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

Weekly chart ≤15d

  • Spot 7758
  • Max Pain 7675
  • Put Wall 7550
  • Gamma Flip 7706
  • Call Wall 7800

Target Drift

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

Gaps

  • Aug 6 Up 7708 – 7719

High open-interest zones

Calls 7770–7900 · centroid 7830 · 157K OI
Puts 7510–7640 · centroid 7563 · 198.2K OI

Weekly chart ≤15d

  • Spot 29722
  • Max Pain 29375
  • Put Wall 29100
  • Gamma Flip 29552
  • Call Wall 30000
  • Call Wall 31650

Gaps

  • Aug 6 Up 29399 – 29456

High open-interest zones

Calls 29770–30260 · centroid 30006 · 2.8K OI
Puts 27800–28290 · centroid 28065 · 4.5K OI

Intraday chart 0–1d

  • Spot 3034
  • Max Pain 2880
  • Gamma Flip 3021
  • Put Wall 3030

Weekly chart ≤15d

  • Spot 3034
  • Max Pain 2975
  • Put Wall 2850
  • Put Wall 3010
  • Gamma Flip 3015
  • Call Wall 3050

Gaps

  • Aug 7 Up 3032 – 3034
  • Aug 6 Up 3001 – 3010

High open-interest zones

Calls 3030–3080 · centroid 3052 · 9.7K OI
Puts 2830–2880 · centroid 2852 · 30.2K OI

Intraday chart 0–1d

  • Spot 7777
  • Max Pain 6600

Weekly chart ≤15d

  • Spot 7777
  • Max Pain 6600
  • Gamma Flip 7594
  • Put Wall 7600
  • Gamma Flip* 7644
  • Call Wall 7900

Target Drift

  • Drift Target 7780
  • Drift Shadow 7595
  • Drift P% 19%

Gaps

  • Aug 6 Up 7736 – 7744

High open-interest zones

Calls 7760–7930 · centroid 7842 · 162.3K OI
Puts 6400–6570 · centroid 6453 · 136.9K OI

Intraday chart 0–1d

  • Spot 29840
  • Max Pain 29000
  • Gamma Flip 27974

Weekly chart ≤15d

  • Spot 29840
  • Max Pain 29000
  • Put Wall 28000
  • Gamma Flip 29321
  • Put Wall 29750
  • Call Wall 31000

Target Drift

  • Drift Target 29850
  • Drift P% 14%

Gaps

  • Aug 6 Up 29497 – 29564

High open-interest zones

Calls 30700–31360 · centroid 31005 · 6.6K OI
Puts 28000–28660 · centroid 28302 · 8.4K OI

Intraday chart 0–1d

  • Spot 773
  • Max Pain 720
  • Call Wall 774

Weekly chart ≤15d

  • Spot 773
  • Max Pain 720
  • Put Wall 750
  • Gamma Flip 770
  • Call Wall 775

Gaps

  • Aug 6 Up 768 – 770

High open-interest zones

Calls 775–788 · centroid 779 · 431.7K OI
Puts 710–723 · centroid 716 · 561.9K OI

Intraday chart 0–1d

  • Spot 723
  • Max Pain 690
  • Gamma Flip 716
  • Call Wall 724

Weekly chart ≤15d

  • Spot 723
  • Max Pain 690
  • Put Wall 700
  • Gamma Flip 716
  • Call Wall 730

Gaps

  • Aug 6 Up 715 – 716

High open-interest zones

Calls 729–741 · centroid 734 · 213.1K OI
Puts 669–681 · centroid 676 · 202K OI

Intraday chart 0–1d

  • Spot 302
  • Max Pain 285
  • Put Wall 301

Weekly chart ≤15d

  • Spot 302
  • Max Pain 285
  • Put Wall 295
  • Gamma Flip 302
  • Call Wall 305

Gaps

  • Aug 6 Up 298 – 299

High open-interest zones

Calls 303–308 · centroid 305 · 96.9K OI
Puts 283–288 · centroid 285 · 433.7K 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 Regime flip 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.