SPX Evolution · gamma levels S&P 500 & Nasdaq-100 — intraday gamma levels
Key options-positioning levels for the SPX (ES futures) and NDX (NQ futures): gamma walls, GEX magnets, negative-gamma accelerators, the HVL flip and the 1-day cone. Published automatically each session.
New levels go live ~5–10 minutes after the market open, each session.
Session 2026-09-11 · generated Sep 11, 15:47 (Paris)
| ES | SPX | Nature · note |
|---|---|---|
| 7,807 | 7,800 | Call Resistance · Resistance wall |
| 7,722 | 7,715 | GEX 3 · GEX magnet |
| 7,717 | 7,710 | Call Resistance 0DTE · Resistance wall |
| 7,707 | 7,700 | GEX 2 · GEX magnet |
| 7,697 | 7,690 | 1D Max · 1-day cone |
| 7,692 | 7,685 | Neg Gamma 2 · Accelerator |
| 7,667 | 7,660 | Put Support · Support wall |
| 7,664.75 | — | ◂ spot |
| 7,657 | 7,650 | Put Support 0DTE · Support wall |
| 7,642 | 7,635 | Neg Gamma 0DTE · Accelerator |
| 7,632 | 7,625 | 1D Min · 1-day cone |
Quarterly roll week: September contract (ESU2026) expires 18 Sep and is still the front month by volume and open interest (~6:1 vs December). All futures prices here are September-contract prices. December contract (ESZ2026) trades roughly +70 points above September - add that offset if you trade December. VIX1D value is the 10 Sep close (pre-CPI); intraday reading not available.
Regime
Same-day flow gamma net +5.35B and all-expiries flow gamma net +6.1B, both positive; open-interest net gamma 35.4B (+9.1B vs prior day). Gamma flip is not actionable today: every lens places it far outside the day's range (7,347 same-day / 6,998 all-expiries / 8,049 open interest) - the whole 7580-7750 area is positive dealer gamma, i.e. mean-reverting. Prior-session lines omitted (live session).
Scenarios
Range between the 0DTE walls (base case)
Spot 7665 futures sits between the 0DTE put wall (7657) and the 0DTE call wall / largest same-day gamma strike (7717, 2.2B). Dealer gamma is long at 7657 (+3,176), 7682 (+2,712) and 7707 (+3,662): price tends to slow into these strikes and rotate. The cone (7632-7697) frames the day; 7697 is where the cone high, the call wall 7717 and a 7700 call-overwriting flow stack up as overhead friction.
Invalidation A 5-minute close above 7722 (GEX 3) or below 7642 (negative-gamma pocket) ends the rotation regime.
Downside acceleration through the pockets
Below 7657 the futures enter two negative-gamma pockets: 7642 (main pocket, deepening from -915 to -2,598 in 30 minutes) then the cone low 7632. Negative dealer gamma amplifies moves - these are accelerators and potential V-reversal zones, not supports. Below 7632, the next open-interest structure is a heavy negative-gamma shelf at 7600-7550 index (-3.8B / -4.4B).
Invalidation Reclaim of 7657 (0DTE put wall) on rising volume puts the range scenario back in play.
Upside break above the 0DTE call wall
Above 7722 there is little same-day gamma until the all-expiries call resistance at 7807 (6.9B open interest, the structural ceiling); the secondary negative pocket at 7692 (-1,675) is inside the range and can add speed on the way up. Open-interest magnets at 7750 (+3.3B) and 7720 (+2.2B) index are the intermediate friction.
Invalidation Failure to hold 7717 after a breakout turns the 7717-7722 band back into resistance.
GO / NO-GO checklist
- ▲Open-interest net gamma +34% vs prior day after the CPI print
- ▲OI put wall 7660 index within 0.1% of spot; spot inside a -1,344 negative-gamma pocket (7670 index)
- ▲U. Michigan preliminary consumer sentiment at 16:00 CEST (secondary release, 15 minutes after this reading)
- ▲Ambiguous large flow: 1,200x 7700/7500 put spread expiring 30 Sep (~11M premium, late-reported prints)
- ▲0DTE walls only 0.78% apart (7650-7710 index)
- ✓Regime coherent: Dampening on same-day flow, all-expiries flow and open-interest lenses
- ✓Spot between two strong positive-gamma strikes (7650 and 7700 index)
- ✓Expected move 0.42% (cone) with walls consistent with the cone
- ✓Front-month contract identified and basis cross-check consistent (close 6.8 vs live 7.5)
- ✓Flow consistent with structure: 7700 calls sold, deep in-the-money call rolls, long-dated upside calls bought
Flow
Large prints at 15:40-15:44 CEST: a 1,200-contract 7700/7500 put spread expiring 30 Sep (~11.3M and ~4.6M premium, late-reported, no side) - reads as a hedge rather than a directional bet; 7700 calls expiring 16 Oct sold on the bid (~1.2M x2), consistent with 7700 acting as a pin/overwrite strike; deep in-the-money 600-strike calls rolled from December to January; long-dated 780-815 calls on the S&P ETF bought at the ask (~3-4M each). No dark-pool print above 50M in the latest block of prints.
lvl_ES_20260911_1547.csvPrice Level,Note,Foreground Color,Background Color 7807,Call Resistance,yellow,black 7722,GEX 3,yellow,black 7717,Call Resistance 0DTE,yellow,black 7707,GEX 2,yellow,black 7697,1D Max,yellow,black 7692,Neg Gamma 2,yellow,black 7667,Put Support,yellow,black 7657,Put Support 0DTE,yellow,black 7642,Neg Gamma 0DTE,yellow,black 7632,1D Min,yellow,black
Price Level,Note,Foreground Color,Background Color 7800,Call Resistance,yellow,black 7715,GEX 3,yellow,black 7710,Call Resistance 0DTE,yellow,black 7700,GEX 2,yellow,black 7690,1D Max,yellow,black 7685,Neg Gamma 2,yellow,black 7660,Put Support,yellow,black 7650,Put Support 0DTE,yellow,black 7635,Neg Gamma 0DTE,yellow,black 7625,1D Min,yellow,black
Save as .csv for the Jigsaw platform, or paste into the TradingView indicator (open the indicator).
Session 2026-09-11 · generated Sep 11, 15:53 (Paris)
| NQ | NDX | Nature · note |
|---|---|---|
| 29,707 | 29,675 | Call Resistance 0DTE · Resistance wall |
| 29,632 | 29,600 | Neg Gamma 2 · Accelerator |
| 29,582 | 29,550 | Call Resistance · Resistance wall |
| 29,532 | 29,500 | Neg Gamma 0DTE · Accelerator |
| 29,531 | 29,499 | EM High · Other |
| 29,527 | 29,495 | HVL · HVL |
| 29,457 | 29,425 | GEX 3 · GEX magnet |
| 29,372 | 29,340 | Put Support 0DTE · Support wall |
| 29,358 | — | ◂ spot |
| 29,307 | 29,275 | Put Support · Support wall |
| 28,739 | 28,708 | EM Low · Other |
Quarterly roll week: September contract (NQU2026) expires 18 Sep and is still the front month by volume and open interest (~12:1 vs December). All futures prices here are September-contract prices. December contract (NQZ2026) trades roughly +320 points above September - add that offset if you trade December. Volatility figures are the Nasdaq-100 volatility index (VXN), not the VIX; the expected-move bounds (EM Low / EM High) are statistical (prior close +/- VXN-implied 1-day move), not dealer positioning.
Regime
Negative gamma across lenses: same-day flow net -396M, all-expiries flow net -420M; open-interest net gamma 4.76B (+956M vs prior day, +25%). Spot sits between the 0DTE put wall (29372 futures, +47.6M) and the flip (29527): below the flip dealers amplify moves. The dominant feature is a -377M same-day negative-gamma pocket at 29500 index (29532 futures) sitting right on the flip and the expected-move high - an accelerator, not a resistance. Structural open-interest support is the 1.5B put wall at 29275 index (29307 futures); structural call wall 29550 index (29582 futures, 540M). No live dealer-positioning feed exists for this index, so intraday sign flips cannot be detected - walls can fail without warning. Prior-session lines omitted (live session).
Scenarios
Chop under the flip (base case while the gap is digested)
Between the 0DTE put wall 29372 and the flip 29527 the futures sit in negative gamma with small positive strikes at 29372 (+47.6M) and 29412 (+43.1M) acting as weak magnets and the -54M pocket at 29457 adding noise. Expect fast, whippy rotations rather than clean bounces; the 0DTE walls are too small to trust on a second or third touch.
Invalidation A 5-minute close above 29532 (flip + negative pocket + cone high cluster) or below 29372 (0DTE put wall) ends the chop.
Upside squeeze through the 29527-29532 cluster
The flip (29527), the expected-move high (29531) and the largest negative-gamma pocket (29532, -377M) stack within 5 points. A push through this cluster flips dealers to net long gamma above the flip and can accelerate into the secondary pocket at 29632 (-92M) and the structural call wall 29582 (540M open interest); the 0DTE call wall at 29707 is only 13.9M and is not a meaningful ceiling.
Invalidation Failure back below 29527 after a breakout puts price back into the amplifying regime.
Downside acceleration toward the open-interest put wall
Loss of the 0DTE put wall 29372 opens the gap-fill path toward the structural put wall at 29307 (1.5B open interest, the day's strongest positive-gamma strike) and, below it, the open-interest negative pocket at 29250 index (-90M) then the prior close area (29104 index / 29136 futures) and the expected-move low 28739.
Invalidation Reclaim of 29372 on rising volume.
GO / NO-GO checklist
- ✕Opening gap crossed the open-interest put wall 29275 index - 30-minute repricing window until 16:00 CEST
- ▲Amplifying regime on same-day, all-expiries and open-interest lenses; spot 0.26% below the flip
- ▲Largest 0DTE wall 47.6M and 0DTE call wall 13.9M - both under the 150M reliability threshold
- ▲Open-interest net gamma +25% vs prior day
- ▲U. Michigan preliminary consumer sentiment at 16:00 CEST
- ▲No live dealer-positioning feed for this index: intraday sign flips undetectable
- ✓Regime coherent across the three lenses
- ✓Expected move 1.36% with structural walls 0.9% apart (29275-29550 index)
- ✓Front-month contract identified; basis recomputed (31.74)
- ✓Flow consistent with hedging rather than directional attack: put spreads and long-dated call spreads on the Nasdaq-100 ETF
Flow
Prints at 15:40-15:49 CEST on the Nasdaq-100 ETF: an 8,500-contract 670/630 put spread expiring 20 Nov (~9.1M / ~4.7M premium, floor) - hedge; a 5,000-contract 800 (Dec) / 900 (Jun 2027) call structure (~2.6M / ~4.6M) - long-dated upside; 705 puts expiring 30 Sep bought at the ask (~0.56M x2); 730 calls expiring 16 Oct sold on the bid (~0.5M). On the index itself only small 28900-strike puts expiring 16 Oct (~0.5M each). No large directional position at a strike near spot; no dark-pool print above 30M in the latest block.
lvl_NQ_20260911_1553.csvPrice Level,Note,Foreground Color,Background Color 29707,Call Resistance 0DTE,yellow,black 29632,Neg Gamma 2,yellow,black 29582,Call Resistance,yellow,black 29532,Neg Gamma 0DTE,yellow,black 29531,EM High,yellow,black 29527,HVL,yellow,black 29457,GEX 3,yellow,black 29372,Put Support 0DTE,yellow,black 29307,Put Support,yellow,black 28739,EM Low,yellow,black
Price Level,Note,Foreground Color,Background Color 29675,Call Resistance 0DTE,yellow,black 29600,Neg Gamma 2,yellow,black 29550,Call Resistance,yellow,black 29500,Neg Gamma 0DTE,yellow,black 29499,EM High,yellow,black 29495,HVL,yellow,black 29425,GEX 3,yellow,black 29340,Put Support 0DTE,yellow,black 29275,Put Support,yellow,black 28708,EM Low,yellow,black
Save as .csv for the Jigsaw platform, or paste into the TradingView indicator (open the indicator).
Level nature legend
How these levels are built
- Computed each session from live options-positioning data — dealer gamma exposure, open interest and intraday order flow — aggregated, not hand-drawn.
- Recomputed intraday and published automatically within ~60 seconds of each run.
- Every level is typed to a specific mechanism: resistance / support gamma walls, GEX magnets, negative-gamma accelerators, the HVL flip and the 1-day expected-move cone.
- A structural, statistical map of positioning — not price predictions. Not investment advice.