End of day report Daily close notes — levels, VWAP, and gamma into the next session. Open end of day report

OI Intraday

SPX OI Intraday
NDX OI Intraday
RUT OI Intraday
ES OI Intraday
NQ OI Intraday
SPY OI Intraday
QQQ OI Intraday
IWM OI Intraday

About

This chart shows two NYSE sessions of 5-minute price candles with +/-1 sigma bands, VWAP, and call/put walls, a right-hand open interest profile for the 0-1 day window, a bottom net drift panel of cumulative call/put premium and volume, and horizontal levels (gamma flip, max pain, walls) within +/-100 points of the last price. Use it to read intraday price against near-dated OI walls and net premium drift.

Instructions

Read the price candles against the green and red background bands to see whether price moves with or against net OI dominance. Compare the OI profile fills at key strikes with the horizontal walls, gamma flip, and max pain to spot clustering of positioning. Watch the net drift panel to check if cumulative call or put premium and volume confirm the price direction.

Signals

  • Calls - Call open interest dominates near spot (>55% of near-spot OI).
  • Puts - Put open interest dominates near spot (>55% of near-spot OI).
  • Neutral - Call and put open interest near spot are within 45-55%.

OI Weekly

SPX OI Weekly
NDX OI Weekly
RUT OI Weekly
ES OI Weekly
NQ OI Weekly
SPY OI Weekly
QQQ OI Weekly
IWM OI Weekly

About

Five regular-trading-hours sessions of 30-minute candles with weekly and monthly VWAP, call and put walls, and a right-hand open-interest profile for strikes expiring in 15 days or less. Use it to read the week against walls, VWAPs, and the near-dated OI profile.

Instructions

Read the OI profile against price to see where puts or calls dominate near current levels. Compare the 1DTE curve to the full ≤15 day profile to gauge near-term hedging pressure. Watch for price reacting at walls, gamma flip, or max pain when those levels align with net OI dominance bands.

Signals

  • Calls - Call open interest dominates near spot (>55% of near-spot OI).
  • Puts - Put open interest dominates near spot (>55% of near-spot OI).
  • Neutral - Call and put open interest near spot are within 45-55%.

Quarterly Chart

SPX Quarterly Chart
ES Quarterly Chart
SPY Quarterly Chart

About

Thirteen weeks of daily price bars for SPX, ES, and SPY with quarterly VWAP, gamma-derived put floor and call ceiling, JPM collar strikes, COT cost basis, and Fed fair value scenarios overlaid. Anchors include quarterly VWAP, dealer gamma walls, the disclosed JPM collar, COT cost basis from CFTC data, and Fed fair value from a dividend-discount model.

Instructions

Read price against the quarterly VWAP to gauge intratrend bias. Watch how price reacts at the put floor and call ceiling for gamma-driven support or resistance. Compare the COT cost basis to current price to see if levered funds are underwater or in profit.

Signals

  • ABOVE VWAP - Latest close is above quarterly VWAP.
  • BELOW VWAP - Latest close is below quarterly VWAP.
  • AT VWAP - Latest close equals quarterly VWAP within the classifier tolerance.

Seasonality

Volatility Seasonality

About

Average VIX path by day-of-year across complete calendar years. Shows when vol has tended to stress or calm within the year.

Instructions

Read the blue line for the typical VIX year. Watch March and October for stress peaks and mid-summer for calm. Treat the red mark as today's day-of-year on that path.

Signals

  • +N.N% - Average seasonal path rises over the next 1w / 2w / 4w (instrument-bullish colouring).
  • -N.N% - Average seasonal path falls over the next 1w / 2w / 4w (instrument-bearish colouring).
  • FLAT - Average 1w / 2w / 4w seasonal change is within 0.5 percentage points of zero.
S&P 500 Seasonality

About

Average S&P path by day-of-year across complete calendar years. Shows the seasonal shape of the equity year.

Instructions

Read the blue line for the typical year shape. Watch the spring stall, late-summer soft patch, and autumn recovery. Treat the red mark as today's day-of-year on that path.

Signals

  • +N.N% - Average seasonal path rises over the next 1w / 2w / 4w (instrument-bullish colouring).
  • -N.N% - Average seasonal path falls over the next 1w / 2w / 4w (instrument-bearish colouring).
  • FLAT - Average 1w / 2w / 4w seasonal change is within 0.5 percentage points of zero.
Beta Experimental chart — methodology and layout may change.

COT Positioning

COT Positioning

About

Weekly CFTC Commitments of Traders speculative positioning drawn on the S&P 500 price spine, with a modelled trend-follower exposure estimate and a forward fan. Built from the CFTC weekly report, which is published Friday for the prior Tuesday. Positioning is aligned to its public release date so the chart does not front-run the weekly report.

Instructions

Read positioning against price rather than on its own. Note both rising together means the trend has growing speculative length behind it. Note price rising while positioning falls means fewer participants are carrying the move, which raises the odds of a squeeze or an unwind.

Signals

  • Asset mgr buying - Asset managers added over the trailing four weeks.
  • Asset mgr selling - Asset managers cut over the trailing four weeks.
  • Asset mgr flat - Four-week flow inside the neutral band.
Beta Experimental chart — methodology and layout may change.

Greek Cycle Support

SPX Greek Cycle Support
SPX Greek Cycle Support
NDX Greek Cycle Support
NDX Greek Cycle Support
ES Greek Cycle Support
ES Greek Cycle Support
NQ Greek Cycle Support
NQ Greek Cycle Support
SPY Greek Cycle Support
SPY Greek Cycle Support
QQQ Greek Cycle Support
QQQ Greek Cycle Support

About

Dealer gamma (or vanna) in contracts through the next monthly OPEX, compared with history at the same days-to-OPEX. The chart compares the current session to past months at the same days-to-OPEX phase.

Instructions

Read today's line against the median for this phase of the cycle. Treat ABOVE AVG as a heavier dealer greek book into this OPEX, so hedge flows into expiry run hotter. Treat BELOW AVG as a lighter dealer book for this phase, so forced hedging into the print is muted.

Signals

  • ABOVE AVG - Front-cycle dealer greek is high vs same days-to-OPEX history. Hedge flows into expiry are heavier than usual.
  • TYPICAL - Near the historical median for this phase.
  • BELOW AVG - Light vs history for this phase. Hedge pressure into expiry is muted.
  • BUILDING - Same-phase history is still too short to classify.

Tabs

  • Gamma - Front-cycle dealer gamma vs same days-to-OPEX median.
  • Vanna - Front-cycle dealer vanna vs same days-to-OPEX median.
Beta Experimental chart — methodology and layout may change.

SPX Pattern Radar

SPX PATTERN RADAR — PRICE + YIELDS

About

Finds past SPX windows whose price path and Treasury yields match today. Reports how those analogs traded after the match.

Instructions

Read the red SPX line against the gold 10-year yield. Treat the shaded box as today's window. Treat white dots as past matches and read the subtitle for similarity and what followed.

Signals

  • STRONG ANALOG - Best historical match similarity is at least 70%.
  • TYPICAL PATTERN - A usable analog exists below the strong threshold.
  • UNPRECEDENTED - No close analog in the available history.
SPX PATTERN RADAR — PRICE + VIX

About

Finds past SPX windows whose returns, realized vol, and VIX path match today. Reports how those analogs traded after the match.

Instructions

Read the red SPX line against the gold VIX line. Treat the shaded box as today's window. Treat white dots as vol-regime analogs and read the subtitle for similarity and what followed.

Signals

  • STRONG ANALOG - Best historical match similarity is at least 70%.
  • TYPICAL PATTERN - A usable analog exists below the strong threshold.
  • UNPRECEDENTED - No close analog in the available history.

Intraday Levels

Intraday chart 0–1d

  • Spot 7710
  • Max Pain 7600
  • Put Wall 7650
  • Gamma Flip* 7686
  • Call Wall 7800

Weekly chart ≤15d

  • Spot 7710
  • Max Pain 7635
  • Put Wall 7650
  • Gamma Flip* 7668
  • Gamma Flip 7698
  • Call Wall 7800

Target Drift

  • Drift Target 7792
  • Drift Flip 7708
  • Drift Shadow 7705
  • Drift P% 18%

Gaps

  • Aug 6 Up 7708 – 7719
  • Aug 4 Up 7600 – 7629

High open-interest zones

Calls 7730–7860 · centroid 7795 · 231.5K OI
Puts 7470–7600 · centroid 7527 · 287.2K OI

Intraday chart 0–1d

  • Spot 29373
  • Max Pain 28000
  • Gamma Flip 29292
  • Put Wall 29350
  • Call Wall 29700

Weekly chart ≤15d

  • Spot 29373
  • Max Pain 29270
  • Put Wall 27700
  • Put Wall 29200
  • Gamma Flip 29245
  • Call Wall 29700
  • Call Wall 31650

Gaps

  • Aug 6 Up 29399 – 29456
  • Aug 4 Up 28776 – 29128

High open-interest zones

Calls 29420–29900 · centroid 29672 · 3.4K OI
Puts 27980–28460 · centroid 28118 · 4.3K OI

Intraday chart 0–1d

  • Spot 3002
  • Max Pain 2880
  • Put Wall 2880
  • Gamma Flip 2999
  • Put Wall 3000
  • Call Wall 3020

Weekly chart ≤15d

  • Spot 3002
  • Max Pain 2970
  • Put Wall 2850
  • Gamma Flip 2999
  • Call Wall 3020

Gaps

  • Aug 6 Up 3001 – 3010
  • Aug 4 Up 2982 – 2990

High open-interest zones

Calls 3005–3055 · centroid 3029 · 7.8K OI
Puts 2805–2855 · centroid 2837 · 25.5K OI

Intraday chart 0–1d

  • Spot 7740
  • Max Pain 6600
  • Put Wall 7650
  • Gamma Flip 7700
  • Call Wall 7780

Weekly chart ≤15d

  • Spot 7740
  • Max Pain 6400
  • Gamma Flip* 7628
  • Put Wall 7650
  • Gamma Flip 7661
  • Call Wall 7780

Target Drift

  • Drift Target 7782
  • Drift Flip 7700
  • Drift Shadow 7650
  • Drift P% 23%

Gaps

  • Aug 6 Up 7736 – 7744
  • Aug 4 Up 7628 – 7656

High open-interest zones

Calls 7730–7900 · centroid 7807 · 121.3K OI
Puts 7050–7220 · centroid 7135 · 120.7K OI

Intraday chart 0–1d

  • Spot 29593
  • Max Pain 25500
  • Gamma Flip 29472
  • Put Wall 29500
  • Call Wall 30000

Weekly chart ≤15d

  • Spot 29593
  • Max Pain 31000
  • Put Wall 28000
  • Gamma Flip* 29130
  • Gamma Flip 29304
  • Put Wall 29500
  • Call Wall 29700
  • Call Wall 32000

Target Drift

  • Drift Target 29807
  • Drift Flip 29472
  • Drift Shadow 29000
  • Drift P% 31%

Gaps

  • Aug 6 Up 29497 – 29564
  • Aug 4 Up 28900 – 29208

High open-interest zones

Calls 30500–31160 · centroid 30826 · 6.6K OI
Puts 27800–28460 · centroid 28129 · 6.6K OI

Intraday chart 0–1d

  • Spot 768
  • Max Pain 720
  • Put Wall 762
  • Call Wall 775

Weekly chart ≤15d

  • Spot 768
  • Max Pain 750
  • Put Wall 762
  • Gamma Flip 766
  • Call Wall 775

Gaps

  • Aug 6 Up 768 – 770
  • Aug 4 Up 758 – 760

High open-interest zones

Calls 771–784 · centroid 776 · 341.3K OI
Puts 719–732 · centroid 724 · 531.1K OI

Intraday chart 0–1d

  • Spot 715
  • Max Pain 690
  • Put Wall 700
  • Gamma Flip 711
  • Call Wall 720

Weekly chart ≤15d

  • Spot 715
  • Max Pain 700
  • Put Wall 700
  • Gamma Flip 712
  • Call Wall 720

Gaps

  • Aug 6 Up 715 – 716
  • Aug 4 Up 700 – 708

High open-interest zones

Calls 724–736 · centroid 730 · 178.9K OI
Puts 700–712 · centroid 703 · 198.3K OI

Intraday chart 0–1d

  • Spot 298
  • Max Pain 285
  • Put Wall 297
  • Gamma Flip 298
  • Call Wall 300

Weekly chart ≤15d

  • Spot 298
  • Max Pain 285
  • Put Wall 295
  • Call Wall 300
  • Gamma Flip 301

Gaps

  • Aug 6 Up 298 – 300
  • Aug 4 Up 296 – 297

High open-interest zones

Calls 300–305 · centroid 301 · 107K OI
Puts 285–290 · centroid 286 · 447.3K OI

About

Text summary of key option-derived levels for the current session and week: call walls, put walls, gamma flip, max pain, unfilled overnight gaps, and high open-interest strike zones. Two tabs switch between a 0-1 day window (Intraday) and a <=15 day window (Weekly).

Instructions

Read the call and put walls together to bracket the expected range for the chosen window. Compare the gamma flip to the current price: price above the flip suggests dealer hedging dampens moves; price below suggests hedging amplifies them. Check max pain as a magnet only when time to expiration is short and open interest is concentrated.

Signals

  • LONG GAMMA - Spot sits on the long-gamma side of the flip.
  • SHORT GAMMA - Spot sits on the short-gamma side of the flip.
  • POSITIVE GEX - No flip crossing; net GEX at spot is positive.
  • NEGATIVE GEX - No flip crossing; net GEX at spot is negative.
  • CALL PIN + - Removing the nearest expiry lifts the call wall / ceiling.
  • PUT PIN − - Removing the nearest expiry lowers the put wall / floor.
  • INVERTED GAMMA - Largest positive net-GEX node sits below spot and largest negative node sits above; both clear the size gate.

Regime

Macro
Fed Watch Hold Credit Stress NORMAL Yield Curve Bear Flattener Weighted S&P A/D Lagging Quad (Nowcast) Q2 Reflation Quad (Yield Curve) Q2 Reflation
Volatility
Volatility Index (VIX) VOL SUBDUED Index Dispersion DISPERSION ELEVATED Dispersion Ratio Extreme Setup VIX Term Structure CONTANGO Dark Index (DIX) POSITIVE DIX Net Gamma (GEX) POSITIVE GEX

About

A dashboard of regime badges from macro, credit, equity, and volatility charts, showing the current classification for each market slice. Each tile links to its full chart for detail.

Instructions

Read the Fed Watch badge against the macro and volatility tiles to see if policy expectations align with growth and risk regimes. Check whether macro tiles agree with each other and with the vol tiles; divergence often precedes a regime shift. Note hover any vol tile for the raw level and z-score to gauge how extreme the signal is.

Signals

  • Fed tile: Cut / Hold / Hike / Mixed / Unknown.
  • Credit tile: TIGHT / NORMAL / Early Stress / Elevated Stress.
  • Yield tile: Bull/Bear Steepener or Flattener.
  • Quad tile: Q1 Goldilocks / Q2 Reflation / Q3 Stagflation / Q4 Deflation.
  • Vol tiles: VOL SPIKE / VOL ELEVATED / VOL NORMAL / VOL SUBDUED (and dispersion variants).
  • DIX / GEX tiles: POSITIVE / NEGATIVE / NEUTRAL.