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OpenGammaIntelligence · Pre-Market
Edition · Wednesday, July 15, 2026·Published 18h ago · pre-open·15 Jul 2026 12:55 UTC

ESNEGATIVE

Spot7610.00SessionPRE_MARKET
Dealer Regime
THIN_NEG_0DTE_LIVE_PPI_BREAKOUT
NetGEX -$683Risk MODERATE
Opening Type
OPEN TEST DRIVE
Share Card
Accuracy Ledger1 logged · 1 scored0% hit rateFull ledger ↓
Desk Thesis · 2026-07-15

PPI printed a market-friendly reaction that pushed ES 15-19pts through the dominant 0DTE pin (7589) before the open; today resolves on whether that breakout holds through the first 30 minutes of cash trading or gets reclaimed and rejected back into the pin/charm-centroid zone.

PPI printed at 12:30 UTC and ES has already broken 15-19pts above the day's dominant confluence pin at 7589 (0DTE GN + vanna antimagnet + charm centroid + call/put wall); hold above 7589 through the first 30 minutes of cash trading favors continuation toward 7644, a clean reclaim-and-fail back below 7589 confirms the failed-test-down read into 7573/7545.

Level Map

Confluence-ranked · distances from spot 7610.00
ES
SPX
Level
Action · Distance
7644.00
CALL WALL1DTE+7DTE call wall confluence / dominant 1DTE vanna magnet
WATCH+0.45% · conf 3
SPOT
ES7610.00
SPX7610.00
live anchor
7589.00
HVL FLOOR0DTE Gamma Neutral / dominant vanna antimagnet / charm centroid / call+put wall confluence — the day's true pin
WATCH-0.28% · conf 3
7584.00
VANNA MAGNET0DTE vanna magnet (secondary)
WATCH-0.34% · conf 1
7574.00
VANNA ANTIMAGNET0DTE vanna antimagnet (secondary)
WATCH-0.47% · conf 1
7545.00
HVL FLOOR21DTE Gamma Neutral
WATCH-0.85% · conf 2
7499.00
PUT FLOORWeak downside cluster (SPY-projected only)
WATCH-1.46% · conf 1

Level Reaction

Intraday tape · ES · 2026-07-15
Loading session tape…

Greek Pressure

Dealer directional forces · next session
COLOR
UP · 92

netColorDaily surged ~15x intraday (3,993 -> 60,073 since 06:51 UTC) — the rate at which 0DTE gamma will decay through the session has been ratcheting up all morning, the most extreme single session-trend read on the SPX board today.

CHARM
UP · 80

netCharmDaily nearly doubled session-to-date (281k -> 533k); the charm-weighted pressure centroid itself hasn't moved (still ~7587 ES) but the force pulling toward it is strengthening — path-of-least-resistance decay flow favors the 7586-7589 zone as the session wears on.

VANNA
UP · 75

netVanna built 3.2x session-to-date (2,144 -> 6,795) — the dealer book has grown materially more sensitive to a vol move ahead of the PPI print, consistent with the sharp reaction observed at 12:30 UTC.

GAMMA
DOWN · 65

0DTE net GEX is thin-negative (-$683.3M) on a large two-sided book (call/put gross both >$13B) — can flip sign on modest flow, not a deeply pinned regime.

Higher-Order

Second + third-order greeks
color
LATENT
51700.170

—

speed
LATENT
0.000

—

vomma
LATENT
27586585.510

—

zomma
LATENT
-0.298

—

IV Intelligence

Quadrant · skew · term structure
Regime Quadrant
Not captured
ATM IVUnavailable
IV Percentile55
Skew Pctile50
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

PARTIAL · PARTIAL_ERROR · partial
Cross-asset confirmation was only partially available in this run. Keep the native futures map primary.

No usable ETF ratio levels or component zones were produced. This should reduce confidence in the overlay, not alter the native thesis by itself.

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

0 matched levels
No direct native-level overlap was captured in this bounded cross-asset run.That weakens confirmation quality, but it does not replace the native futures map.

ETF Confirmation Levels

SPY ratio-converted
No ETF ratio confirmations were retained.Missing ETF spot or source coverage can suppress this list on bounded runs.

Component Confluence Zones

Provisional only
No component confluence zones were retained.That can happen when contributor coverage is thin or the bounded runtime exits early.

Cautions

Quality-aware language
  • 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.
  • The overlay scan was partial because the runtime budget was hit or a source stage degraded. Treat absent confirmations as unknown, not bearish or bullish evidence.

Overlay Diagnostics

Runtime 21s
No converted levels or confluence zones were produced
  • 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.
  • COMPONENT_SOURCE: NVDA: NVDA: contracts lookup via NVDA returned RATE_LIMITED (You've exceeded the maximum requests per minute, please wait or upgrade your subscription to continue. https://massive.com/pricing)

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
2026-07-15 · RTY
RTY's PPI reaction was the weakest of the three families (+0.15% vs ES/NQ's +0.2-0.3%), and session-long DEX/vanna have stayed negative the entire morning without crossing positive - a persistent bearish-leaning Greek signature distinct from SPX/NQ's more constructive builds, reinforcing the user's own excess-high/breakdown read while respecting genuine two-sided rotation risk within the newly-formed lower balance.
OPEN TEST DRIVE
BEARISHNEGATIVE—
2026-07-15 · NQ
PPI printed a market-friendly reaction that pushed NQ ~70-90pts through the dominant confluence pin (29929) before the open; today resolves on whether that breakout holds through the first 30 minutes of cash trading or gets reclaimed and rejected back into the pin/HG zone, with NDX-side data quality thinner than SPX's this session.
OPEN TEST DRIVE
BULLISHNEGATIVE—
2026-07-15 · ES
PPI printed a market-friendly reaction that pushed ES 15-19pts through the dominant 0DTE pin (7589) before the open; today resolves on whether that breakout holds through the first 30 minutes of cash trading or gets reclaimed and rejected back into the pin/charm-centroid zone.
OPEN TEST DRIVE
BULLISHNEGATIVE—
2026-07-14 · RTY
RTY flipped back to positive/dampening 0DTE gamma today (+$32.29M), the only positive-gamma instrument of the three families, with spot pinned essentially on top of the native 0DTE GN (RTY 2965.59) and the day's strongest confluence (RTY 2964.35); expect chop inside the pin through CPI, with RTY likely dampening rather than amplifying a directional CPI move relative to ES/NQ's negative-gamma books today.
OPEN AUCTION
NEUTRALPOSITIVE—
2026-07-14 · NQ
NDX/NQ flipped to a thin/mild negative-gamma 0DTE book overnight (-$186.4M) with live spot sitting essentially inside the day's strongest GEX confluence (NQ 29609-29646); CPI prints within the hour, and NQ's vanna map (largest magnet above spot) and charm read (dominant centroid below spot) disagree on direction, arguing for a genuinely two-sided, event-driven session.
OPEN AUCTION
NEUTRALNEGATIVE—
2026-07-14 · ES
SPX/ES flipped to a decisively negative-gamma 0DTE book overnight (-$6.99B) with live spot sitting essentially inside the day's strongest GEX confluence (ES 7554-7564); CPI prints within the hour, and the negative-gamma regime means a surprise in either direction has more room to extend than yesterday's positive-gamma session allowed.
OPEN AUCTION
NEUTRALNEGATIVE—
2026-07-13 · RTY
RTY sits 17.75pts below a now-clean native 0DTE GN (RTY 3002.75) inside a freshly negative-gamma book (-$18.0M, a regime flip from Friday's balance); expect a test toward the 2994 resistance/antimagnet confluence with real rejection-or-acceleration risk given the negative-gamma regime, rotating toward the 2962-2964 support confluence if rejected.
OPEN TEST DRIVE
NEUTRALNEGATIVE—
2026-07-13 · NQ
NDX/NQ sits inside a tight, genuinely bracketing confluence pin (NQ 29762-29793); expect chop within or just outside that bracket toward 29629-29639 (dominant put wall/HG control line) below or 29886 (call wall) above unless a level breaks with volume ahead of tomorrow's CPI.
OPEN AUCTION
NEUTRALPOSITIVE—
2026-07-13 · ES
SPX/ES sits 11.8pts below a multi-root 0DTE Gamma Neutral (ES 7610.82) inside a decisively positive-gamma book; expect range/fade behavior between the 7591 near-spot support and the 7620-7621 GEX/vanna confluence resistance unless one side breaks with volume ahead of tomorrow's CPI.
OPEN AUCTION
NEUTRALPOSITIVE—
OpenGamma Intelligence · Schema v1.1.0This brief is not investment advice.