansion REDUCES option value, weakening positive GEX pin. VIX spike removes structural support.

zomma

LATENT

561.960

Large positive - gamma increases with vol expansion. Modestly reinforcing on vol moves.

IV Intelligence

Quadrant · skew · term structure

Regime Quadrant

Q1_EXUBERANCE

ATM IVUnavailable

IV Percentile94

Skew Pctile98

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 7593.00 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 MAGNET

71 conf

7593.00

Secondary vanna magnet VHI +765K

Secondary vanna magnet VHI +765K is secondarily confirmed by SPY ratio level near 7594.02 and 15-stock zone 7583.09-7602.66.

ETF 3COMP 2

VANNA MAGNET

71 conf

7600.00

Vanna magnet VHI +415K - stabilising, near ATH. Vol compression pulls toward here.

Vanna magnet VHI +415K - stabilising, near ATH. Vol compression pulls toward here. is secondarily confirmed by SPY ratio level near 7594.02 and 15-stock zone 7583.09-7602.66.

ETF 3COMP 2

VANNA ANTIMAGNET

58 conf

7547.00

Vanna anti-magnet VHI -488K. Balance zone floor.

Vanna anti-magnet VHI -488K. Balance zone floor. is secondarily confirmed by SPY ratio level near 7543.73 and 2-stock zone 7544.01-7559.58.

ETF 3COMP 2

PUT WALL

58 conf

7550.00

TOP NEGATIVE GEX (-$16.7M). 5,659 put OI. Triple-DTE put wall. HIGH_VEGA_SHELF. VAH balance zone. PRIMARY BEAR TRIGGER.

TOP NEGATIVE GEX (-$16.7M). 5,659 put OI. Triple-DTE put wall. HIGH_VEGA_SHELF. VAH balance zone. PRIMARY BEAR TRIGGER. is secondarily confirmed by SPY ratio level near 7543.73 and 2-stock zone 7544.01-7559.58.

ETF 3COMP 2

ETF Confirmation Levels

SPY ratio-converted

SPY

0.85

7594.02

CALL_WALL · DTE 0

SPY ratio-converted CALL_WALL at 7594.02 (DTE 0). Secondary confirmation only.

SPY

0.85

5230.32

PUT_WALL · DTE 0

SPY ratio-converted PUT_WALL at 5230.32 (DTE 0). Secondary confirmation only.

SPY

0.85

5230.32

PUT_SUPPORT · DTE 0

SPY ratio-converted PUT_SUPPORT at 5230.32 (DTE 0). Secondary confirmation only.

SPY

0.85

5230.32

PUT_FLOOR · DTE 0

SPY ratio-converted PUT_FLOOR at 5230.32 (DTE 0). Secondary confirmation only.

Component Confluence Zones

Provisional only

CALL_WALL

0.39

7583.34 - 7601.56

center 7591.84 · 15 names · DTE 0

15-stock call-side confluence cluster centered 7591.84. Provisional component estimate, not a native executable level.

PUT_SUPPORT

0.39

7581.29 - 7594.72

center 7588.06 · 15 names · DTE 0

15-stock put-support confluence cluster centered 7588.06. Provisional component estimate, not a native executable level.

PUT_SUPPORT

0.39

7569.14 - 7593.64

center 7582.81 · 15 names · DTE 3

15-stock put-support confluence cluster centered 7582.81. Provisional component estimate, not a native executable level.

CALL_WALL

0.39

7583.09 - 7602.66

center 7592.28 · 15 names · DTE 5

15-stock call-side confluence cluster centered 7592.28. 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 53s

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

Charm Dominant

Vanna Cascade Active

Gamma Regime Negative

Vol Trigger Proximity

Short Vanna Destabilizing

NOT ARMED · 2/3 conditions

Tension Index

Accuracy 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.

Total Logged1

Scored1

Hit Rate0%

Best Level Type—