gex — blast, or jagged broken shards?

=== /gex — DEALER GAMMA REGIME · IWM ===
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, AND A DURABLE ONE. Dealers are short gamma at this price with no
centre-of-mass magnet nearby, so their hedging pushes with the tape rather than against it.
Little of this gamma expires today, which means the amplifying configuration is not a same-day
artefact — it carries into the following sessions unless the book changes.

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: -$451.7M per 1% move.
  flip (regime boundary): 301.92, 0.88% above spot 299.28.
  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.

-- THE RANGE THE OPTION MARKET IS CHARGING FOR --
  daily breakeven          0.89%   (front at-the-money implied vol 14.08% (expiry 2026-08-26) / sqrt(252))
  gamma-conditional range  median 1.49%, middle half 1.20% to 2.01%  (quintile 2 of banked history, n=24)
    NOTE: shown for completeness. Part B found the gamma reading adds nothing to the breakeven above.
  wall-to-wall corridor    1.67%   (put wall 297.00 to call wall 302.00)
  last session delivered   0.40% (5-min sampled)  = 0.45x the breakeven

-- OVERNIGHT: RTY AGAINST THE FROZEN WALLS --
  RTY has traded down 0.10% since the cash close, which puts IWM at about 298.97. That sits
  1.01% below the call wall at 302.00 and 0.66% above the put wall at 297.00. The wall levels
  themselves are frozen from the last session's settled open interest and do not move until
  the next session settles.

  E-mini Russell 2000 (RTYU6)  3,011.40   267s old
  as IWM-equivalent   298.97   (-0.10% since the cash close at 299.28)
  vs frozen call wall          302.00     price is 1.01% below it
  vs frozen put wall           297.00     price is 0.66% above it
  vs frozen gamma centre       297.65     price is 0.44% above it

  CONVERSION: RTY shown as IWM-equivalent: RTY now 3,011.40, RTY at the Tue close 3,014.50, so 299.28
              x (3,011.40 / 3,014.50) = 298.97. The move in the future since the cash close, applied
              to IWM's price at that close — the basis and the index/ETF ratio cancel out, so no
              ratio is estimated.
  SCALE: shared — the overlay is in the same units as the wall levels
  ! The wall levels and the futures price are deliberately from DIFFERENT CLOCKS. Wall levels
    come from settled open interest, which the clearing house publishes overnight and does not
    revise during a session — so a wall is a constant until the next settlement, not a stale
    reading. Futures trade around the clock. Comparing the two is what shows whether price is
    drifting toward or away from the level while the cash market is shut.
  ! Overnight futures liquidity is far thinner than the regular session. A wall approached at
    03:00 on light volume is not the same event as one approached at 14:00, and neither this
    page nor the dealer hedging behind the wall treats it as one.
    measured: overnight bars average 150 contracts per 5 minutes against 1,110 in the regular session (13.5%).
  ! The dealer hedging that would enforce a wall is largely NOT ACTIVE while the cash market
    is shut, so an overnight approach to a level is not the same event as a daytime one. The
    caveat about which side dealers are actually on applies here more strongly, not less.
  ! This overlay adds no predictive power, and this app measured that: when price reached the
    call wall it closed back below only 37.2% of the time against 38.0% for an arbitrary level
    the same distance away. The overlay shows WHERE price is relative to a frozen level,
    nothing more.

-- 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 40.2% of the time (n=256);
            the put wall held 42.8% of 180. Neither beat a level the same distance away
            with no gamma in it, so these rows are ranked by concentration, not reliability.

   307.00       +7.72 pts   +2.58%  RESISTANCE  call wall (2nd largest)            3.5% of book  10,746 net contracts
        The heaviest call hedging overhead. On the usual assumption that dealers are LONG
        these calls, staying hedged means selling into rallies as price approaches — which
        is what would slow a move here.
   302.00       +2.72 pts   +0.91%  RESISTANCE  secondary call concentration (3rd largest)   3.1% of book  9,585 net contracts
        A further band of call hedging above price, lighter than the wall but closer to the
        tape than the numbers alone suggest. The same mechanics apply, at smaller size.
   300.00       +0.72 pts   +0.24%  RESISTANCE  secondary put concentration (largest)   3.6% of book  11,113 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.
   299.28     <<<< PRICE IS HERE
   297.00       -2.28 pts   -0.76%  SUPPORT     secondary put concentration (2nd largest)   8.7% of book  27,062 net contracts
        A further band of put hedging below price, lighter than the wall. The same mechanics
        apply, at smaller size.
   295.00       -4.28 pts   -1.43%  SUPPORT     put wall (largest)                 9.5% of book  29,457 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.
   290.00       -9.28 pts   -3.10%  SUPPORT     secondary put concentration (3rd largest)   4.6% of book  14,336 net contracts
        A further band of put hedging below price, lighter than the wall. The same mechanics
        apply, at smaller size.

   297.65     -0.54%  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, 18.4% 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 299.28 as of 2026-08-25T20:23:01+00:00 (post_close)
  net gamma in +/-1% band     -$250.7M  across 7 strikes   [THE REGIME MEASURE]
    = 62% of the gross gamma in that band, netting SHORT (flat below 20%)
  net dealer gamma at the single nearest strike  -$39.6M  at 299.00
  whole-book gamma           -$443.7M
  call wall 302.00 (0.91% above)   put wall 297.00 (0.76% below)
  walls by CONTRACT COUNT    call 307.00   put 295.00   [the stable read]
  gamma centre of mass 297.65 (-0.54% 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 --
  18.4% — share of the FORWARD book's gross gamma sitting at its front expiry (2026-08-26)   [drives the 'slow decay' in the verdict; fast at 50%]
  20.2% of the gross gamma on the SESSION book expired at 2026-08-25's close
  65% of the at-spot gamma disappeared with that expiry (-$114.6M on the session book -> -$39.6M on the forward book)

-- WHERE THIS SITS VERSUS ITS OWN BANKED HISTORY --
  net dealer gamma at spot                38.5 percentile
      Dealer gamma at spot is unremarkable — it sits about where it usually does. Hedging flow
      is neither strongly absorbing moves nor strongly adding to them, so the option book is not
      the dominant force in the tape at this price.
  share of the book at the front expiry   18.4 % of the book
      Only a small share of the gamma sits at the front expiry. Most of the hedging structure
      carries past it, so the levels on this page have a longer shelf life than usual.
  room between the walls                  18.0 percentile
      The walls are closer together than usual. The corridor of concentrated hedging around spot
      is tight.
  last session delivered vs what options charged   0.6 percentile
      The tape delivered far less movement than the option market charged for. Whoever paid for
      that volatility got a session that never came close to justifying it, and whoever sold it
      collected the difference.

-- 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 1.82%
     median range and the most positive by 1.48% (pooled rho -0.098, p=0.0023).
   - CONTROLLED, it disappears. Measure the same range in units of what options charged for it
     (range / IV breakeven) and the relationship is rho 0.034, p=0.30 — nothing.
     Negative-gamma sessions ARE high-implied-vol sessions: median breakeven fell from 1.70% 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 -0.010, p=0.75.
   - The FAILED-BREAKOUT prediction runs the wrong way. Long dealer gamma is supposed to
     produce MORE failed breakouts; measured, long gamma faded 32.6% of breakout attempts and
     short gamma faded 35.5%.
   - No directional signal beat the base rate: 52.6% 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 0.098 (n=847 across 35 cells), and POSITIVE on all 7 roots tested. It is called
     SUGGESTIVE and not established, for three reasons: only 1 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  200     1.82%     1.19-2.94%       1.70%      1.07    0.469      37.1% of 178
    2  192     1.75%     1.23-2.56%       1.81%      1.00    0.480      30.9% of 165
    3  192     1.89%     1.20-2.76%       1.77%      1.07    0.407      35.3% of 184
    4  192     1.70%     1.01-2.72%       1.54%      1.08    0.509      32.0% of 178
    5  192     1.48%     0.92-2.35%       1.38%      1.09    0.438      33.3% of 168
    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      2026-08-25T20:23:01+00:00  expected every 5m         [held at the last regular-hours reading — correct once the market closes, not a failure]
  profile build      2026-08-25T21:50:25Z       expected every 10m        [held at the last regular-hours reading — correct once the market closes, not a failure]
  open interest      2026-08-25                 expected every 1d         [settled once overnight — a day behind by market structure, not by neglect]
  daily history      2026-08-24                 expected every 1d         [settled once overnight — a day behind by market structure, not by neglect]
  RTY futures        2026-08-26T02:30:00+00:00  expected every 5m         
  bull/bear archive  2026-08-25                 expected every 1d         [settled once overnight — a day behind by market structure, not by neglect]
  server clock now 2026-08-26T02:34:27Z  (skew baseline only — NEVER a data timestamp)
  chain_day              2026-08-25
  chain_asof             2026-08-25T20:23:01+00:00
  chain_phase            post_close
  chain_built            2026-08-25T21:50:25Z
  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_last           2026-08-24
  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       2026-08-25T09:20:01Z
  open-interest census   832 known, 0 MISSING (excluded, never zeroed), 310 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 2026-08-26T02:34:24Z · full JSON: /apps2/gex/api.php?sym=IWM&full=1

{
    "ok": true,
    "sym": "IWM",
    "symbols": [
        "SPY",
        "QQQ",
        "IWM",
        "SPX",
        "AAPL",
        "MSFT",
        "NVDA",
        "TSLA",
        "VIX"
    ],
    "generated_utc": "2026-08-26T02:34:24Z",
    "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": 0.8868623278589708,
        "breakeven_from": "front at-the-money implied vol 14.08% (expiry 2026-08-26) / 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": {
            "q": 2,
            "n": 24,
            "median": 1.4915,
            "p25": 1.1985,
            "p75": 2.0147,
            "basis": "sessions whose banked at-spot gamma fell in the same quintile as this reading"
        },
        "wall_span_pct": 1.670676289762096,
        "last_session_sampled_pct": 0.39762095696337807,
        "paid_vs_realised": 0.44834575161547274,
        "weekend_caveat": null
    },
    "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": "away",
        "lean": "none",
        "regime_from": "net dealer gamma inside +/-1% of spot, as a share of the gross gamma in that band",
        "regime_net_share": -0.6188665189913651,
        "decay_from": "share of the FORWARD book's gross gamma sitting at its front expiry (2026-08-26)",
        "decay_share": 0.1841621699199074,
        "cuts": {
            "flat_net_share_below": 0.2,
            "fast_decay_at": 0.5,
            "pin_within_pct": 0.25,
            "lean_needs_pct": 0.15
        }
    },
    "levels": {
        "spot": 299.28,
        "as_of": "2026-08-25T20:23:01+00:00",
        "phase": "post_close",
        "local_gamma_at_spot": -39571538.4308765,
        "local_strike": 299,
        "local_band_1pct": -250729330.73144186,
        "local_band_n": 7,
        "local_band_pct": 1,
        "local_band_widened": false,
        "local_band_thin": false,
        "call_wall_book": 302,
        "put_wall_book": 297,
        "total_gex": -443695525.1554075,
        "total_gex_x": -440463493.8126536,
        "call_wall": 302,
        "put_wall": 297,
        "call_wall_contracts": 307,
        "put_wall_contracts": 295,
        "gamma_center": 297.65413453820656,
        "gamma_flip": null,
        "room_up_pct": 0.9088479016305893,
        "room_down_pct": 0.7618283881315067,
        "centre_offset_pct": -0.5432589754722701,
        "zdte_gamma_share": 0.20157837712938675,
        "session_book_total_gex": -492366665.9900001,
        "session_book_local": -114560046.47092517,
        "decay_of_local": 0.6545781915257901
    },
    "pctl": {
        "local_gamma": 38.5,
        "zdte_share": 18.4,
        "wall_room": 18,
        "flip_dist": null,
        "paid_vs_realised": 0.6
    },
    "indices": [
        {
            "key": "spx",
            "label": "S&P 500",
            "unit": "percent change from the cash close",
            "anchor_ts": 1787689381,
            "anchor_value": 7677.28,
            "cash_note": "SPX cash from the 5-minute chain recorder",
            "futures_product": "ES",
            "futures_ticker": "ESU6",
            "handoff_ts": 1787689500,
            "series": [
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            "now_pct": -0.1917,
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            "n_cash": 80,
            "n_total": 142
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        {
            "key": "nas100",
            "label": "NAS100",
            "unit": "percent change from the cash close",
            "anchor_ts": 1787689381,
            "anchor_value": 710.8586,
            "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",
            "handoff_ts": 1787689500,
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                    -0.5289
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                    -0.5016
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                    -0.4657
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            ],
            "now_pct": -0.4367,
            "now_ts": 1787711400,
            "n_cash": 80,
            "n_total": 142
        }
    ],
    "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": {
        "product": "RTY",
        "name": "E-mini Russell 2000",
        "ticker": "RTYU6",
        "root": "IWM",
        "anchor": {
            "ts": 1787689200,
            "iso": "2026-08-25T20:20:00+00:00",
            "future_close": 3014.5,
            "root_spot": 299.28
        },
        "now": {
            "ts": 1787711400,
            "iso": "2026-08-26T02:30:00+00:00",
            "future_close": 3011.4,
            "root_equivalent": 298.9722,
            "age_s": 267
        },
        "chg_pct": -0.1028,
        "series": [
            [
                1787689200,
                299.28
            ],
            [
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                299.2105
            ],
            [
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                299.2304
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            [
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                299.141
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            [
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                299.1509
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                299.141
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            [
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                299.1509
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            [
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                299.2304
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            [
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                299.2304
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                299.2105
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                299.1807
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                299.1807
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                299.2105
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                299.1609
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                299.1708
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                299.1212
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                299.1212
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                299.1212
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                299.002
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                298.9226
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                298.9027
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                298.9623
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                298.8829
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                299.0219
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                298.9623
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                298.8829
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                298.6545
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                298.6843
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                298.8035
            ],
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            ],
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            ],
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            ],
            [
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            ],
            [
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        ],
        "conversion": "RTY shown as IWM-equivalent: RTY now 3,011.40, RTY at the Tue close 3,014.50, so 299.28 x (3,011.40 / 3,014.50) = 298.97. The move in the future since the cash close, applied to IWM's price at that close \u2014 the basis and the index/ETF ratio cancel out, so no ratio is estimated.",
        "scale": "shared \u2014 the overlay is in the same units as the wall levels",
        "liquidity": {
            "rth_avg_vol_per_5min": 1110,
            "overnight_avg_vol_per_5min": 150,
            "overnight_share": 0.135,
            "note": "Overnight futures liquidity is far thinner than the regular session. A wall approached at 03:00 on light volume is not the same event as one approached at 14:00, and neither this page nor the dealer hedging behind the wall treats it as one."
        },
        "vs_levels": {
            "call_wall": {
                "level": 302,
                "label": "call wall",
                "dist_pct": 1.013,
                "side": "below"
            },
            "put_wall": {
                "level": 297,
                "label": "put wall",
                "dist_pct": -0.66,
                "side": "above"
            },
            "gamma_center": {
                "level": 297.65413453820656,
                "label": "gamma centre",
                "dist_pct": -0.441,
                "side": "above"
            }
        },
        "reading": "RTY has traded down 0.10% since the cash close, which puts IWM at about 298.97. That sits 1.01% below the call wall at 302.00 and 0.66% above the put wall at 297.00. The wall levels themselves are frozen from the last session's settled open interest and do not move until the next session settles.",
        "why_mixed_vintage": "The wall levels and the futures price are deliberately from DIFFERENT CLOCKS. Wall levels come from settled open interest, which the clearing house publishes overnight and does not revise during a session \u2014 so a wall is a constant until the next settlement, not a stale reading. Futures trade around the clock. Comparing the two is what shows whether price is drifting toward or away from the level while the cash market is shut.",
        "hedging_is_not_active": "The dealer hedging that would enforce a wall is largely NOT ACTIVE while the cash market is shut, so an overnight approach to a level is not the same event as a daytime one. The caveat about which side dealers are actually on applies here more strongly, not less.",
        "no_predictive_claim": "This overlay adds no predictive power, and this app measured that: when price reached the call wall it closed back below only 37.2% of the time against 38.0% for an arbitrary level the same distance away. The overlay shows WHERE price is relative to a frozen level, nothing more."
    },
    "ladder": {
        "spot": 299.28,
        "resistance": [
            {
                "level": 307,
                "side": "resistance",
                "rank": "2nd largest",
                "is_headline_wall": true,
                "is_dollar_gamma_wall": false,
                "kind": "call wall",
                "dist_pts": 7.72,
                "dist_pct": 2.58,
                "net_contracts": 10746,
                "call_contracts": 10818,
                "put_contracts": 72,
                "share_of_book": 0.0346,
                "gex": 22225072.748213336,
                "call_heavy": true,
                "does": "The heaviest call hedging overhead. On the usual assumption that dealers are LONG these calls, staying hedged means selling into rallies as price approaches \u2014 which is what would slow a move here."
            },
            {
                "level": 302,
                "side": "resistance",
                "rank": "3rd largest",
                "is_headline_wall": false,
                "is_dollar_gamma_wall": true,
                "kind": "secondary call concentration",
                "dist_pts": 2.72,
                "dist_pct": 0.909,
                "net_contracts": 9585,
                "call_contracts": 12508,
                "put_contracts": 2923,
                "share_of_book": 0.0309,
                "gex": 74786901.25276451,
                "call_heavy": true,
                "does": "A further band of call hedging above price, lighter than the wall but closer to the tape than the numbers alone suggest. The same mechanics apply, at smaller size."
            },
            {
                "level": 300,
                "side": "resistance",
                "rank": "largest",
                "is_headline_wall": false,
                "is_dollar_gamma_wall": false,
                "kind": "secondary put concentration",
                "dist_pts": 0.72,
                "dist_pct": 0.241,
                "net_contracts": -11113,
                "call_contracts": 4454,
                "put_contracts": 15567,
                "share_of_book": 0.0358,
                "gex": -84372824.37603326,
                "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": 297,
                "side": "support",
                "rank": "2nd largest",
                "is_headline_wall": false,
                "is_dollar_gamma_wall": true,
                "kind": "secondary put concentration",
                "dist_pts": -2.28,
                "dist_pct": -0.762,
                "net_contracts": -27062,
                "call_contracts": 658,
                "put_contracts": 27720,
                "share_of_book": 0.0872,
                "gex": -157357919.19329587,
                "call_heavy": false,
                "does": "A further band of put hedging below price, lighter than the wall. The same mechanics apply, at smaller size."
            },
            {
                "level": 295,
                "side": "support",
                "rank": "largest",
                "is_headline_wall": true,
                "is_dollar_gamma_wall": false,
                "kind": "put wall",
                "dist_pts": -4.28,
                "dist_pct": -1.43,
                "net_contracts": -29457,
                "call_contracts": 530,
                "put_contracts": 29987,
                "share_of_book": 0.0949,
                "gex": -140033064.47366422,
                "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": 290,
                "side": "support",
                "rank": "3rd largest",
                "is_headline_wall": false,
                "is_dollar_gamma_wall": false,
                "kind": "secondary put concentration",
                "dist_pts": -9.28,
                "dist_pct": -3.101,
                "net_contracts": -14336,
                "call_contracts": 473,
                "put_contracts": 14809,
                "share_of_book": 0.0462,
                "gex": -23473883.392577354,
                "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": 297.65413453820656,
            "dist_pts": -1.63,
            "dist_pct": -0.543,
            "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 40.2% of the time (n=256) \u2014 against 38.1% for a level placed the same distance away with no gamma in it at all (difference +2.1 points, p=0.53). The put wall held 42.8% of the 180 times price reached it, against a placebo of 44.7% (-1.9 points, p=0.67). Neither is distinguishable from an arbitrary level, and the call wall was BROKEN more often than it held.",
            "call_hold_rate": 0.4023,
            "call_n": 256,
            "put_hold_rate": 0.4278,
            "put_n": 180,
            "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, 18.4% 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": -451747888,
        "flip": 301.9219,
        "flip_side": "below",
        "flip_dist_pct": 0.883,
        "spot": 299.28,
        "census": {
            "oi_used": 395848,
            "oi_missing_iv": 6026,
            "n_session": 489,
            "n_forward": 427
        },
        "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."
    },
    "migration": {
        "from_iso": "2026-08-25T13:08:02+00:00",
        "to_iso": "2026-08-25T20:23:01+00:00",
        "n_snapshots": 80,
        "call_wall": [
            300,
            302
        ],
        "put_wall": [
            295,
            297
        ],
        "gamma_center": [
            297.7650391622217,
            297.64368619908043
        ],
        "spot": [
            299.59,
            299.28
        ],
        "local_gamma_at_spot": [
            89319793.24358405,
            -114560046.47092517
        ],
        "sign_flips": 7
    },
    "census": {
        "n": 5372,
        "in_band": 832,
        "oi_known": 832,
        "oi_missing": 0,
        "oi_zero": 310,
        "g_vendor": 724,
        "g_x": 471,
        "used": 726
    },
    "freshness": {
        "chain_day": "2026-08-25",
        "chain_asof": "2026-08-25T20:23:01+00:00",
        "chain_phase": "post_close",
        "chain_built": "2026-08-25T21:50:25Z",
        "now_utc": "2026-08-26T02:34:27Z",
        "tiers": [
            {
                "key": "chain",
                "label": "options chain",
                "ts": "2026-08-25T20:23:01+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": "2026-08-25T21:50:25Z",
                "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": "2026-08-25",
                "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": "2026-08-24",
                "cadence": 86400,
                "mode": "date",
                "phase": "settled",
                "means": "The banked daily-close spine the history charts draw. One row per session."
            },
            {
                "key": "futures",
                "label": "RTY futures",
                "ts": "2026-08-26T02:30:00+00:00",
                "cadence": 300,
                "phase": "live",
                "means": "RTYU6, the front-month contract resolved by live volume rather than a continuous alias. It trades while the cash market is shut, which is the whole reason it can be compared against a wall level that is frozen until the next settlement."
            },
            {
                "key": "runs archive",
                "label": "bull/bear archive",
                "ts": "2026-08-25",
                "cadence": 86400,
                "mode": "date",
                "phase": "settled",
                "grace": 216000,
                "means": "Daily closes from 2000-05-26 to 2026-08-25, 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": "2026-08-24",
        "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": "2026-08-25T09:20:01Z"
    },
    "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."
    }
}

Full payload including every snapshot, the per-strike profile and the complete validation tables: api.php?sym=IWM&full=1 · text: ?format=text · Part B only: ?validation=1