The one question this page answers: is the market set up to move in one direction, or to chop? It reads that from what dealer gamma forces market-makers to do to stay hedged. The levels, the walls and the decay rate come from the full options chain, captured every 5 minutes and weighted by open interest (OI) only — never by volume. This page also publishes the measurement of its own thesis, and that measurement did not support it. Scroll to "Does any of this actually work?".
The verdict · VIX · forward book
SET UP TO BLAST
Dealers are short gamma where price is trading, so hedging pushes WITH moves.
BLAST CONFIGURATION WITH A MAGNET AGAINST IT. Dealers are short gamma at this price, so hedging adds to moves rather than absorbing them, but price is sitting on the gamma centre of mass, which is where the book's pull is concentrated. Little of this gamma expires today, so the amplifying configuration carries forward into the sessions ahead rather than resetting at the close.
NO DIRECTIONAL LEAN. Dealer gamma describes the SHAPE of the path — how big and how jagged — not which way it points. The asymmetries that could carry a lean (which wall is closer, where the centre of mass sits, vanna, charm) do not agree strongly enough here to name a side, and on this stack none of them beat simply counting how often sessions close up.
As of 2026-09-04T20:23:01+00:00 (post_close), spot 14.58. The session has closed, so the same-day contracts in the final snapshot are already dead. This verdict is built on the FORWARD book — the gamma that still exists for the next session. Regime read from net dealer gamma inside +/-1% of spot, as a share of the gross gamma in that band; it nets 92% one way (called flat below 20%), over 2 strikes within ±3% of price — widened from the standard ±1% because that window held fewer than 5 strikes on this book.
The range the option market is charging for
the one-day move the option market is charging for. Part B found this is the figure that carries the information; the gamma reading did not add to it.
How fast this regime decays
This is how much of the book dies at its very next expiry. It is the regime's DECAY RATE rather than its level — how long whatever is shaping the tape has left to exist. Almost none of the dealer gamma on this book sits at the front expiry. The current hedging configuration survives well past the next expiry largely intact — a slow-decaying regime that does not reset.
Where the walls sat, through the session — 5-minute chain, 2026-09-04
Walls MIGRATING through a session is more informative than their level. Across 80 snapshots the call wall moved 16.00 → 16.50, the put wall 14.00 → 14.50, and the gamma centre of mass 14.08 → 14.56. The sign of the at-spot gamma changed 4 time(s) during the session. A null zero-gamma cross is a real answer — on about a third of readings the cumulative curve never crosses zero inside the band — so it is drawn as a gap, never as zero.
Does the option book calm this move or amplify it? — VIX · forward book
A different chart from the bars below. The bars break dealer gamma down strike by strike; this line adds it all up and shows the total at each hypothetical spot price. Where the line is green (above zero) the book is long gamma and dealers hedge against moves — it CALMS the tape; where it is red (below zero) they are short gamma and hedge with moves — it AMPLIFIES. The tall black line is where price is now; the teal line is the flip between the two. The dashed 0DTE line (when present) is the same book with only same-day contracts — that is where late-session pockets come from. Modelled, not measured — MODELLED, NOT MEASURED. Each contract is repriced with Black-Scholes gamma while its implied vol and days-to-expiry are held FIXED and spot is hypothetically moved (a sticky-strike assumption); r=0; same-day options are floored to 1 day of time so their gamma stays finite (they are removed entirely on the forward book); the contract universe is identical to the per-strike chart (+/-15% of spot, nearest 6 expiries); OI-weighted, never volume; calls +1, puts -1, netted per contract.
What time and vol force dealers to do — VIX · forward book
charm is how dealer hedging drifts as the clock runs, even if price does not move. Green (above zero) = absorb: time is making dealers longer delta, so they SELL to stay flat. Red (below zero) = amplify: time is making them shorter, so they BUY. The tall black line is where price is now; the teal line is the charm flip — the price where that buy/sell pressure changes sign. vanna is how dealer hedging shifts when implied vol moves, even if price does not. Same geometry; a 1-point vol drop forces the hedge in the tile above. The third canvas is the same OI book with less time left (15:45 ET) — the honest substitute for VolSignals' late red 0DTE pockets, without claiming we saw the shorts. No buy-and-hold line: these are cross-sections of the option book against hypothetical spot, not a time series of an asset. Modelled, not measured — MODELLED, NOT MEASURED. Same signed book as the per-strike GEX chart (±15% of spot, nearest 6 expiries, OI-only, never volume). Time remaining is the clock to the banked expiry instant, not a 1-day floor — so 0DTE gamma and charm into the close are visible here and hidden on the regime curve above (that curve keeps the 1-day floor so it stays comparable to the banked history). The late-day gamma slice is the SAME open-interest book with less time left — not a forecast of trades or of price. 0DTE contracts with oi=0 do not appear. The dealer-side sign is the usual convention (customers sell calls / buy puts) and is often wrong; VolSignals showed 20 of 36 large 0DTE lines carrying the wrong sign under it. Read the NUMBERS as concentrations; read the DIRECTION as an assumption.
Conventional amplifiers and absorbers near price · VIX
As of 2026-09-04T20:23:01+00:00 · forward book · source: per-strike OI-weighted dollar gamma, same snapshot as the walls; dealer-side sign is a convention.
Net dealer gamma by strike — VIX, 2026-09-04
Netted contract counts are the primary measure and the default view here; dollar gamma is the secondary toggle. Dollar gamma at a single strike balloons as price approaches it and collapses as price leaves, so a dollar-ranked wall is a moving target while a contract-counted one is not. By contract count the walls sit at 16.50 (calls) and 14.00 (puts); by dollar gamma at 16.50 and 14.50. The shaded band is ±1% around spot — that band is the regime measure at the top of this page.
Optional data · previous bull & bear runs · VIX · close-to-close swings ≥ 15% · daily archive 1990-01-02 → 2026-09-04
Every close in the archive, with each bull run shaded green and each bear run red at the threshold selected above. Runs are CLOSE-only — intraday extremes are not in this archive, so a run's depth understates the true high-low move. The last segment is the open run: it has not confirmed its next pivot and can still extend or be re-labelled.
The same runs OVERLAID: every run re-based to 0% at its own start, plotted against sessions elapsed, so the run we are in now (the black line) can be read against every previous run of the archive at a glance — steeper is faster, longer is more stretched.
| Run | Start | End | Sessions | Calendar days | Change | Pace / session | Status |
|---|---|---|---|---|---|---|---|
| BEAR | 2026-07-29 | 2026-09-04 | 25 | 37 | -29.67% | -1.187% | OPEN — the run now |
| BULL | 2026-07-10 | 2026-07-29 | 13 | 19 | +37.46% | +2.881% | completed |
| BEAR | 2026-06-23 | 2026-07-10 | 12 | 17 | -22.88% | -1.907% | completed |
| BULL | 2026-06-15 | 2026-06-23 | 5 | 8 | +20.31% | +4.062% | completed |
| BEAR | 2026-06-10 | 2026-06-15 | 3 | 5 | -27.09% | -9.031% | completed |
| BULL | 2026-05-29 | 2026-06-10 | 8 | 12 | +45.04% | +5.630% | completed |
| BEAR | 2026-03-27 | 2026-05-29 | 44 | 63 | -50.66% | -1.151% | completed |
| BULL | 2026-03-17 | 2026-03-27 | 8 | 10 | +38.80% | +4.850% | completed |
| BEAR | 2026-03-06 | 2026-03-17 | 7 | 11 | -24.14% | -3.449% | completed |
| BULL | 2026-02-09 | 2026-03-06 | 18 | 25 | +69.87% | +3.882% | completed |
| BEAR | 2026-02-05 | 2026-02-09 | 2 | 4 | -20.26% | -10.129% | completed |
| BULL | 2026-01-22 | 2026-02-05 | 10 | 14 | +39.19% | +3.919% | completed |
| BEAR | 2026-01-20 | 2026-01-22 | 2 | 2 | -22.15% | -11.075% | completed |
| BULL | 2025-12-24 | 2026-01-20 | 16 | 27 | +49.15% | +3.072% | completed |
| BEAR | 2025-12-17 | 2025-12-24 | 5 | 7 | -23.55% | -4.711% | completed |
| BULL | 2025-12-11 | 2025-12-17 | 4 | 6 | +18.65% | +4.663% | completed |
| BEAR | 2025-11-20 | 2025-12-11 | 14 | 21 | -43.79% | -3.128% | completed |
| BULL | 2025-10-27 | 2025-11-20 | 18 | 24 | +67.32% | +3.740% | completed |
| BEAR | 2025-10-16 | 2025-10-27 | 7 | 11 | -37.61% | -5.373% | completed |
| BULL | 2025-08-22 | 2025-10-16 | 38 | 55 | +77.99% | +2.052% | completed |
| BEAR | 2025-08-01 | 2025-08-22 | 15 | 21 | -30.23% | -2.015% | completed |
| BULL | 2025-07-25 | 2025-08-01 | 5 | 7 | +36.50% | +7.301% | completed |
| BEAR | 2025-06-17 | 2025-07-25 | 26 | 38 | -30.88% | -1.188% | completed |
| BULL | 2025-06-06 | 2025-06-17 | 7 | 11 | +28.80% | +4.114% | completed |
| BEAR | 2025-05-23 | 2025-06-06 | 9 | 14 | -24.76% | -2.752% | completed |
| BULL | 2025-05-16 | 2025-05-23 | 5 | 7 | +29.29% | +5.858% | completed |
| BEAR | 2025-04-10 | 2025-05-16 | 25 | 36 | -57.66% | -2.306% | completed |
| BULL | 2025-04-09 | 2025-04-10 | 1 | 1 | +21.12% | +21.118% | completed |
| BEAR | 2025-04-08 | 2025-04-09 | 1 | 1 | -35.75% | -35.754% | completed |
| BULL | 2025-03-25 | 2025-04-08 | 10 | 14 | +205.13% | +20.513% | completed |
| BEAR | 2025-03-10 | 2025-03-25 | 11 | 15 | -38.44% | -3.495% | completed |
| BULL | 2025-02-14 | 2025-03-10 | 15 | 24 | +88.63% | +5.908% | completed |
| BEAR | 2025-02-03 | 2025-02-14 | 9 | 11 | -20.68% | -2.297% | completed |
| BULL | 2025-01-24 | 2025-02-03 | 6 | 10 | +25.39% | +4.231% | completed |
| BEAR | 2025-01-10 | 2025-01-24 | 9 | 14 | -24.00% | -2.667% | completed |
| BULL | 2024-12-24 | 2025-01-10 | 10 | 17 | +36.93% | +3.693% | completed |
| BEAR | 2024-12-18 | 2024-12-24 | 4 | 6 | -48.33% | -12.084% | completed |
| BULL | 2024-12-06 | 2024-12-18 | 8 | 12 | +116.29% | +14.536% | completed |
| BEAR | 2024-11-20 | 2024-12-06 | 11 | 16 | -25.58% | -2.326% | completed |
| BULL | 2024-11-13 | 2024-11-20 | 5 | 7 | +22.40% | +4.479% | completed |
| BEAR | 2024-10-31 | 2024-11-13 | 9 | 13 | -39.46% | -4.385% | completed |
| BULL | 2024-10-18 | 2024-10-31 | 9 | 13 | +28.45% | +3.161% | completed |
| BEAR | 2024-10-07 | 2024-10-18 | 9 | 11 | -20.36% | -2.262% | completed |
| BULL | 2024-09-26 | 2024-10-07 | 7 | 11 | +47.30% | +6.757% | completed |
| BEAR | 2024-09-06 | 2024-09-26 | 14 | 20 | -31.32% | -2.237% | completed |
| BULL | 2024-08-19 | 2024-09-06 | 13 | 18 | +52.76% | +4.059% | completed |
| BEAR | 2024-08-05 | 2024-08-19 | 10 | 14 | -62.02% | -6.202% | completed |
| BULL | 2024-06-13 | 2024-08-05 | 35 | 53 | +223.03% | +6.372% | completed |
| BEAR | 2024-05-30 | 2024-06-13 | 10 | 14 | -17.48% | -1.748% | completed |
| BULL | 2024-05-21 | 2024-05-30 | 6 | 9 | +22.01% | +3.668% | completed |
| BEAR | 2024-04-15 | 2024-05-21 | 26 | 36 | -38.33% | -1.474% | completed |
| BULL | 2024-03-27 | 2024-04-15 | 12 | 19 | +50.47% | +4.206% | completed |
| BEAR | 2024-03-11 | 2024-03-27 | 12 | 16 | -16.03% | -1.336% | completed |
| BULL | 2024-03-01 | 2024-03-11 | 6 | 10 | +16.09% | +2.682% | completed |
| BEAR | 2024-02-13 | 2024-03-01 | 12 | 17 | -17.29% | -1.441% | completed |
| BULL | 2024-01-23 | 2024-02-13 | 15 | 21 | +26.29% | +1.753% | completed |
| BEAR | 2024-01-17 | 2024-01-23 | 4 | 6 | -15.15% | -3.786% | completed |
| BULL | 2023-12-12 | 2024-01-17 | 23 | 36 | +22.54% | +0.980% | completed |
| BEAR | 2023-10-20 | 2023-12-12 | 36 | 53 | -44.40% | -1.233% | completed |
| BULL | 2023-10-11 | 2023-10-20 | 7 | 9 | +34.93% | +4.990% | completed |
Source: yahoo_max_seed + live daily shard. A swing threshold is a definition, not a discovery — 10% is the conventional correction cut, 20% the conventional bear-market cut; the buttons re-segment the same archive so the definition is yours to pick.
Major support & resistance · VIX · forward book
Ranked by netted contract count at the strike (call open interest minus put open interest), as a share of the netted contracts across the whole band. Top 3 each side — a secondary strike close to price routinely matters more than the headline wall far from it, which is why this is a ladder and not a single level.
The levels · forward book
| Reading | Value | Basis | What that state means |
|---|---|---|---|
| Share of dealer gamma at the front expiry | 2.4 | share of the book | Almost none of the dealer gamma on this book sits at the front expiry. The current hedging configuration survives well past the next expiry largely intact — a slow-decaying regime that does not reset. |
Does any of this actually work? — this app measuring its own thesis
The dealer-positioning MECHANICS are still a fact about the book — where gamma sits, which strikes force hedging, how fast it decays. Those are structural readings, not forecasts. What this test refuses to support is treating them as an independent edge over implied volatility.
| Quintile | n | Next range (median) | Middle half | What options charged | Range ÷ charged | Path efficiency | Failed breakouts |
|---|---|---|---|---|---|---|---|
| Q1 — most short gamma | 216 | 1.79% | 1.09%–2.90% | 1.66% | 1.069 | 0.467 | 34.0% of 191 |
| Q2 | 208 | 1.78% | 1.23%–2.56% | 1.78% | 0.999 | 0.476 | 32.6% of 181 |
| Q3 | 200 | 1.86% | 1.16%–2.79% | 1.75% | 1.039 | 0.438 | 34.7% of 190 |
| Q4 | 208 | 1.71% | 1.01%–2.65% | 1.52% | 1.093 | 0.509 | 29.8% of 191 |
| Q5 — most long gamma | 208 | 1.56% | 0.91%–2.36% | 1.38% | 1.090 | 0.432 | 36.8% of 182 |
| Root | n | Raw: gamma → next range | Vol-controlled: gamma → range ÷ charged | Blast-vs-shards (path efficiency) |
|---|---|---|---|---|
| SPY | 130 | -0.118 (p=0.182) | +0.094 (p=0.289) | +0.021 (p=0.809) |
| QQQ | 130 | -0.145 (p=0.099) | -0.002 (p=0.978) | -0.179 (p=0.042) |
| IWM | 130 | -0.136 (p=0.122) | +0.077 (p=0.382) | -0.043 (p=0.628) |
| SPX | 130 | -0.226 (p=0.010) | -0.009 (p=0.918) | +0.034 (p=0.700) |
| SPXW | 108 | -0.351 (p=0.000) | +0.111 (p=0.369) | -0.054 (p=0.581) |
| AAPL | 130 | -0.116 (p=0.189) | +0.126 (p=0.155) | +0.086 (p=0.330) |
| MSFT | 130 | -0.124 (p=0.160) | -0.081 (p=0.359) | -0.109 (p=0.219) |
| NVDA | 130 | +0.049 (p=0.582) | +0.145 (p=0.099) | +0.133 (p=0.131) |
| TSLA | 130 | -0.111 (p=0.208) | +0.002 (p=0.979) | -0.080 (p=0.365) |
Directional bias — why it stays weak
Gamma is path-shape, not direction. The four asymmetries that could legitimately carry a lean were each measured against the next session's signed return. The number that matters is the base rate: 53.0% of next sessions simply closed up (n=1040). A lean has to beat that, not 50%. None of them did — which is why "no directional lean" is this page's standing answer rather than a fallback.
| Asymmetry | n | Rank correlation | Hit rate | Beat the base rate? |
|---|---|---|---|---|
| room to the call wall minus room to the put wall | 1040 | +0.006 (p=0.844) | 49.5% | no |
| where the gamma centre of mass sits versus spot | 1040 | +0.003 (p=0.918) | 48.9% | no |
| net vanna exposure — the mechanical bid if volatility falls | 1040 | -0.048 (p=0.122) | 49.1% | no |
| net charm exposure — hedge drift from time passing | 1040 | +0.077 (p=0.013) | 53.4% | yes |
How fresh this is, and what does not line up
| Clock | As of | Expected cadence | What it is |
|---|---|---|---|
| options chain · held | 2026-09-04T20:23:01+00:00 | every 5m | The full option chain, captured every 5 minutes while the market is open and held at the last reading once it closes. Outside trading hours a held clock is correct behaviour, not a failure. |
| profile build · held | 2026-09-04T21:51:18Z | every 10m | When the per-strike gamma profile on this page was last rebuilt from the chain archive. It rebuilds every 10 minutes while the market is open and holds at the last build once it closes — a held clock out of hours is correct, not a failure. |
| open interest · settled | 2026-09-04 | every 1d | Settled overnight by the clearing house for the PREVIOUS session. It does not move intraday — market structure, not neglect. |
| daily history · settled | no stamp available | every 1d | The banked daily-close spine the history charts draw. One row per session. |
| bull/bear archive · settled | 2026-09-04 | every 1d | Daily closes from 1990-01-02 to 2026-09-04, used ONLY by the optional bull/bear runs block. It extends by one row per completed session, so a day behind is normal and a week behind is not. |
=== /gex — DEALER GAMMA REGIME · VIX ===
QUESTION: Is the market set up to BLAST in a direction, or chop in jagged broken shards?
VERDICT: SET UP TO BLAST
Dealers are short gamma where price is trading, so hedging pushes WITH moves.
BLAST CONFIGURATION WITH A MAGNET AGAINST IT. Dealers are short gamma at this price, so hedging
adds to moves rather than absorbing them, but price is sitting on the gamma centre of mass,
which is where the book's pull is concentrated. Little of this gamma expires today, so the
amplifying configuration carries forward into the sessions ahead rather than resetting at the
close.
DIRECTIONAL LEAN: NONE
NO DIRECTIONAL LEAN. Dealer gamma describes the SHAPE of the path — how big and how jagged —
not which way it points. The asymmetries that could carry a lean (which wall is closer, where
the centre of mass sits, vanna, charm) do not agree strongly enough here to name a side, and on
this stack none of them beat simply counting how often sessions close up.
-- DOES THE OPTION BOOK CALM OR AMPLIFY THIS MOVE? (regime curve, forward book) --
at spot the book is AMPLIFYING moves (dealers short gamma — hedging runs WITH the tape, an accelerant).
dealer gamma at spot: -$12.2M per 1% move.
flip (regime boundary): 15.05, 3.25% above spot 14.58.
MODELLED, NOT MEASURED. Each contract is repriced with Black-Scholes gamma while its
implied vol and days-to-expiry are held FIXED and spot is hypothetically moved (a
sticky-strike assumption); r=0; same-day options are floored to 1 day of time so their
gamma stays finite (they are removed entirely on the forward book); the contract universe
is identical to the per-strike chart (+/-15% of spot, nearest 6 expiries); OI-weighted,
never volume; calls +1, puts -1, netted per contract.
-- WHAT TIME AND VOL FORCE DEALERS TO DO (same signed book, forward book) --
as of 2026-09-04T20:23:01+00:00 · remaining time to the banked texp instant, 5-minute floor · source: gamma/data/chain x-block + header texp/rate/q; OI-only; never volume
CHARM at spot: -$659.4M dollar-delta per year = -$1.8M per calendar day.
Time passing is forcing dealers to BUY the underlying to stay hedged (they are decaying
into a shorter delta). Under the usual dealer-side convention only — if the convention
is wrong, they sell instead.
of which 0DTE — / rest -$659.4M (0 same-day contracts).
charm flip (where time-decay hedge flow changes sign): 16.77, 15.00% from spot.
VANNA at spot: +$180.9M dollar-delta per 1.00 vol = +$1.8M per vol-point.
If implied vol FALLS 1 point, dealers would have to BUY the underlying to stay hedged (and
SELL if vol rises). Under the usual dealer-side convention only.
chain's own xcharm/xvanna (not fused; archive 12h floor): -$659.4M / +$180.9M
LATE-DAY GAMMA absent: this snapshot is already past 15:45 ET (or past 15 minutes before expiry) — a late-day reprice is not invented from a later clock
CONVENTIONAL AMPLIFIERS / ABSORBERS (most-negative / most-positive dollar-gamma inside ±2% of price). Not VolSignals tests — we cannot see who is actually short.
amplifier 1 14.50 -0.55% -$11.3M per 1% 26,550 net contracts
0DTE ACTIVITY (not a position): in-band 0 contracts of volume across 0 listed lines; 0 lines still report OI 0 with volume > 0. Never used as a weight.
including outside the ±15% band: 0 contracts, 0 oi=0-with-volume lines.
! WHICH SIDE ARE DEALERS ACTUALLY ON? These greeks cannot see it. Every sign here infers
dealers long calls and short puts. When customers have been BUYING calls, dealers are
short them and a "long" line is actually a short — the absorb/amplify label flips.
Nothing on this page confirms the direction. VolSignals, 2026-08-31: 20 of 36 SPX 0DTE
lines over 300 contracts carried the opposite sign under this convention.
! These numbers are not an input to verdict.regime / decay / pin / lean.
MODELLED, NOT MEASURED. Same signed book as the per-strike GEX chart (±15% of spot,
nearest 6 expiries, OI-only, never volume). Time remaining is the clock to the banked
expiry instant, not a 1-day floor — so 0DTE gamma and charm into the close are visible
here and hidden on the regime curve above (that curve keeps the 1-day floor so it stays
comparable to the banked history). The late-day gamma slice is the SAME open-interest book
with less time left — not a forecast of trades or of price. 0DTE contracts with oi=0 do
not appear. The dealer-side sign is the usual convention (customers sell calls / buy puts)
and is often wrong; VolSignals showed 20 of 36 large 0DTE lines carrying the wrong sign
under it. Read the NUMBERS as concentrations; read the DIRECTION as an assumption.
-- THE RANGE THE OPTION MARKET IS CHARGING FOR --
daily breakeven 5.34% (front at-the-money implied vol 84.80% (expiry 2026-09-09) / sqrt(252))
wall-to-wall corridor 13.72% (put wall 14.50 to call wall 16.50)
last session delivered 4.32% (5-min sampled) = 0.81x the breakeven
! THIS READING SPANS A WEEKEND. The breakeven divides by sqrt(252) TRADING days, but the next
session carries three calendar days of risk. Measured on the banked data, a Friday reading
is followed by a range 1.50x the breakeven versus about 1.01x on other weekdays — so treat
the figure above as understated here.
-- MAJOR SUPPORT & RESISTANCE (forward book) --
These are where dealer hedging CONCENTRATES. They are not levels price is obliged to
respect: a big enough directional move overwhelms even a massive wall of gamma.
MEASURED: reaching the call wall, price closed back below it 39.4% of the time (n=282);
the put wall held 43.1% of 195. Neither beat a level the same distance away
with no gamma in it, so these rows are ranked by concentration, not reliability.
16.00 +1.42 pts +9.74% RESISTANCE secondary put concentration (largest) 49.2% of book 402,914 net contracts
A put-heavy strike sitting ABOVE price — unusual, and not a classic ceiling. It
marks where the book is heavy rather than where hedging would push back against a
rally.
15.50 +0.92 pts +6.31% RESISTANCE secondary put concentration (2nd largest) 15.6% of book 128,015 net contracts
A put-heavy strike sitting ABOVE price — unusual, and not a classic ceiling. It
marks where the book is heavy rather than where hedging would push back against a
rally.
15.00 +0.42 pts +2.88% RESISTANCE secondary put concentration (3rd largest) 13.3% of book 108,600 net contracts
A put-heavy strike sitting ABOVE price — unusual, and not a classic ceiling. It
marks where the book is heavy rather than where hedging would push back against a
rally.
14.58 <<<< PRICE IS HERE
14.50 -0.08 pts -0.55% SUPPORT secondary put concentration (2nd largest) 3.2% of book 26,550 net contracts
A further band of put hedging below price, lighter than the wall. The same mechanics
apply, at smaller size.
14.00 -0.58 pts -3.98% SUPPORT put wall (largest) 4.3% of book 35,096 net contracts
The heaviest put hedging below. On the usual assumption that dealers are SHORT these
puts, staying hedged means buying as price falls toward it — which is what would
cushion a move here.
13.00 -1.58 pts -10.84% SUPPORT secondary put concentration (3rd largest) 2.5% of book 20,740 net contracts
A further band of put hedging below price, lighter than the wall. The same mechanics
apply, at smaller size.
14.56 -0.11% MAGNET — the opposite of a barrier
The gamma-weighted centre of the book: the level hedging flow pulls price TOWARD,
rather than a level that pushes price away. Price sitting on it is the pinned
configuration.
! WHICH SIDE ARE DEALERS ACTUALLY ON? This is the one thing gamma exposure cannot see, and
it decides whether a wall brakes or accelerates. Every number here INFERS it from a
convention — that customers sell calls and buy puts, so dealers end up long calls and
short puts, which is what makes a call wall behave like a ceiling. When that convention is
wrong the sign flips with it: if customers are BUYING calls, dealers are SHORT them, and
staying hedged means buying INTO a rally through the same strike — the level becomes an
accelerant instead of a brake. On the book these levels are drawn from, 2.4% of the gross
gamma sits at the front expiry — the short-dated, retail-facing end of the chain, where
that assumption is least safe. Nothing on this page can confirm the direction, so read the
labels as where hedging is concentrated, not as which way it will push.
ranked by: netted contract count at the strike (call open interest minus put open interest), as a
share of the netted contracts across the whole band
-- LEVELS (forward book) --
The session has closed, so the same-day contracts in the final snapshot are already dead. This verdict is built on the FORWARD book — the gamma that still exists for the next session.
spot 14.58 as of 2026-09-04T20:23:01+00:00 (post_close)
net gamma in +/-1% band -$10.9M across 2 strikes [THE REGIME MEASURE]
= 92% of the gross gamma in that band, netting SHORT (flat below 20%)
net dealer gamma at the single nearest strike -$11.3M at 14.50
whole-book gamma -$13.0M
call wall 16.50 (13.17% above) put wall 14.50 (0.55% below)
walls by CONTRACT COUNT call 16.50 put 14.00 [the stable read]
gamma centre of mass 14.56 (-0.11% from spot) zero-gamma cross —
NOTE: the zero-gamma cross is a LEVEL, not the regime boundary. The regime above is read from the NET GAMMA IN THE +/-1% BAND around spot.
-- HOW FAST THIS REGIME DECAYS --
2.4% — share of the FORWARD book's gross gamma sitting at its front expiry (2026-09-09) [drives the 'slow decay' in the verdict; fast at 50%]
0.0% of the gross gamma on the SESSION book expired at 2026-09-04's close
0% of the at-spot gamma disappeared with that expiry (-$11.3M on the session book -> -$11.3M on the forward book)
-- WHERE THIS SITS VERSUS ITS OWN BANKED HISTORY --
share of the book at the front expiry 2.4 % of the book
Almost none of the dealer gamma on this book sits at the front expiry. The current hedging
configuration survives well past the next expiry largely intact — a slow-decaying regime
that does not reset.
-- PART B: THIS APP MEASURING ITS OWN CLAIM --
THESIS HELD: NO
NOT ESTABLISHED. Dealer gamma tracks the volatility regime, but it did not beat what the
option market had already priced.
- RAW, the thesis looks right: the most negative-gamma quintile was followed by a 1.79%
median range and the most positive by 1.56% (pooled rho -0.083, p=0.0076).
- CONTROLLED, it disappears. Measure the same range in units of what options charged for it
(range / IV breakeven) and the relationship is rho 0.038, p=0.22 — nothing.
Negative-gamma sessions ARE high-implied-vol sessions: median breakeven fell from 1.66% in
the short-gamma quintile to 1.38% in the long-gamma quintile. Gamma was reading the
thermometer, not adding to it.
- The BLAST-vs-SHARDS part specifically shows nothing: path efficiency (how much of the
day's travel became net progress) against gamma is rho -0.016, p=0.60.
- The FAILED-BREAKOUT prediction runs the wrong way. Long dealer gamma is supposed to
produce MORE failed breakouts; measured, long gamma faded 33.1% of breakout attempts and
short gamma faded 34.3%.
- No directional signal beat the base rate: 53.0% of next sessions closed up, and not one of
the four asymmetries did better.
+ ONE reading did keep a signal after the calendar was removed, and it is the DECAY RATE
rather than the level: the 0DTE share of gamma. Ranked inside each (root x weekday) cell
— which removes the weekday effect completely, not just its linear part — a higher
0DTE share went with the next session realising MORE range than options had charged for:
pooled rho 0.087 (n=910 across 35 cells), and POSITIVE on all 7 roots tested. It is called
SUGGESTIVE and not established, for three reasons: only 0 of 7 roots reach significance on
their own, the pooled p-value is overstated because the roots share market days, and the
sample is five months of one year.
QUINTILES OF DEALER GAMMA AT SPOT -> WHAT THE NEXT SESSION DID (pooled, within-root cuts)
Q n next range middle half breakeven ratio path eff failed breakouts
1 216 1.79% 1.09-2.90% 1.66% 1.07 0.467 34.0% of 191
2 208 1.78% 1.23-2.56% 1.78% 1.00 0.476 32.6% of 181
3 200 1.86% 1.16-2.79% 1.75% 1.04 0.438 34.7% of 190
4 208 1.71% 1.01-2.65% 1.52% 1.09 0.509 29.8% of 191
5 208 1.56% 0.91-2.36% 1.38% 1.09 0.432 36.8% of 182
Q1 = most NEGATIVE dealer gamma (blast end) Q5 = most POSITIVE (jagged/pinned end)
! POOLED SIGNIFICANCE IS OVERSTATED. The roots share the same market days and SPY/SPX/QQQ are
close to the same trade, so a pooled n is not that many independent observations — the
effective n is nearer the per-root session count.
! SPXW is excluded from every pooled set: same underlying as SPX, so its outcome rows are
duplicates.
! THE WEEKEND ARTEFACT. breakeven divides by sqrt(252) TRADING days, so a Friday reading is
compared against a Monday session carrying three calendar days of risk. Measured below as
friday_artefact. Friday rows carry weekend_span=true.
! 2026 only. The OI-weighted gamma archive starts 2026-03-02 (the OCC open-interest purchase
window), so there is no multi-year sample and no other market regime in it.
! This measures ASSOCIATION on banked sessions. It is not a trading result and carries no
costs, slippage or capacity.
! DIFFERENT CONSTRUCTION FROM THE LIVE READ. These hit rates are measured on the DAILY
DOLLAR-GEX AGGREGATE, because that is the only per-session gamma that exists back through
2026-02. The live panel on this page is built on per-strike NETTED CONTRACT COUNTS from the
5-minute chain recorder, which only starts 2026-08-05. Dollar gamma at a strike explodes as
spot approaches it and collapses as it leaves, so the aggregate is exactly the weaker
construction — this table does not validate the live measure exactly, and it is not
claimed to.
-- HOW FRESH, AND WHAT IS STALE BY DESIGN --
options chain 2026-09-04T20:23:01+00:00 expected every 5m [held at the last regular-hours reading — correct once the market closes, not a failure]
profile build 2026-09-04T21:51:18Z expected every 10m [held at the last regular-hours reading — correct once the market closes, not a failure]
open interest 2026-09-04 expected every 1d [settled once overnight — a day behind by market structure, not by neglect]
daily history UNKNOWN — no stamp available expected every 1d [settled once overnight — a day behind by market structure, not by neglect]
bull/bear archive 2026-09-04 expected every 1d [settled once overnight — a day behind by market structure, not by neglect]
server clock now 2026-09-07T03:42:14Z (skew baseline only — NEVER a data timestamp)
chain_day 2026-09-04
chain_asof 2026-09-04T20:23:01+00:00
chain_phase post_close
chain_built 2026-09-04T21:51:18Z
chain_cadence every 5 minutes in regular trading hours, plus a pre-open and a post-close bracket
open_interest PREVIOUS session, settled overnight by the clearing house. It does not move intraday — a market-structure fact, not a defect.
history_gex_window from 2026-03-02 (the OCC open-interest purchase); continues past 2026-08-04 from the live chain recorder rather than ending there
validation_built 2026-09-06T09:20:03Z
open-interest census 92 known, 0 MISSING (excluded, never zeroed), 12 genuine zeros
-- STANDING CAUTION --
Gamma is not destiny. A large enough directional move overwhelms even a very big wall of dealer
gamma — the hedging flow described here is one force among several, and it is the one that
gets run over when something bigger arrives. Everything on this page describes how the option
book is positioned; none of it is a statement about what price does next.
generated 2026-09-07T03:42:14Z · full JSON: /apps2/gex/api.php?sym=VIX&full=1
{
"ok": true,
"sym": "VIX",
"symbols": [
"SPY",
"QQQ",
"IWM",
"SPX",
"AAPL",
"MSFT",
"NVDA",
"TSLA",
"VIX"
],
"generated_utc": "2026-09-07T03:42:14Z",
"question": "Is the market set up to BLAST in a direction, or chop in jagged broken shards?",
"pctl_basis": {
"local_gamma": "percentile against this root's own banked daily history \u2014 ORIENTATION ONLY, because the banked series is the daily dollar aggregate and the live figure is per-strike from the 5-minute recorder",
"zdte_share": "the share itself (0-100), not a percentile",
"wall_room": "percentile against this root's own banked wall spans",
"flip_dist": "percentile against this root's own banked distances",
"paid_vs_realised": "percentile against every banked session's own realised-range-over-breakeven ratio"
},
"range": {
"breakeven_pct": 5.34211370606087,
"breakeven_from": "front at-the-money implied vol 84.80% (expiry 2026-09-09) / sqrt(252)",
"breakeven_note": "the one-day move the option market is charging for. Part B found this is the figure that carries the information; the gamma reading did not add to it.",
"gamma_conditional": null,
"wall_span_pct": 13.717421124828533,
"last_session_sampled_pct": 4.320987654320993,
"paid_vs_realised": 0.8088535534948716,
"weekend_caveat": "THIS READING SPANS A WEEKEND. The breakeven divides by sqrt(252) TRADING days, but the next session carries three calendar days of risk. Measured on the banked data, a Friday reading is followed by a range 1.50x the breakeven versus about 1.01x on other weekdays \u2014 so treat the figure above as understated here."
},
"verdict": {
"book": "forward",
"book_note": "The session has closed, so the same-day contracts in the final snapshot are already dead. This verdict is built on the FORWARD book \u2014 the gamma that still exists for the next session.",
"regime": "short",
"decay": "slow",
"pin": "at",
"lean": "none",
"regime_from": "net dealer gamma inside +/-1% of spot, as a share of the gross gamma in that band",
"regime_net_share": -0.9248955799744591,
"decay_from": "share of the FORWARD book's gross gamma sitting at its front expiry (2026-09-09)",
"decay_share": 0.024033896818649394,
"cuts": {
"flat_net_share_below": 0.2,
"fast_decay_at": 0.5,
"pin_within_pct": 0.25,
"lean_needs_pct": 0.15
}
},
"levels": {
"spot": 14.58,
"as_of": "2026-09-04T20:23:01+00:00",
"phase": "post_close",
"local_gamma_at_spot": -11332429.579890124,
"local_strike": 14.5,
"local_band_1pct": -10890267.646571526,
"local_band_n": 2,
"local_band_pct": 3,
"local_band_widened": true,
"local_band_thin": true,
"call_wall_book": 16.5,
"put_wall_book": 14.5,
"total_gex": -12991329.570286147,
"total_gex_x": -10700976.323061999,
"call_wall": 16.5,
"put_wall": 14.5,
"call_wall_contracts": 16.5,
"put_wall_contracts": 14,
"gamma_center": 14.564522136139525,
"gamma_flip": null,
"room_up_pct": 13.16872427983539,
"room_down_pct": 0.5486968449931418,
"centre_offset_pct": -0.10615818834345227,
"zdte_gamma_share": 0,
"session_book_total_gex": -12991329.570286147,
"session_book_local": -11332429.579890124,
"decay_of_local": 0
},
"pctl": {
"local_gamma": null,
"zdte_share": 2.4,
"wall_room": null,
"flip_dist": null,
"paid_vs_realised": null
},
"indices": [
{
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"label": "S&P 500",
"unit": "percent change from the cash close",
"anchor_ts": 1788553381,
"anchor_value": 7718.6,
"cash_note": "SPX cash from the 5-minute chain recorder",
"futures_product": "ES",
"futures_ticker": "ESU6",
"handoff_ts": 1788553500,
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},
{
"key": "nas100",
"label": "NAS100",
"unit": "percent change from the cash close",
"anchor_ts": 1788553381,
"anchor_value": 718.1,
"cash_note": "QQQ cash from the 5-minute chain recorder, used as the NAS100 proxy \u2014 we bank QQQ per snapshot, not NDX",
"futures_product": "NQ",
"futures_ticker": "NQU6",
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[
1788546781,
-0.1253
],
[
1788547081,
-0.071
],
[
1788547381,
-0.078
],
[
1788547681,
-0.06
],
[
1788547981,
-0.0877
],
[
1788548282,
-0.0717
],
[
1788548581,
-0.023
],
[
1788548881,
-0.0104
],
[
1788549182,
-0.0033
],
[
1788549481,
-0.0181
],
[
1788549781,
-0.0829
],
[
1788550082,
-0.0655
],
[
1788550381,
-0.0473
],
[
1788550681,
-0.0557
],
[
1788550981,
-0.0202
],
[
1788551281,
-0.0111
],
[
1788551581,
0.0077
],
[
1788551881,
0.0028
],
[
1788553381,
0
],
[
1788553500,
-0.0017
],
[
1788553800,
-0.0449
],
[
1788554100,
-0.0262
],
[
1788554400,
-0.0051
],
[
1788554700,
-0.0203
],
[
1788555000,
-0.0102
],
[
1788555300,
-0.0305
],
[
1788732000,
0.1659
],
[
1788732300,
0.1566
],
[
1788732600,
0.1608
],
[
1788732900,
0.1558
],
[
1788733200,
0.1558
],
[
1788733500,
0.1617
],
[
1788733800,
0.1566
],
[
1788734100,
0.1676
],
[
1788734400,
0.1642
],
[
1788734700,
0.1651
],
[
1788735000,
0.1642
],
[
1788735300,
0.1515
],
[
1788735600,
0.1465
],
[
1788735900,
0.1295
],
[
1788736200,
0.1109
],
[
1788736500,
0.1363
],
[
1788736800,
0.0618
],
[
1788737100,
0.0406
],
[
1788737400,
0.0423
],
[
1788737700,
0.1346
],
[
1788738000,
0.1422
],
[
1788738300,
0.1532
],
[
1788738600,
0.1084
],
[
1788738900,
0.0863
],
[
1788739200,
0.0533
],
[
1788739500,
0.1346
],
[
1788739800,
0.1338
],
[
1788740100,
0.1101
],
[
1788740400,
0.0923
],
[
1788740700,
0.1067
],
[
1788741000,
0.099
],
[
1788741300,
0.066
],
[
1788741600,
0.1084
],
[
1788741900,
0.1109
],
[
1788742200,
0.0906
],
[
1788742500,
0.0178
],
[
1788742800,
0.1202
],
[
1788743100,
0.0542
],
[
1788743400,
0.0813
],
[
1788743700,
0.0855
],
[
1788744000,
0.105
],
[
1788744300,
0.1591
],
[
1788744600,
0.182
],
[
1788744900,
0.2057
],
[
1788745200,
0.1761
],
[
1788745500,
0.1651
],
[
1788745800,
0.1812
],
[
1788746100,
0.2099
],
[
1788746400,
0.1634
],
[
1788746700,
0.1778
],
[
1788747000,
0.1803
],
[
1788747300,
0.1752
],
[
1788747600,
0.1524
],
[
1788747900,
0.1888
],
[
1788748200,
0.2463
],
[
1788748500,
0.2751
],
[
1788748800,
0.2523
],
[
1788749100,
0.2514
],
[
1788749400,
0.204
],
[
1788749700,
0.1735
],
[
1788750000,
0.1608
],
[
1788750300,
0.1651
],
[
1788750600,
0.1668
],
[
1788750900,
0.171
],
[
1788751200,
0.1896
],
[
1788751500,
0.2336
],
[
1788751800,
0.3039
],
[
1788752100,
0.2557
],
[
1788752400,
0.2557
]
],
"now_pct": 0.2557,
"now_ts": 1788752400,
"n_cash": 80,
"n_total": 156
}
],
"indices_note": "SPX and NAS100 are drawn as PERCENT CHANGE SINCE THE CASH CLOSE, not in their own points. That keeps them on a single shared axis, keeps their numbers away from this symbol's price scale, and makes the two directly comparable with each other \u2014 which is the reason to show both. They are market context and appear on every symbol; the price line's pairing to a specific future is a separate and stricter rule. Each index runs on its own cash prints up to the close and on its front future after it, with both legs divided by their own value at the anchor, so the handoff is continuous and the basis never shows up as a jump.",
"futures": null,
"ladder": {
"spot": 14.58,
"resistance": [
{
"level": 16,
"side": "resistance",
"rank": "largest",
"is_headline_wall": false,
"is_dollar_gamma_wall": false,
"kind": "secondary put concentration",
"dist_pts": 1.42,
"dist_pct": 9.739,
"net_contracts": -402914,
"call_contracts": 45008,
"put_contracts": 447922,
"share_of_book": 0.4921,
"gex": 973673.9464004256,
"call_heavy": false,
"does": "A put-heavy strike sitting ABOVE price \u2014 unusual, and not a classic ceiling. It marks where the book is heavy rather than where hedging would push back against a rally."
},
{
"level": 15.5,
"side": "resistance",
"rank": "2nd largest",
"is_headline_wall": false,
"is_dollar_gamma_wall": false,
"kind": "secondary put concentration",
"dist_pts": 0.92,
"dist_pct": 6.31,
"net_contracts": -128015,
"call_contracts": 4563,
"put_contracts": 132578,
"share_of_book": 0.1563,
"gex": 83673.48480882995,
"call_heavy": false,
"does": "A put-heavy strike sitting ABOVE price \u2014 unusual, and not a classic ceiling. It marks where the book is heavy rather than where hedging would push back against a rally."
},
{
"level": 15,
"side": "resistance",
"rank": "3rd largest",
"is_headline_wall": false,
"is_dollar_gamma_wall": false,
"kind": "secondary put concentration",
"dist_pts": 0.42,
"dist_pct": 2.881,
"net_contracts": -108600,
"call_contracts": 24162,
"put_contracts": 132762,
"share_of_book": 0.1326,
"gex": 442161.93331859756,
"call_heavy": false,
"does": "A put-heavy strike sitting ABOVE price \u2014 unusual, and not a classic ceiling. It marks where the book is heavy rather than where hedging would push back against a rally."
}
],
"support": [
{
"level": 14.5,
"side": "support",
"rank": "2nd largest",
"is_headline_wall": false,
"is_dollar_gamma_wall": true,
"kind": "secondary put concentration",
"dist_pts": -0.08,
"dist_pct": -0.549,
"net_contracts": -26550,
"call_contracts": 5609,
"put_contracts": 32159,
"share_of_book": 0.0324,
"gex": -11332429.579890124,
"call_heavy": false,
"does": "A further band of put hedging below price, lighter than the wall. The same mechanics apply, at smaller size."
},
{
"level": 14,
"side": "support",
"rank": "largest",
"is_headline_wall": true,
"is_dollar_gamma_wall": false,
"kind": "put wall",
"dist_pts": -0.58,
"dist_pct": -3.978,
"net_contracts": -35096,
"call_contracts": 5745,
"put_contracts": 40841,
"share_of_book": 0.0429,
"gex": -3510581.4486494707,
"call_heavy": false,
"does": "The heaviest put hedging below. On the usual assumption that dealers are SHORT these puts, staying hedged means buying as price falls toward it \u2014 which is what would cushion a move here."
},
{
"level": 13,
"side": "support",
"rank": "3rd largest",
"is_headline_wall": false,
"is_dollar_gamma_wall": false,
"kind": "secondary put concentration",
"dist_pts": -1.58,
"dist_pct": -10.837,
"net_contracts": -20740,
"call_contracts": 3852,
"put_contracts": 24592,
"share_of_book": 0.0253,
"gex": -520648.4640944338,
"call_heavy": false,
"does": "A further band of put hedging below price, lighter than the wall. The same mechanics apply, at smaller size."
}
],
"ranked_by": "netted contract count at the strike (call open interest minus put open interest), as a share of the netted contracts across the whole band",
"regime_boundary": null,
"magnet": {
"level": 14.564522136139525,
"dist_pts": -0.02,
"dist_pct": -0.106,
"label": "MAGNET \u2014 the opposite of a barrier",
"means": "The gamma-weighted centre of the book: the level hedging flow pulls price TOWARD, rather than a level that pushes price away. Price sitting on it is the pinned configuration."
},
"book": "forward",
"qualifier": "These are where dealer hedging CONCENTRATES. They are not levels price is obliged to respect: a big enough directional move overwhelms even a massive wall of gamma.",
"measured": {
"headline": "MEASURED, THE WALLS DID NOT ACT AS SUPPORT OR RESISTANCE. When the tape actually reached the call wall it closed back below it only 39.4% of the time (n=282) \u2014 against 39.0% for a level placed the same distance away with no gamma in it at all (difference +0.4 points, p=0.94). The put wall held 43.1% of the 195 times price reached it, against a placebo of 41.5% (+1.6 points, p=0.70). Neither is distinguishable from an arbitrary level, and the call wall was BROKEN more often than it held.",
"call_hold_rate": 0.3936,
"call_n": 282,
"put_hold_rate": 0.4308,
"put_n": 195,
"ranking_consequence": "So the ladder on the page CANNOT rank levels by a measured reliability, because no such reliability was found. It ranks them by raw concentration \u2014 how much of the book sits at that strike \u2014 and prints this null result beside the labels rather than implying a strength the data does not support."
},
"dealer_side_caveat": "WHICH SIDE ARE DEALERS ACTUALLY ON? This is the one thing gamma exposure cannot see, and it decides whether a wall brakes or accelerates. Every number here INFERS it from a convention \u2014 that customers sell calls and buy puts, so dealers end up long calls and short puts, which is what makes a call wall behave like a ceiling. When that convention is wrong the sign flips with it: if customers are BUYING calls, dealers are SHORT them, and staying hedged means buying INTO a rally through the same strike \u2014 the level becomes an accelerant instead of a brake. On the book these levels are drawn from, 2.4% of the gross gamma sits at the front expiry \u2014 the short-dated, retail-facing end of the chain, where that assumption is least safe. Nothing on this page can confirm the direction, so read the labels as where hedging is concentrated, not as which way it will push."
},
"regime": {
"book": "forward",
"has": true,
"regime": "amplifying",
"at_spot": -12164051,
"flip": 15.0536,
"flip_side": "below",
"flip_dist_pct": 3.248,
"spot": 14.58,
"census": {
"oi_used": 1094678,
"oi_missing_iv": 52,
"n_session": 78,
"n_forward": 78,
"n_0dte": 0,
"n_rest": 78
},
"assumptions": "MODELLED, NOT MEASURED. Each contract is repriced with Black-Scholes gamma while its implied vol and days-to-expiry are held FIXED and spot is hypothetically moved (a sticky-strike assumption); r=0; same-day options are floored to 1 day of time so their gamma stays finite (they are removed entirely on the forward book); the contract universe is identical to the per-strike chart (+/-15% of spot, nearest 6 expiries); OI-weighted, never volume; calls +1, puts -1, netted per contract.",
"estimator": "Black-Scholes gamma from each contract's own implied vol \u2014 the same estimator family as this page's \"our own Black-Scholes solve\" figure (total_gex_x), never the vendor gamma and never fused with it."
},
"position_greeks": {
"book": "forward",
"has": true,
"spot": 14.58,
"as_of": "2026-09-04T20:23:01+00:00",
"src": "gamma/data/chain x-block + header texp/rate/q; OI-only; never volume",
"T_floor_minutes": 5,
"at_spot": {
"gamma": -10700976,
"gamma_0dte": null,
"gamma_rest": -10700976,
"charm": -659413207,
"charm_per_day": -1805375,
"charm_0dte": null,
"charm_rest": -659413207,
"vanna": 180867230,
"vanna_per_volpt": 1808672,
"vanna_0dte": null,
"vanna_rest": 180867230,
"charm_x": -659413197,
"vanna_x": 180867228
},
"hedge": {
"charm": {
"word": "buy",
"per_day": -1805375,
"say": "Time passing is forcing dealers to BUY the underlying to stay hedged (they are decaying into a shorter delta). Under the usual dealer-side convention only \u2014 if the convention is wrong, they sell instead."
},
"vanna": {
"word": "buy_if_iv_falls",
"per_volpt": 1808672,
"say": "If implied vol FALLS 1 point, dealers would have to BUY the underlying to stay hedged (and SELL if vol rises). Under the usual dealer-side convention only."
}
},
"charm_flip": 16.7669,
"charm_flip_dist_pct": 14.999,
"charm_flip_side": "below",
"vanna_flip": 14.2172,
"vanna_flip_dist_pct": 2.488,
"vanna_flip_side": "above",
"n_contracts": 22,
"n_0dte": 0,
"gamma_late": null,
"gamma_late_0dte": null,
"gamma_late_rest": null,
"gamma_late_flip": null,
"late_clock": {
"late_ts": null,
"late_iso": null,
"why": "this snapshot is already past 15:45 ET (or past 15 minutes before expiry) \u2014 a late-day reprice is not invented from a later clock",
"rule": "15:45 America/New_York, or 15 minutes before the front expiry instant, whichever is sooner"
},
"zero_dte_flow": {
"is_position": false,
"means": "Contracts traded TODAY in the same-day expiry. This is activity, not inventory. OCC open interest on a strike listed this morning is 0 all session; that 0 is real. Volume is never swapped in as a GEX weight.",
"by_strike": [],
"totals_in_band": {
"call_vol": 0,
"put_vol": 0,
"vol": 0,
"n": 0,
"n_oi_zero": 0,
"n_oi_zero_with_vol": 0,
"n_oi_pos": 0,
"vol_on_oi_zero": 0,
"vol_on_oi_pos": 0,
"vol_missing": 0,
"oi_known": 0
},
"totals_all_0dte": {
"call_vol": 0,
"put_vol": 0,
"vol": 0,
"n": 0,
"n_oi_zero_with_vol": 0,
"note": "Includes same-day contracts outside the \u00b115% GEX band. In-band overlay can hide lotto prints; this total exists so they are not silent."
},
"gap": {
"oi_zero_with_vol": "Listed this morning, trading, no standing OI \u2014 the VolSignals 0DTE lines we cannot sign.",
"oi_pos_with_vol": "Friday weeklies / leftover OI: inventory is in zero_dte_profile; this volume is still today's prints, not a second position.",
"vol_missing": "day.volume not supplied (DATA_GAP). Distinct from vol=0 (NO_FLOW)."
}
},
"census": {
"n_session": 22,
"n_forward": 22,
"n_0dte": 0,
"xiv_used": 22,
"xiv_missing": 58,
"texp_missing": 0,
"q_empty": 0,
"rate_missing": 0,
"xcharm_known": 22,
"xcharm_missing": 58,
"xvanna_known": 22,
"xvanna_missing": 58,
"why_excluded": "oi missing \u2192 not a position. oi=0 \u2192 no standing inventory (typical same-morning 0DTE). xiv empty \u2192 x-block unidentifiable, not filled from vendor iv. texp empty \u2192 tenor unknown, not replaced with the 1-day regime floor."
},
"assumptions": "MODELLED, NOT MEASURED. Same signed book as the per-strike GEX chart (\u00b115% of spot, nearest 6 expiries, OI-only, never volume). Time remaining is the clock to the banked expiry instant, not a 1-day floor \u2014 so 0DTE gamma and charm into the close are visible here and hidden on the regime curve above (that curve keeps the 1-day floor so it stays comparable to the banked history). The late-day gamma slice is the SAME open-interest book with less time left \u2014 not a forecast of trades or of price. 0DTE contracts with oi=0 do not appear. The dealer-side sign is the usual convention (customers sell calls / buy puts) and is often wrong; VolSignals showed 20 of 36 large 0DTE lines carrying the wrong sign under it. Read the NUMBERS as concentrations; read the DIRECTION as an assumption.",
"estimator": "Black-Scholes gamma, vanna and charm from each contract's locally-solved xiv (never vendor iv), r and q from the snapshot header (same inputs as the x-block), sticky-strike, OI-weighted, calls +1 / puts -1. The xcharm/xvanna sums (at_spot.charm_x / vanna_x) use the chain's already-banked local greeks at A2C_TFLOOR and are NEVER fused with the repriced live-T curves. A disagreement between at_spot and at_spot.charm_x on 0DTE is information: the archive is pinned at ~12 hours all session.",
"expiry_convention": "Remaining time is ACT/365.25 years from the snapshot clock to the banked texp INSTANT (AM 09:30 ET for SPX/NDX/RUT monthlies, PM 16:00 ET for ETFs, singles and weeklies). Same-day tenor is floored to 5 minutes so gamma stays finite. This is NOT the 1-day regime floor and NOT the archive's 12-hour x-block floor.",
"dealer_side_caveat": "WHICH SIDE ARE DEALERS ACTUALLY ON? These greeks cannot see it. Every sign here infers dealers long calls and short puts. When customers have been BUYING calls, dealers are short them and a \"long\" line is actually a short \u2014 the absorb/amplify label flips. Nothing on this page confirms the direction. VolSignals, 2026-08-31: 20 of 36 SPX 0DTE lines over 300 contracts carried the opposite sign under this convention.",
"not_the_regime": "These numbers are not an input to verdict.regime / decay / pin / lean.",
"unit_gamma": "dealer gamma, dollars per 1% move \u2014 time-aware T from texp, NOT the 1-day-floor regime curve",
"unit_charm": "dealer dollar-delta per year (divide by 365.25 for per calendar day)",
"unit_vanna": "dealer dollar-delta per 1.00 vol (divide by 100 for per vol-point)"
},
"conventional_levels": {
"band_pct": 2,
"premise": "Dealers are assumed LONG calls and SHORT puts (customers buy puts / sell calls). That is a convention, not a measurement. VolSignals, 2026-08-31, on SPX 0DTE: 20 of 36 lines with >300 contracts had the OPPOSITE sign. When the convention is wrong, every label below flips: an amplifier absorbs, an absorber amplifies.",
"amplifiers": [
{
"level": 14.5,
"rank": 1,
"gex": -11332429.579890124,
"net_oi": -26550,
"call_oi": 5609,
"put_oi": 32159,
"dist_pct": -0.5486968449931418,
"dist_pts": -0.08000000000000007,
"role": "amplifier",
"does": "Under the usual assumption that dealers are short gamma here, hedging would AMPLIFY a move through this strike. We cannot see who is actually short. If customers bought these options, dealers are short and this behaves as a test; if the convention is wrong, it absorbs instead."
}
],
"absorbers": [],
"book": "forward",
"as_of": "2026-09-04T20:23:01+00:00",
"src": "per-strike OI-weighted dollar gamma, same snapshot as the walls; dealer-side sign is a convention"
},
"migration": {
"from_iso": "2026-09-04T13:08:01+00:00",
"to_iso": "2026-09-04T20:23:01+00:00",
"n_snapshots": 80,
"call_wall": [
16,
16.5
],
"put_wall": [
14,
14.5
],
"gamma_center": [
14.077680234750888,
14.564522136139525
],
"spot": [
14.17,
14.58
],
"local_gamma_at_spot": [
-10345708.026056848,
-11332429.579890124
],
"sign_flips": 4
},
"census": {
"n": 1520,
"in_band": 92,
"oi_known": 92,
"oi_missing": 0,
"oi_zero": 12,
"g_vendor": 85,
"g_x": 23,
"used": 85
},
"freshness": {
"chain_day": "2026-09-04",
"chain_asof": "2026-09-04T20:23:01+00:00",
"chain_phase": "post_close",
"chain_built": "2026-09-04T21:51:18Z",
"now_utc": "2026-09-07T03:42:14Z",
"tiers": [
{
"key": "chain",
"label": "options chain",
"ts": "2026-09-04T20:23:01+00:00",
"cadence": 300,
"phase": "held",
"means": "The full option chain, captured every 5 minutes while the market is open and held at the last reading once it closes. Outside trading hours a held clock is correct behaviour, not a failure."
},
{
"key": "build",
"label": "profile build",
"ts": "2026-09-04T21:51:18Z",
"cadence": 600,
"phase": "held",
"means": "When the per-strike gamma profile on this page was last rebuilt from the chain archive. It rebuilds every 10 minutes while the market is open and holds at the last build once it closes \u2014 a held clock out of hours is correct, not a failure."
},
{
"key": "open interest",
"ts": "2026-09-04",
"cadence": 86400,
"mode": "date",
"phase": "settled",
"means": "Settled overnight by the clearing house for the PREVIOUS session. It does not move intraday \u2014 market structure, not neglect."
},
{
"key": "daily history",
"ts": null,
"cadence": 86400,
"mode": "date",
"phase": "settled",
"means": "The banked daily-close spine the history charts draw. One row per session."
},
{
"key": "runs archive",
"label": "bull/bear archive",
"ts": "2026-09-04",
"cadence": 86400,
"mode": "date",
"phase": "settled",
"grace": 216000,
"means": "Daily closes from 1990-01-02 to 2026-09-04, used ONLY by the optional bull/bear runs block. It extends by one row per completed session, so a day behind is normal and a week behind is not."
}
],
"chain_cadence": "every 5 minutes in regular trading hours, plus a pre-open and a post-close bracket",
"open_interest": "PREVIOUS session, settled overnight by the clearing house. It does not move intraday \u2014 a market-structure fact, not a defect.",
"history_last": null,
"history_gex_window": "from 2026-03-02 (the OCC open-interest purchase); continues past 2026-08-04 from the live chain recorder rather than ending there",
"validation_built": "2026-09-06T09:20:03Z"
},
"method": {
"weighting": "OI-ONLY. Never volume. A contract with no reported open interest is EXCLUDED and COUNTED (see census.oi_missing), never treated as zero.",
"oi_is_stale_by_design": "Open interest is the PREVIOUS session's settled figure, published overnight by the clearing house. It does not move intraday. A strike listed this morning legitimately reads 0 all session while millions of contracts trade. Market structure, not a data defect.",
"formula": "gex = sign * gamma * oi * 100 * spot^2 * 0.01, sign +1 call / -1 put, NET at each strike",
"band": "+/-15% of spot, nearest 6 expiries \u2014 matched to the opra-gex v2 archive the validation history is built on",
"cadence": "the recorder sweeps every 5 minutes during regular trading hours, plus a pre-open and a post-close bracket",
"primary": "NETTED CONTRACT COUNTS PER STRIKE (net_oi = call OI - put OI) are the PRIMARY read. Dollar gamma at a single strike explodes as spot approaches it and collapses as spot leaves, so a dollar-ranked wall is a moving target; the contract count is not. Dollar gamma (gex) is reported beside it as the SECONDARY.",
"construction_gap": "THE LIVE READ AND THE BACKTEST ARE NOT THE SAME CONSTRUCTION, and a reader must not assume the one validates the other exactly. This file computes per-strike NETTED CONTRACT COUNTS from the 5-minute chain recorder, which banks per-contract open interest for all 9 roots \u2014 but only from 2026-08-05 forward. The Part B validation history (2026-02 .. 2026-08-04) has no per-strike open interest at all; only the DAILY DOLLAR-GEX AGGREGATE exists back there, which is the very construction the contract-count rule warns against. So the hit rates on this page were measured on the aggregate, while the live regime read is built on the netted counts.",
"estimators": "total_gex uses the VENDOR gamma; total_gex_x uses our own Black-Scholes gamma. Never fused, never substituted \u2014 see census.g_vendor / census.g_x.",
"position_greeks": "Charm, vanna and a time-aware gamma are computed from the SAME signed OI-weighted book as the regime curve, with remaining time to the banked texp instant (5-minute floor) and locally-solved xiv \u2014 never vendor iv, never the 1-day floor. They do not replace the regime verdict. 0DTE volume is counted as today's activity and is never used as a weight. Dealer-side sign is the usual convention and is labelled as one."
}
}
Full payload including every snapshot, the per-strike profile and the complete validation tables: api.php?sym=VIX&full=1 · text: ?format=text · Part B only: ?validation=1