{ "ok": true, "sym": "MSFT", "symbols": [ "SPY", "QQQ", "IWM", "SPX", "AAPL", "MSFT", "NVDA", "TSLA", "VIX" ], "generated_utc": "2026-08-26T01:57:34Z", "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": 1.4807815270779323, "breakeven_from": "front at-the-money implied vol 23.51% (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": 4, "n": 24, "median": 2.0724, "p25": 1.5822, "p75": 2.6476, "basis": "sessions whose banked at-spot gamma fell in the same quintile as this reading" }, "wall_span_pct": 5.095904930797611, "last_session_sampled_pct": 1.4341711001039503, "paid_vs_realised": 0.9685230899213338, "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": "long", "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": 1, "decay_from": "share of the FORWARD book's gross gamma sitting at its front expiry (2026-08-26)", "decay_share": 0.206665930702499, "cuts": { "flat_net_share_below": 0.2, "fast_decay_at": 0.5, "pin_within_pct": 0.25, "lean_needs_pct": 0.15 } }, "levels": { "spot": 490.59, "as_of": "2026-08-25T20:23:01+00:00", "phase": "post_close", "local_gamma_at_spot": 38640636.35244736, "local_strike": 490, "local_band_1pct": 89466057.26908751, "local_band_n": 5, "local_band_pct": 1.25, "local_band_widened": true, "local_band_thin": false, "call_wall_book": 500, "put_wall_book": 475, "total_gex": 222225996.6309716, "total_gex_x": 171860953.74371043, "call_wall": 500, "put_wall": 475, "call_wall_contracts": 535, 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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": 490.59, "resistance": [ { "level": 540, "side": "resistance", "rank": "2nd largest", "is_headline_wall": false, "is_dollar_gamma_wall": false, "kind": "secondary call concentration", "dist_pts": 49.41, "dist_pct": 10.072, "net_contracts": 11309, "call_contracts": 11309, "put_contracts": 0, "share_of_book": 0.0783, "gex": 2344845.071654013, "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": 535, "side": "resistance", "rank": "largest", "is_headline_wall": true, "is_dollar_gamma_wall": false, "kind": "call wall", "dist_pts": 44.41, "dist_pct": 9.052, "net_contracts": 15548, "call_contracts": 15548, "put_contracts": 0, "share_of_book": 0.1076, "gex": 11203369.216394864, "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": 500, "side": "resistance", "rank": "3rd largest", "is_headline_wall": false, "is_dollar_gamma_wall": true, "kind": "secondary call concentration", "dist_pts": 9.41, "dist_pct": 1.918, "net_contracts": 8712, "call_contracts": 10348, "put_contracts": 1636, "share_of_book": 0.0603, "gex": 49295857.336452216, "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." } ], "support": [ { "level": 490, "side": "support", "rank": "2nd largest", "is_headline_wall": false, "is_dollar_gamma_wall": false, "kind": "secondary call concentration", "dist_pts": -0.59, "dist_pct": -0.12, "net_contracts": 5466, "call_contracts": 7551, "put_contracts": 2085, "share_of_book": 0.0378, "gex": 38640636.35244736, "call_heavy": true, "does": "A call-heavy strike sitting BELOW price \u2014 usually left-behind open interest from a move up, not a floor built by hedging." }, { "level": 465, "side": "support", "rank": "largest", "is_headline_wall": false, "is_dollar_gamma_wall": false, "kind": "secondary call concentration", "dist_pts": -25.59, "dist_pct": -5.216, "net_contracts": 9615, "call_contracts": 13016, "put_contracts": 3401, "share_of_book": 0.0666, "gex": 22304309.555068515, "call_heavy": true, "does": "A call-heavy strike sitting BELOW price \u2014 usually left-behind open interest from a move up, not a floor built by hedging." }, { "level": 460, "side": "support", "rank": "3rd largest", "is_headline_wall": true, "is_dollar_gamma_wall": false, "kind": "put wall", "dist_pts": -30.59, "dist_pct": -6.235, "net_contracts": -4729, "call_contracts": 1106, "put_contracts": 5835, "share_of_book": 0.0327, "gex": -3393928.0094152587, "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." } ], "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": { "level": 430, "dist_pts": -60.59, "dist_pct": -12.35, "label": "REGIME BOUNDARY \u2014 not support, not resistance", "means": "The strike where the running total of dealer gamma changes sign. Above it dealer hedging leans against moves and damps them; below it hedging leans with moves and amplifies them. It is a boundary between two behaviours, NOT a level price is repelled by \u2014 and this page reads the live regime from the gamma right around spot rather than from this level, because spot-versus-flip is much weaker than it is usually treated as." }, "magnet": { "level": 495.2492078323493, "dist_pts": 4.66, "dist_pct": 0.95, "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, 20.7% 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." }, "profile": { "last": [ { "k": 420, "gex": -163828.46568819747, "gex_x": -176808.37050658293, "coi": 130, "poi": 1629, "net_oi": -1499, "gross_oi": 1759 }, { "k": 425, "gex": -72636.6150070144, "gex_x": -149921.7863674384, "coi": 135, "poi": 1239, "net_oi": -1104, "gross_oi": 1374 }, { "k": 427.5, "gex": 20838.6657240285, "gex_x": 0, "coi": 32, "poi": 0, "net_oi": 32, "gross_oi": 32 }, { "k": 430, "gex": 701821.0618081867, "gex_x": -166769.90185830358, "coi": 1197, "poi": 1252, "net_oi": -55, "gross_oi": 2449 }, { "k": 432.5, "gex": 19337.184827789548, "gex_x": -4028.658359890987, "coi": 32, "poi": 12, "net_oi": 20, "gross_oi": 44 }, { "k": 435, "gex": -105564.75727925074, "gex_x": -333421.02652816504, "coi": 286, "poi": 1689, "net_oi": -1403, "gross_oi": 1975 }, { "k": 437.5, "gex": 53022.914799889535, "gex_x": -5753.424386746214, "coi": 73, "poi": 21, 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556.8196, 191058101 ], [ 558.0461, 182460156 ], [ 559.2726, 174062310 ], [ 560.4991, 165875273 ], [ 561.7255, 157908029 ], [ 562.952, 150168000 ], [ 564.1785, 142661187 ] ], "at_spot": 219103928, "flip": 479.772, "flip_dist_pct": 2.205, "flip_side": "above", "flips_all": [ 479.772 ], "n_contracts": 386, "regime": "dampening" }, "census": { "oi_used": 198924, "oi_missing_iv": 1028, "n_session": 386, "n_forward": 386 }, "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.", "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." } }, "regime": { "book": "forward", "has": true, "regime": "dampening", "at_spot": 219103928, "flip": 479.772, "flip_side": "above", "flip_dist_pct": 2.205, "spot": 490.59, "census": { "oi_used": 198924, "oi_missing_iv": 1028, "n_session": 386, "n_forward": 386 }, "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." }, "snapshots": [ { "atm_iv_session": 0.33845159, "atm_iv_session_exp": "2026-08-26", "atm_iv_forward": 0.33845159, "atm_iv_forward_exp": "2026-08-26", "ts": 1787663282, "iso": "2026-08-25T13:08:02+00:00", "phase": "pre_open", "spot": 484.26, "spot_tf": "DELAYED", "expiries": [ "2026-08-26", "2026-08-28", "2026-08-31", "2026-09-02", "2026-09-04", "2026-09-11" ], "zdte_gamma_share_oi": 0, "census": { "n": 3628, "in_band": 574, "oi_known": 574, "oi_missing": 0, "oi_zero": 88, "g_vendor": 461, "g_x": 457, "used": 492 }, "n_strikes": 53, "total_gex": 82233416.95163774, "total_gex_x": 77212735.26107469, "abs_gex": 287438261.371189, "call_wall": 500, "put_wall": 480, "call_wall_book": 500, "put_wall_book": 480, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 490.58515997075887, "gamma_flip": 430, "local_gamma_at_spot": -6322549.526449808, "local_strike": 485, "local_band_1pct": -6934486.051709982, "local_band_n": 5, "local_band_abs": 64218031.94888964, "local_band_pct": 1.25, "local_band_widened": true, "forward": { "n_strikes": 53, "total_gex": 82233416.95163774, "total_gex_x": 77212735.26107469, "abs_gex": 287438261.371189, "call_wall": 500, "put_wall": 480, "call_wall_book": 500, "put_wall_book": 480, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 490.58515997075887, 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"front_exp": "2026-08-26", "front_gamma_share": 0.19267405838414964 } }, { "atm_iv_session": 0.292642945, "atm_iv_session_exp": "2026-08-26", "atm_iv_forward": 0.292642945, "atm_iv_forward_exp": "2026-08-26", "ts": 1787665682, "iso": "2026-08-25T13:48:02+00:00", "phase": "rth", "spot": 485.215, "spot_tf": "DELAYED", "expiries": [ "2026-08-26", "2026-08-28", "2026-08-31", "2026-09-02", "2026-09-04", "2026-09-11" ], "zdte_gamma_share_oi": 0, "census": { "n": 3628, "in_band": 574, "oi_known": 574, "oi_missing": 0, "oi_zero": 88, "g_vendor": 515, "g_x": 302, "used": 515 }, "n_strikes": 53, "total_gex": 192143504.06988844, "total_gex_x": 61612203.97276444, "abs_gex": 302283667.97982836, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 494.19934386355493, "gamma_flip": 465, "local_gamma_at_spot": 5291059.610992437, "local_strike": 485, "local_band_1pct": 42863259.18649882, "local_band_n": 5, 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"2026-09-11" ], "zdte_gamma_share_oi": 0, "census": { "n": 3628, "in_band": 586, "oi_known": 586, "oi_missing": 0, "oi_zero": 94, "g_vendor": 574, "g_x": 313, "used": 574 }, "n_strikes": 54, "total_gex": 184048898.15742385, "total_gex_x": 121845409.41815013, "abs_gex": 304317113.7091188, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 493.56296009895135, "gamma_flip": 465, "local_gamma_at_spot": 15270149.699216755, "local_strike": 487.5, "local_band_1pct": 65529153.23763421, "local_band_n": 5, "local_band_abs": 68790075.09356807, "local_band_pct": 1.25, "local_band_widened": true, "forward": { "n_strikes": 54, "total_gex": 184048898.15742385, "total_gex_x": 121845409.41815013, "abs_gex": 304317113.7091188, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 493.56296009895135, "gamma_flip": 465, 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"local_band_pct": 1.25, "local_band_widened": true, "forward": { "n_strikes": 53, "total_gex": 229885145.01645115, "total_gex_x": 189728941.02369702, "abs_gex": 320939345.076175, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 494.216367293713, "gamma_flip": 430, "local_gamma_at_spot": 45661875.19282299, "local_strike": 490, "local_band_1pct": 107458609.60971178, "local_band_n": 5, "local_band_abs": 107458609.60971178, "local_band_pct": 1.25, "local_band_widened": true, "front_exp": "2026-08-26", "front_gamma_share": 0.21190443996233463 } }, { "atm_iv_session": 0.22609612, "atm_iv_session_exp": "2026-08-26", "atm_iv_forward": 0.22609612, "atm_iv_forward_exp": "2026-08-26", "ts": 1787687881, "iso": "2026-08-25T19:58:01+00:00", "phase": "rth", "spot": 490.35, "spot_tf": "DELAYED", "expiries": [ "2026-08-26", "2026-08-28", "2026-08-31", "2026-09-02", "2026-09-04", "2026-09-09" ], "zdte_gamma_share_oi": 0, "census": { "n": 3688, "in_band": 554, "oi_known": 554, "oi_missing": 0, "oi_zero": 142, "g_vendor": 530, "g_x": 296, "used": 530 }, "n_strikes": 53, "total_gex": 252915582.76063234, "total_gex_x": 184562629.71250573, "abs_gex": 325988375.85373247, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 495.36687264761525, "gamma_flip": 430, "local_gamma_at_spot": 47930937.62446445, "local_strike": 490, "local_band_1pct": 112438138.84343836, "local_band_n": 5, "local_band_abs": 112438138.84343836, "local_band_pct": 1.25, "local_band_widened": true, "forward": { "n_strikes": 53, "total_gex": 252915582.76063234, "total_gex_x": 184562629.71250573, "abs_gex": 325988375.85373247, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 495.36687264761525, "gamma_flip": 430, "local_gamma_at_spot": 47930937.62446445, "local_strike": 490, "local_band_1pct": 112438138.84343836, "local_band_n": 5, "local_band_abs": 112438138.84343836, "local_band_pct": 1.25, "local_band_widened": true, "front_exp": "2026-08-26", "front_gamma_share": 0.2145907184152958 } }, { "atm_iv_session": 0.23506677999999998, "atm_iv_session_exp": "2026-08-26", "atm_iv_forward": 0.23506677999999998, "atm_iv_forward_exp": "2026-08-26", "ts": 1787689381, "iso": "2026-08-25T20:23:01+00:00", "phase": "post_close", "spot": 490.59, "spot_tf": "DELAYED", "expiries": [ "2026-08-26", "2026-08-28", "2026-08-31", "2026-09-02", "2026-09-04", "2026-09-09" ], "zdte_gamma_share_oi": 0, "census": { "n": 3688, "in_band": 554, "oi_known": 554, "oi_missing": 0, "oi_zero": 142, "g_vendor": 457, "g_x": 298, "used": 457 }, "n_strikes": 53, "total_gex": 222225996.6309716, "total_gex_x": 171860953.74371043, "abs_gex": 296571975.4931614, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 495.2492078323493, "gamma_flip": 430, "local_gamma_at_spot": 38640636.35244736, "local_strike": 490, "local_band_1pct": 89466057.26908751, "local_band_n": 5, "local_band_abs": 89466057.26908751, "local_band_pct": 1.25, "local_band_widened": true, "forward": { "n_strikes": 53, "total_gex": 222225996.6309716, "total_gex_x": 171860953.74371043, "abs_gex": 296571975.4931614, "call_wall": 500, "put_wall": 475, "call_wall_book": 500, "put_wall_book": 475, "call_wall_oi": 535, "put_wall_oi": 460, "gamma_center": 495.2492078323493, "gamma_flip": 430, "local_gamma_at_spot": 38640636.35244736, "local_strike": 490, "local_band_1pct": 89466057.26908751, "local_band_n": 5, "local_band_abs": 89466057.26908751, "local_band_pct": 1.25, "local_band_widened": true, "front_exp": "2026-08-26", "front_gamma_share": 0.206665930702499 } } ], "migration": { "from_iso": "2026-08-25T13:08:02+00:00", "to_iso": "2026-08-25T20:23:01+00:00", "n_snapshots": 80, "call_wall": [ 500, 500 ], "put_wall": [ 480, 475 ], "gamma_center": [ 490.58515997075887, 495.2492078323493 ], "spot": [ 484.26, 490.59 ], "local_gamma_at_spot": [ -6322549.526449808, 38640636.35244736 ], "sign_flips": 1 }, "census": { "n": 3688, "in_band": 554, "oi_known": 554, "oi_missing": 0, "oi_zero": 142, "g_vendor": 457, "g_x": 298, "used": 457 }, "freshness": { "chain_day": "2026-08-25", "chain_asof": "2026-08-25T20:23:01+00:00", "chain_phase": "post_close", "chain_built": "2026-08-25T21:50:45Z", "now_utc": "2026-08-26T01:57:36Z", "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": "2026-08-25T21:50:45Z", "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." } ], "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." }, "validation": { "built_utc": "2026-08-25T09:20:01Z", "source": "/var/www/bitcoin-fund-manager.com/apps2/omniverse/data/omniverse_2026.tsv", "method": { "signal": "local_gamma_at_spot at session t \u2014 net dealer gamma at the strike nearest spot, OI-weighted, OI-ONLY. A missing open interest is MISSING, never zero and never swapped for volume.", "not_the_signal": "gamma_flip is NOT used as the regime measure. It is the cumulative gamma curve's zero-crossing \u2014 a level, not a regime boundary.", "outcome": "the NEXT session, four ways", "outcomes": { "range": "hl_range_pct \u2014 high-to-low swing as a % of price. How big the session was.", "absret": "|ret_pct| \u2014 close-to-close move, absolute. How far it actually got.", "eff": "|close-open| / (high-low). 1.0 = one-way BLAST. Near 0 = travelled a long way and ended where it started \u2014 JAGGED BROKEN SHARDS.", "fade_rate": "of the sessions that traded beyond the PRIOR session's high or low, the share that closed back INSIDE it \u2014 the FAILED-BREAKOUT rate the pinning story predicts should be higher when dealers are long gamma." }, "control": "range expressed in units of what the option market already charged: ratio = hl_range_pct(t+1) / (atm_iv_front(t)/sqrt(252)). Vol-neutral by construction. Second, independent form: partial Spearman against atm_iv_front(t).", "breakeven_formula": "atm_iv_front / sqrt(252) (Lakha corrected). The absolute 0.5-0.6% / 2-3% buckets were FALSIFIED and are used nowhere.", "quintiles": "cut WITHIN each root \u2014 dealer gamma is denominated in that root's own dollars, so pooled cuts across roots would be a scale artefact." }, "caveats": [ "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 \u2014 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 \u2014 this table does not validate the live measure exactly, and it is not claimed to." ], "per_root": { "SPY": { "n": 121, "span": [ "2026-03-02", "2026-08-24" ], "quintiles": [ { "q": 1, "n": 25, "sig_lo": -5521010726, "sig_hi": -1175706596, "sig_med": -2002795974, "range_med": 0.8488, "range_p25": 0.5682, "range_p75": 1.3237, "absret_med": 0.6835, "eff_med": 0.5, "rv_med": 9.1403, "gap_med": 0.4023, "be_med": 0.9176, "ratio_med": 0.925, "ratio_p25": 0.6569, "ratio_p75": 1.2955, "n_breakout_attempt": 23, "fade_rate": 0.3478 }, { "q": 2, "n": 24, "sig_lo": -1112124623, "sig_hi": -165057665, "sig_med": -678617386.5, "range_med": 0.9114, "range_p25": 0.8012, "range_p75": 1.2263, "absret_med": 0.6453, "eff_med": 0.5483, "rv_med": 10.5028, "gap_med": 0.5042, "be_med": 1.1053, "ratio_med": 0.9496, "ratio_p25": 0.6082, "ratio_p75": 1.1043, "n_breakout_attempt": 19, "fade_rate": 0.4737 }, { "q": 3, "n": 24, "sig_lo": -143225326, "sig_hi": 761445252, "sig_med": 214758220, "range_med": 1.0058, "range_p25": 0.9468, "range_p75": 1.3071, "absret_med": 0.4369, "eff_med": 0.2668, "rv_med": 10.996, "gap_med": 0.5225, "be_med": 1.1324, "ratio_med": 1.0717, "ratio_p25": 0.7378, "ratio_p75": 1.2052, "n_breakout_attempt": 23, "fade_rate": 0.4348 }, { "q": 4, "n": 24, "sig_lo": 831891095, "sig_hi": 1964986631, "sig_med": 1375078309.5, "range_med": 0.8658, "range_p25": 0.7022, "range_p75": 1.087, "absret_med": 0.5535, "eff_med": 0.6639, "rv_med": 7.5836, "gap_med": 0.1874, "be_med": 0.7711, "ratio_med": 1.0138, "ratio_p25": 0.8617, "ratio_p75": 1.1679, "n_breakout_attempt": 23, "fade_rate": 0.2174 }, { "q": 5, "n": 24, "sig_lo": 2020285238, "sig_hi": 17582856549, "sig_med": 3873024920.5, "range_med": 0.739, "range_p25": 0.532, "range_p75": 0.9697, "absret_med": 0.3856, "eff_med": 0.5553, "rv_med": 7.5294, "gap_med": 0.2335, "be_med": 0.7362, "ratio_med": 1.1898, "ratio_p25": 0.8773, "ratio_p75": 1.4093, "n_breakout_attempt": 23, "fade_rate": 0.3478 } ], "raw": { "range": { "rho": -0.1448, "n": 121, "p": 0.1132 }, "absret": { "rho": -0.1222, "n": 121, "p": 0.1821 }, "eff": { "rho": 0.0135, "n": 121, "p": 0.8836 } }, "controlled": { "ratio": { "rho": 0.1139, "n": 121, "p": 0.2139 }, "range_given_iv": { "rho": 0.0387, "n": 121, "p": 0.6757, "controls": 1 } } }, "QQQ": { "n": 121, "span": [ "2026-03-02", "2026-08-24" ], "quintiles": [ { "q": 1, "n": 25, "sig_lo": -4481648135, "sig_hi": -378825129, "sig_med": -767751979, "range_med": 1.4784, "range_p25": 1.0928, "range_p75": 1.8579, "absret_med": 1.0428, "eff_med": 0.5518, "rv_med": 15.5402, "gap_med": 0.886, "be_med": 1.3427, "ratio_med": 1.1197, "ratio_p25": 0.9539, "ratio_p75": 1.3804, "n_breakout_attempt": 24, "fade_rate": 0.2917 }, { "q": 2, "n": 24, "sig_lo": -374606568, "sig_hi": -106058560, "sig_med": -253424115, "range_med": 1.4988, "range_p25": 1.2019, "range_p75": 1.7291, "absret_med": 1.3807, "eff_med": 0.4151, "rv_med": 16.064, "gap_med": 0.8612, "be_med": 1.6697, "ratio_med": 0.8667, "ratio_p25": 0.709, "ratio_p75": 1.0084, "n_breakout_attempt": 22, "fade_rate": 0.0909 }, { "q": 3, "n": 24, "sig_lo": -94428556, "sig_hi": 148245327, "sig_med": 32839521, "range_med": 1.617, "range_p25": 1.259, "range_p75": 1.8733, "absret_med": 0.8976, "eff_med": 0.4546, "rv_med": 14.9834, "gap_med": 0.7979, "be_med": 1.529, "ratio_med": 1.0728, "ratio_p25": 0.7892, "ratio_p75": 1.2295, "n_breakout_attempt": 24, "fade_rate": 0.25 }, { "q": 4, "n": 24, "sig_lo": 181710617, "sig_hi": 808170797, "sig_med": 491805943, "range_med": 1.2947, "range_p25": 1.0094, "range_p75": 1.7244, "absret_med": 0.8338, "eff_med": 0.5236, "rv_med": 12.5533, "gap_med": 0.2429, "be_med": 1.176, "ratio_med": 1.021, "ratio_p25": 0.8958, "ratio_p75": 1.2903, "n_breakout_attempt": 21, "fade_rate": 0.3333 }, { "q": 5, "n": 24, "sig_lo": 828319368, "sig_hi": 4719661325, "sig_med": 1561391429.5, "range_med": 1.1244, "range_p25": 0.9647, "range_p75": 1.4459, "absret_med": 0.4962, "eff_med": 0.3716, "rv_med": 11.9168, "gap_med": 0.3478, "be_med": 1.2107, "ratio_med": 0.9449, "ratio_p25": 0.8549, "ratio_p75": 1.4085, "n_breakout_attempt": 24, "fade_rate": 0.375 } ], "raw": { "range": { "rho": -0.1635, "n": 121, "p": 0.0732 }, "absret": { "rho": -0.2564, "n": 121, "p": 0.0044 }, "eff": { "rho": -0.1886, "n": 121, "p": 0.0381 } }, "controlled": { "ratio": { "rho": -0.0158, "n": 121, "p": 0.8634 }, "range_given_iv": { "rho": -0.0526, "n": 121, "p": 0.5688, "controls": 1 } } }, "IWM": { "n": 121, "span": [ "2026-03-02", "2026-08-24" ], "quintiles": [ { "q": 1, "n": 25, "sig_lo": -1124716581, "sig_hi": -188798487, "sig_med": -280566731, "range_med": 1.4381, "range_p25": 1.1881, "range_p75": 2.0583, "absret_med": 0.9572, "eff_med": 0.4331, "rv_med": 16.654, "gap_med": 0.7355, "be_med": 1.5883, "ratio_med": 0.8876, "ratio_p25": 0.7195, "ratio_p75": 1.3168, 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27583575, "sig_hi": 1964986631, "sig_med": 139334100, "range_med": 1.6986, "range_p25": 1.0094, "range_p75": 2.7235, "absret_med": 0.8552, "eff_med": 0.5092, "rv_med": 17.5719, "gap_med": 0.4286, "be_med": 1.5415, "ratio_med": 1.0812, "ratio_p25": 0.8717, "ratio_p75": 1.3869, "n_breakout_attempt": 178, "fade_rate": 0.3202 }, { "q": 5, "n": 192, "sig_lo": 149355837, "sig_hi": 75471062820, "sig_med": 644829945.5, "range_med": 1.4794, "range_p25": 0.919, "range_p75": 2.349, "absret_med": 0.6979, "eff_med": 0.4382, "rv_med": 16.5315, "gap_med": 0.4526, "be_med": 1.3807, "ratio_med": 1.0902, "ratio_p25": 0.8285, "ratio_p75": 1.4093, "n_breakout_attempt": 168, "fade_rate": 0.3333 } ], "raw": { "range": { "rho": -0.0982, "n": 961, "p": 0.0023 }, "eff": { "rho": -0.0102, "n": 968, "p": 0.7524 } }, "controlled": { "ratio": { "rho": 0.0338, "n": 961, "p": 0.296 }, "range_given_iv": { "rho": 0.0256, "n": 961, "p": 0.4278, "controls": 1 } } }, "sign_split": { "short_gamma_negative": { "n": 404, "sig_lo": -28913605733, "sig_hi": -147134, "sig_med": -119366210, "range_med": 1.7492, "range_p25": 1.1047, "range_p75": 2.6762, "absret_med": 1.0147, "eff_med": 0.4668, "rv_med": 18.6669, "gap_med": 0.6136, "be_med": 1.6834, "ratio_med": 1.0374, "ratio_p25": 0.7994, "ratio_p75": 1.3804, "n_breakout_attempt": 355, "fade_rate": 0.3549 }, "long_gamma_positive": { "n": 564, "sig_lo": 196829, "sig_hi": 75471062820, "sig_med": 164837714, "range_med": 1.7341, "range_p25": 1.0802, "range_p75": 2.6091, "absret_med": 0.8634, "eff_med": 0.4568, "rv_med": 18.3483, "gap_med": 0.4801, "be_med": 1.6475, "ratio_med": 1.0751, "ratio_p25": 0.8244, "ratio_p75": 1.4085, "n_breakout_attempt": 518, "fade_rate": 0.3263 } }, "direction": { "base_rate_up": 0.5258, "base_n": 968, "base_note": "the share of next sessions that closed UP. ANY directional hit-rate has to beat THIS number, not 50%.", "signals": { "wall_asym": { "plain": "room to the call wall minus room to the put wall", "n": 968, "spearman": { "rho": -0.0165, "n": 968, "p": 0.6087 }, "hit_rate": 0.4824, "hit_p_vs_50": 0.2888, "beats_base_rate": false }, "center_pull": { "plain": "where the gamma centre of mass sits versus spot", "n": 968, "spearman": { "rho": -0.011, "n": 968, "p": 0.7314 }, "hit_rate": 0.4928, "hit_p_vs_50": 0.6761, "beats_base_rate": false }, "vex": { "plain": "net vanna exposure \u2014 the mechanical bid if volatility falls", "n": 968, "spearman": { "rho": -0.053, "n": 968, "p": 0.0994 }, "hit_rate": 0.4969, "hit_p_vs_50": 0.8723, "beats_base_rate": false }, "cex": { "plain": "net charm exposure \u2014 hedge drift from time passing", "n": 968, "spearman": { "rho": 0.1, "n": 968, "p": 0.0018 }, "hit_rate": 0.5403, "hit_p_vs_50": 0.0133, "beats_base_rate": true } } }, "zdte": { "what": "0DTE share of the gamma that traded \u2014 how much of today's gamma dies today. High means today's dealer positioning is gone tomorrow unless it is rolled.", "raw": { "rho": 0.1844, "n": 840, "p": 0 }, "controlled": { "rho": 0.0822, "n": 840, "p": 0.0173, "controls": 3 }, "within_dow": { "rho": 0.098, "n": 847, "p": 0.0043 }, "within_dow_cells": 35, "within_dow_what": "ranked inside each (root x weekday) cell, which removes the calendar effect completely rather than only its linear part", "per_root": { "SPY": { "raw": { "rho": 0.1626, "n": 121, "p": 0.0747 }, "within_dow": { "rho": 0.1115, "n": 121, "p": 0.2239 } }, "QQQ": { "raw": { "rho": 0.2253, "n": 121, "p": 0.0128 }, "within_dow": { "rho": 0.1085, "n": 121, "p": 0.2369 } }, "IWM": { "raw": { "rho": 0.2266, "n": 121, "p": 0.0122 }, "within_dow": { "rho": 0.2181, "n": 121, "p": 0.016 } }, "AAPL": { "raw": { "rho": 0.2045, "n": 121, "p": 0.0242 }, "within_dow": { "rho": 0.0929, "n": 121, "p": 0.3113 } }, "MSFT": { "raw": { "rho": 0.1327, "n": 121, "p": 0.1471 }, "within_dow": { "rho": 0.0794, "n": 121, "p": 0.3875 } }, "NVDA": { "raw": { "rho": 0.1861, "n": 121, "p": 0.0408 }, "within_dow": { "rho": 0.0867, "n": 121, "p": 0.3449 } }, "TSLA": { "raw": { "rho": 0.0876, "n": 121, "p": 0.3401 }, "within_dow": { "rho": 0.0105, "n": 121, "p": 0.9089 } } }, "controls": "implied vol at t, the previous session's own range-vs-breakeven ratio, and day of week \u2014 every vector ranked WITHIN its own root before pooling", "terciles": [ { "t": 1, "n": 312, "zdte_med": 0, "ratio_med": 0.98, "range_med": 2.018, "be_med": 2.0593 }, { "t": 2, "n": 255, "zdte_med": 0.8091, "ratio_med": 1.0758, "range_med": 1.7972, "be_med": 1.6563 }, { "t": 3, "n": 280, "zdte_med": 0.874, "ratio_med": 1.1999, "range_med": 1.8999, "be_med": 1.6253 } ], "by_dow": { "Mon": { "n": 168, "zdte_med": 0.8544 }, "Tue": { "n": 175, "zdte_med": 0 }, "Wed": { "n": 175, "zdte_med": 0.8314 }, "Thu": { "n": 175, "zdte_med": 0 }, "Fri": { "n": 154, "zdte_med": 0.8486 } }, "note": "0DTE share is close to a DAY-OF-WEEK INDICATOR on these roots \u2014 see by_dow: it is near zero on weekdays with no same-day expiry and high on the ones that have one. So the raw association is substantially a calendar effect, and it is reported here with that stated rather than as a finding." }, "verdict": { "held": false, "headline": "NOT ESTABLISHED. Dealer gamma tracks the volatility regime, but it did not beat what the option market had already priced.", "detail": [ "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 \u2014 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." ], "what_survives": "The dealer-positioning MECHANICS are still a fact about the book \u2014 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.", "one_suggestive_result": "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 \u2014 which removes the weekday effect completely, not just its linear part \u2014 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." }, "friday_artefact": { "by_signal_dow": { "Mon": { "n": 191, "ratio_med": 1.0137 }, "Tue": { "n": 199, "ratio_med": 0.9759 }, "Wed": { "n": 199, "ratio_med": 1.0305 }, "Thu": { "n": 198, "ratio_med": 0.9329 }, "Fri": { "n": 174, "ratio_med": 1.462 } }, "note": "signal day -> next session. A Friday signal is scored against MONDAY, which carries three calendar days of risk while breakeven divides by sqrt(252) trading days. The page labels a Friday reading rather than silently comparing it." }, "walls": { "kinds": { "call": { "label": "call wall tested as RESISTANCE", "sessions_with_level": 758, "reached": 256, "reach_rate": 0.3377, "held": 103, "hold_rate": 0.4023, "placebo_hold_rate": 0.3812, "placebo_n": 425, "edge_pp": 2.11, "p_vs_placebo": 0.5273 }, "put": { "label": "put wall tested as SUPPORT", "sessions_with_level": 820, "reached": 180, "reach_rate": 0.2195, "held": 77, "hold_rate": 0.4278, "placebo_hold_rate": 0.4466, "placebo_n": 309, "edge_pp": -1.88, "p_vs_placebo": 0.665 } }, "by_distance": { "<0.5%": { "call": { "reached": 148, "hold_rate": 0.3716 }, "put": { "reached": 104, "hold_rate": 0.3654 } }, "0.5-1%": { "call": { "reached": 36, "hold_rate": 0.3889 }, "put": { "reached": 32, "hold_rate": 0.4688 } }, "1-2%": { "call": { "reached": 43, "hold_rate": 0.4651 }, "put": { "reached": 29, "hold_rate": 0.5517 } }, ">2%": { "call": { "reached": 29, "hold_rate": 0.4828 }, "put": { "reached": 15, "hold_rate": 0.5333 } } }, "per_root": { "SPY": { "call": { "reached": 32, "hold_rate": 0.2812 }, "put": { "reached": 31, "hold_rate": 0.3226 } }, "QQQ": { "call": { "reached": 32, "hold_rate": 0.3125 }, "put": { "reached": 22, "hold_rate": 0.2727 } }, "IWM": { "call": { "reached": 35, "hold_rate": 0.4571 }, "put": { "reached": 22, "hold_rate": 0.5 } }, "SPX": { "call": { "reached": 12, "hold_rate": 0.5 }, "put": { "reached": 9, "hold_rate": 0.2222 } }, "AAPL": { "call": { "reached": 42, "hold_rate": 0.4286 }, "put": { "reached": 14, "hold_rate": 0.6429 } }, "MSFT": { "call": { "reached": 30, "hold_rate": 0.4 }, "put": { "reached": 27, "hold_rate": 0.5556 } }, "NVDA": { "call": { "reached": 36, "hold_rate": 0.3889 }, "put": { "reached": 27, "hold_rate": 0.4074 } }, "TSLA": { "call": { "reached": 37, "hold_rate": 0.4865 }, "put": { "reached": 28, "hold_rate": 0.4643 } } }, "method": { "reached": "the next session actually traded to the level. Every hold rate is CONDITIONAL on this \u2014 a wall price never approached is not evidence the wall worked.", "held": "reached the level and closed back on the original side of it.", "placebo": "the same test at a level placed the SAME DISTANCE from spot, with that distance drawn from a randomly chosen other session, so it carries no gamma meaning. This is the number a wall has to beat." }, "verdict": { "walls_beat_an_arbitrary_level": false, "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.", "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.", "distance_note": "Nor did nearer walls hold better, which is the intuition worth killing explicitly: the closest bucket (<0.5%) held 37.2% for calls and 36.5% for puts, the >2% bucket 48.3% and 53.3%. If anything the relationship runs the other way, and that is most likely just mean reversion after a big move rather than anything the wall did." } } } }