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 7799
  • Max Pain 7900
  • Put Wall 7750
  • Gamma Flip 7766

Weekly chart ≤15d

  • Spot 7799
  • Max Pain 7710
  • Put Wall 7750
  • Gamma Flip 7760
  • Call Wall 7850

Target Drift

  • Drift Target 7811
  • Drift Flip 7766
  • Drift Shadow 7625
  • Drift P% 40%

Gaps

  • Aug 12 Up 7749 – 7763
  • Aug 11 Up 7726 – 7738

High open-interest zones

Calls 7800–7930 · centroid 7865 · 310.9K OI
Puts 7540–7670 · centroid 7604 · 258.5K OI

Intraday chart 0–1d

  • Spot 30084
  • Max Pain 27250
  • Gamma Flip 29880
  • Put Wall 30000
  • Call Wall 30400

Weekly chart ≤15d

  • Spot 30084
  • Max Pain 29710
  • Put Wall 29100
  • Gamma Flip 29798
  • Call Wall 30400

Gaps

  • Aug 12 Up 29744 – 29758
  • Aug 11 Up 29521 – 29716

High open-interest zones

Calls 30100–30600 · centroid 30333 · 4.2K OI
Puts 29100–29600 · centroid 29263 · 4.5K OI

Intraday chart 0–1d

  • Spot 3053
  • Max Pain 2850
  • Gamma Flip* 3028
  • Gamma Flip 3038
  • Put Wall 3040
  • Call Wall 3060

Weekly chart ≤15d

  • Spot 3053
  • Max Pain 3010
  • Put Wall 2940
  • Gamma Flip 3043
  • Call Wall 3060

Gaps

  • Aug 12 Up 3046 – 3047
  • Aug 11 Up 3027 – 3030
  • Aug 11 Up 3017 – 3024

High open-interest zones

Calls 3090–3145 · centroid 3112 · 7.4K OI
Puts 2925–2980 · centroid 2943 · 20.1K OI

Intraday chart 0–1d

  • Spot 7777
  • Max Pain 8200
  • Gamma Flip 7746
  • Put Wall 7750
  • Call Wall 7790

Weekly chart ≤15d

  • Spot 7777
  • Max Pain 6600
  • Gamma Flip 7715
  • Put Wall 7750
  • Call Wall 7800

Target Drift

  • Drift Target 7813
  • Drift Flip 7746
  • Drift Shadow 7700
  • Drift P% 20%

Gaps

  • Aug 12 Up 7770 – 7786
  • Aug 11 Up 7750 – 7756

High open-interest zones

Calls 7800–7975 · centroid 7882 · 130.7K OI
Puts 6575–6750 · centroid 6644 · 94.9K OI

Intraday chart 0–1d

  • Spot 29840
  • Max Pain 26750
  • Put Wall 29750
  • Gamma Flip 29762

Weekly chart ≤15d

  • Spot 29840
  • Max Pain 31000
  • Gamma Flip 29567
  • Put Wall 29750
  • Call Wall 30000

Target Drift

  • Drift Target 30005
  • Drift Flip 29762
  • Drift Shadow 29750
  • Drift P% 26%

Gaps

  • Aug 12 Up 29853 – 29864
  • Aug 11 Up 29635 – 29818

High open-interest zones

Calls 30060–30720 · centroid 30397 · 6.2K OI
Puts 28740–29400 · centroid 29071 · 5K OI

Intraday chart 0–1d

  • Spot 778
  • Max Pain 780
  • Gamma Flip 776
  • Put Wall 777

Weekly chart ≤15d

  • Spot 778
  • Max Pain 780
  • Gamma Flip 776
  • Put Wall 777
  • Call Wall 779

Gaps

  • Aug 12 Up 772 – 774
  • Aug 11 Up 770 – 771

High open-interest zones

Calls 779–792 · centroid 784 · 447.4K OI
Puts 714–727 · centroid 720 · 315.1K OI

Intraday chart 0–1d

  • Spot 732
  • Max Pain 735

Weekly chart ≤15d

  • Spot 732
  • Max Pain 735
  • Put Wall 710
  • Call Wall 733

Gaps

  • Aug 12 Up 724 – 724
  • Aug 11 Up 718 – 723

High open-interest zones

Calls 736–748 · centroid 741 · 137K OI
Puts 700–712 · centroid 704 · 217.1K OI

Intraday chart 0–1d

  • Spot 304
  • Put Wall 302
  • Call Wall 305

Weekly chart ≤15d

  • Spot 304
  • Max Pain 285
  • Put Wall 295
  • Call Wall 305

Gaps

  • Aug 11 Up 300 – 300

High open-interest zones

Calls 305–310 · centroid 306 · 88.6K OI
Puts 285–290 · centroid 286 · 345.3K 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 TIGHT Yield Curve Bear Steepener Weighted S&P A/D Regime flip Quad (Nowcast) Q1 Goldilocks Quad (Yield Curve) Q3 Stagflation
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.