{"snapshot":{"id":4,"instrument":"ES","index_name":"SPX","trade_date":"2026-09-02","generated_at":"2026-09-02T11:20:00+02:00","basis":11.28,"spot":7628.75,"verdict":"NO-GO","verdict_note":"Pre-market snapshot: price sits on the heaviest negative-gamma pocket with no intraday flow formed yet. Reassess after the 15:30 CEST open.","report":{"session_status":"pre-market","verdict_reason":"Pre-market read: open interest shows its deepest negative-gamma pocket right at spot, and the intraday flow picture only forms after the open.","reassess_at":"2026-09-02T15:35:00+02:00","market":{"index_spot":7631.47,"futures_spot":7628.75,"day_change_pct":-0.18,"vix":16.62,"vix_change_pct":1.78,"vix1d":10.8,"vix1d_change_pct":21.21,"expected_move_pct":0.68,"front_month":"ESU2026","roll_note":"Quarterly roll to ESZ2026 expected around Sep 8-11 - not done yet"},"regime":{"intraday":"Dampening","flip_futures":7507,"call_wall_futures":7812,"net_gamma_note":"Price is well above the gamma flip (dampening bias), but open interest is net negative (about -40B, a -15B swing vs the prior day) with its heaviest pocket sitting right at spot. Overnight same-day positioning already shows a positive wall at 7686 and a negative pocket at 7691. The put side is thin: no meaningful put wall stands out yet - it usually builds after the open."},"scenarios":[{"name":"Early magnet","text":"The heaviest open-interest concentration sits at spot (7631). Early trade often gravitates around it until the intraday flow builds a clearer structure."},{"name":"Upside break","text":"Through the 7686-7696 mixed band, dealer hedging turns supportive of extension above 7691; little stands between there and 7812, the structural call resistance.","invalidation":"Back below 7686"},{"name":"Downside break","text":"Below the 7591-7561 overnight positive pockets, gamma stays negative down to the flip at 7507 - moves can accelerate rather than slow.","invalidation":"Reclaim of 7591"}],"go_nogo":{"red":["Pre-market: heaviest negative-gamma pocket sits at spot with no intraday flow yet"],"caution":["Open-interest net gamma swung more than 10% vs the prior day","1-day implied vol jumped +21% into yesterday's close","No same-day expected-move cone yet - it is drawn after the open","ADP employment report at 14:15 CEST (before the open)"],"green":["Price well above the gamma flip (7507)","Expected move about 0.7% - plenty of range","No major macro release during today's session; the big jobs report is Friday"]},"flow_note":"Options flow and dark-pool checks skipped - US session closed at capture time. No megacap earnings today."}},"levels":[{"id":25,"snapshot_id":4,"price_future":7812,"price_index":7800,"note":"Call Resistance","kind":"wall_res"},{"id":37,"snapshot_id":4,"price_future":7696,"price_index":7685,"note":"GEX 10","kind":"magnet"},{"id":38,"snapshot_id":4,"price_future":7691,"price_index":7680,"note":"Neg Gamma 0DTE","kind":"accelerator"},{"id":27,"snapshot_id":4,"price_future":7686,"price_index":7675,"note":"Gamma Wall 0DTE","kind":"wall_sup"},{"id":34,"snapshot_id":4,"price_future":7681,"price_index":7670,"note":"GEX 7","kind":"magnet"},{"id":32,"snapshot_id":4,"price_future":7651,"price_index":7640,"note":"GEX 5","kind":"magnet"},{"id":36,"snapshot_id":4,"price_future":7646,"price_index":7635,"note":"GEX 9","kind":"magnet"},{"id":28,"snapshot_id":4,"price_future":7631,"price_index":7620,"note":"GEX 1","kind":"magnet"},{"id":35,"snapshot_id":4,"price_future":7606,"price_index":7595,"note":"GEX 8","kind":"magnet"},{"id":30,"snapshot_id":4,"price_future":7596,"price_index":7585,"note":"GEX 3","kind":"magnet"},{"id":29,"snapshot_id":4,"price_future":7591,"price_index":7580,"note":"GEX 2","kind":"magnet"},{"id":33,"snapshot_id":4,"price_future":7571,"price_index":7560,"note":"GEX 6","kind":"magnet"},{"id":31,"snapshot_id":4,"price_future":7561,"price_index":7550,"note":"GEX 4","kind":"magnet"},{"id":26,"snapshot_id":4,"price_future":7507,"price_index":7496,"note":"HVL","kind":"hvl"}]}