Trade Club AI · Overnight Gap Risk · Live Mid-Session Run
Daily AI Overnight Gap Risk Report
SPX · NDX · DJX · RUT — gap into the next open + 1-week outlook
Thursday, August 27, 2026 · ~11:30 AM ET | LIVE MID-SESSION RUN · overnight gap into Friday · Warsh watch (NVDA lift)
⚠️
Markets grind higher mid-session as a blowout Nvidia print floods the tape with AI optimism, even as hot PCE data and the looming Jackson Hole keynote keep traders from going all-in
Closes: SPX +0.57% / NDX +0.97% / RUT +0.21% / DJX +0.33%. The drift+skew lean spreads 40–54% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Nvidia beat; Fed Chair Warsh speaks Friday.
🎯 The 60-Second Read
- How the four closed. RUT was weakest at +0.21%; NDX was strongest at +0.97%. This was a broad session.
- Highest gap risk: NDX (overnight ±0.64%, 1-week ±2.52%). Calmest: DJX (overnight ±0.41%).
- The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~40% down (NDX) to ~54% down (RUT) — each index’s own read, not one pinned number.
- Nvidia's $96B revenue print and $108B Q3 guide — with hyperscaler capex projected to hit $1.3T in 2027 — is the clearest AI-demand confirmation this cycle; the risk is that 'priced in' now applies to a higher bar.
- The double-barrel Friday event risk (Warsh keynote + BLS benchmark revision, both at 10 AM ET) is unusual: two macro surprises with opposing potential directions landing simultaneously into an open tape.
- Oil edged lower as Middle East diplomatic signals (Iran-Oman Strait of Hormuz deal) outweighed Russia-Ukraine escalation fears — Brent below $88 removes one inflationary headwind but geopolitical tail risk persists.
- ⚠ Watch: The Friday open hinges on two simultaneous shocks arriving before the bell: Chair Warsh's first keynote as Fed Chair at Jackson Hole (10 AM ET) and the preliminary BLS payrolls benchmark revision (10 AM ET). A hawkish Warsh tone or an ugly benchmark revision could flip the Nvidia bid; a constructive read on both could extend Thursday's gains into a strong weekly close. SPX 30-day implied vol is 12.10.
1 The Gap Board — Tap An Index To Jump To Its Card
| Index (ETF) | Live | Day % | Impl. Overnight Move | Lean | Overnight Gap Dial | Key Whole-# Levels |
|---|---|---|---|---|---|---|
| NDX (QQQ) | 29,508 | +1.0% | ±0.64% 190p | 40% down | High | S 29,000 / 29,250 · R 29,750 / 30,000 |
| RUT (IWM) | 3,012 | +0.2% | ±0.58% 18p | 54% down | Elevated | S 2,975 / 3,000 · R 3,025 / 3,050 |
| SPX (SPY) | 7,719 | +0.6% | ±0.43% 34p | 41% down | Elevated | S 7,650 / 7,700 · R 7,750 / 7,800 |
| DJX (DIA) | 536.4 | +0.3% | ±0.41% 2.2p | 44% down | Elevated | S 533 / 535 · R 538 / 540 |
Breadth read: this was a broad session. The gradient, strongest to weakest: NDX +0.97% > SPX +0.57% > DJX +0.33% > RUT +0.21%. When all four move together it points to a genuine risk shift; when they split, it is more often rotation or positioning than a change in the overall tape.
🎯 Breakeven Calculator
Enter any two price levels — your expiration breakevens, T+0 breakevens, or the support/resistance you’d adjust at — and this returns the odds the index stays between them.
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Never touches either
—
Touches lower
—
Touches upper
—
Touches either
Enter both levels to see the odds. “Rest of day” runs from now to today’s 4:00 PM ET close and shrinks on its own as the session runs.
How it works
It prices the implied move from the index’s own option-market volatility, tilts it for put skew (downside tails are fatter than upside) and for the directional lean in tonight’s read, then measures where your two levels fall on that distribution. The horizon sets the vol it uses: Rest of day prices off each index’s own 1-day option-implied IV and shrinks as the session runs down; Overnight and 1-Week use its 30-day option-implied IV. The VIX, VXN, RVX, VXD readings shown in the banner are the CBOE index spots, printed for reference — they run a few points above each index’s own at-the-money IV because they price a wider strip of out-of-the-money options, which is why they never match the band vol exactly.
Touch odds are the headline. “Never touches either” asks whether price stays inside your range the whole way — not merely where it finishes. That matters because a level that gets tagged intraday has already forced your decision, even if price closes back inside. Closing odds flatter a range; touch odds tell you what you’ll actually live through.
The current-vol box is a what-if on volatility — type an actual reading, not a point change, and the bands re-scale. What it asks for depends on the horizon. Overnight and 1-week pre-fill with the vol-index spot captured at the run (VIX for SPX); type the current reading and the bands shift with it. Rest of day asks for the 1-day reading — where no live VIX1D was captured the field starts empty; chart it and type the current value, and it sizes the intraday bands directly. Until then, rest-of-day uses that index’s own 1-day IV.
⚠ These are estimates, and they age. Volatility, skew and the directional lean are frozen at the ~11:30 AM ET run that produced this page — only your inputs and the clock keep updating. Run this during the session that follows and it’s working from a live picture. Run it a day later, or after a gap or a volatility spike, and the inputs behind it are stale even though the numbers still move. Check back for the next report for anything current. Options-implied probabilities are a description of what the market is pricing, not a forecast — and nothing here accounts for your position size, spreads or fills.
Runs entirely in your browser. Nothing is sent anywhere, and it makes no network calls.
NDX Nasdaq-100 · QQQ
Live 29,508 (+0.97%) · overnight 1SD ±0.64% (±190 pts) · 1-week 1SD ±2.52% · tech's bellwether — riding the NVDA afterglow but exposed to any Warsh hawkishness
Overnight gap — odds Friday opens DOWN vs UP (from 29,508)
Lean (direction: futures/trend + skew): ~40% down / ~60% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%29,36024%
30%29,656
0.5–1%29,21312%
21%29,803
1–1.5%29,0654%
7%29,951
1.5–2%28,9181%
1%30,098
>2%<28,9180%
0%>30,098
This is a live mid-session run into a overnight gap into Friday (this session’s close → Friday open) — the lean blends the directional read (overnight futures + short-term trend + gamma regime) with the options put-skew that shapes the tails. Each row is a band (a slice of where Friday’s open could land) and the odds it lands in that slice; the worst lvl is the far edge of the slice. Because the bands don’t overlap, the odds add up — all down bands sum to the down lean, all up bands to the up lean, everything to 100%. For a level between the marks, use the Breakeven Calculator up top. Vol: NDX 30D IV 17.90 · 1-day 15.0 · VXN 20.41
🛡️ What “the cushion” means (gamma, in plain English)
On a calm day big options dealers buy dips and sell rips — a shock absorber that fades moves (a positive cushion). NDX is near its ~29,250 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~40% down.
📆 1-Week Outlook — next ~5 trading sessions; ranked in the Big Move section below
1-Week move — odds the index closes DOWN vs UP over the next ~5 sessions (from 29,508)
Lean (direction: futures/trend + skew): ~45% down / ~55% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%29,21315%
16%29,803
1–2%28,91812%
15%30,098
2–3%28,6238%
11%30,393
3–4%28,3285%
7%30,688
>4%<28,3285%
6%>30,688
This is the 1-week outlook — the implied move over the next ~5 trading sessions from each index’s own option-implied vol (no weekend bump; full-session variance). Each row is a band and the odds it lands in that slice; the worst lvl is the far edge. The bands don’t overlap, so the odds add up. Probabilities are options-implied estimates, not predictions — verify the live catalysts before acting.
HIGH
Overnight gap risk
Key whole-number levels
Resistance29,75030,000
Live29,508
Overnight 1SD29,318 – 29,698
1-week 1SD28,764 – 30,252
Support29,25029,000
Cushion line~29,250
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.52% (±744 pts)
chance of a >3% week: 23%
range 28,764 – 30,252
chance of a >3% week: 23%
range 28,764 – 30,252
HIGH
1-week move risk
RUT Russell 2000 · IWM
Live 3,012 (+0.21%) · overnight 1SD ±0.58% (±18 pts) · 1-week 1SD ±2.28% · small-caps lag — negative-gamma, rate-sensitive, and watching yield direction
Overnight gap — odds Friday opens DOWN vs UP (from 3,012)
Lean (direction: futures/trend + skew): ~54% down / ~46% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%2,99731%
30%3,027
0.5–1%2,98217%
13%3,042
1–1.5%2,9675%
2%3,057
1.5–2%2,9521%
0%3,072
>2%<2,9520%
0%>3,072
This is a live mid-session run into a overnight gap into Friday (this session’s close → Friday open) — the lean blends the directional read (overnight futures + short-term trend + gamma regime) with the options put-skew that shapes the tails. Each row is a band (a slice of where Friday’s open could land) and the odds it lands in that slice; the worst lvl is the far edge of the slice. Because the bands don’t overlap, the odds add up — all down bands sum to the down lean, all up bands to the up lean, everything to 100%. For a level between the marks, use the Breakeven Calculator up top. Vol: RUT 30D IV 16.20 · 1-day 19.6
🛡️ What “the cushion” means (gamma, in plain English)
Dealer positioning in RUT currently reads negative — instead of absorbing moves, dealers amplify them, so pushes tend to extend rather than fade. ~3,000 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~54% down.
📆 1-Week Outlook — next ~5 trading sessions; ranked in the Big Move section below
1-Week move — odds the index closes DOWN vs UP over the next ~5 sessions (from 3,012)
Lean (direction: futures/trend + skew): ~53% down / ~47% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%2,98217%
17%3,042
1–2%2,95214%
14%3,072
2–3%2,92210%
9%3,103
3–4%2,8926%
5%3,133
>4%<2,8925%
3%>3,133
This is the 1-week outlook — the implied move over the next ~5 trading sessions from each index’s own option-implied vol (no weekend bump; full-session variance). Each row is a band and the odds it lands in that slice; the worst lvl is the far edge. The bands don’t overlap, so the odds add up. Probabilities are options-implied estimates, not predictions — verify the live catalysts before acting.
ELEVATED
Overnight gap risk
Key whole-number levels
Resistance3,0253,050
Live3,012
Overnight 1SD2,995 – 3,030
1-week 1SD2,943 – 3,081
Support3,0002,975
Cushion line~3,000
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.28% (±69 pts)
chance of a >3% week: 19%
range 2,943 – 3,081
chance of a >3% week: 19%
range 2,943 – 3,081
ELEVATED
1-week move risk
SPX S&P 500 · SPY
Live 7,719 (+0.57%) · overnight 1SD ±0.43% (±34 pts) · 1-week 1SD ±1.70% · steady and positive-gamma — the ballast index
Overnight gap — odds Friday opens DOWN vs UP (from 7,719)
Lean (direction: futures/trend + skew): ~41% down / ~59% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%7,68132%
42%7,758
0.5–1%7,6428%
16%7,796
1–1.5%7,6041%
1%7,835
1.5–2%7,5650%
0%7,874
>2%<7,5650%
0%>7,874
This is a live mid-session run into a overnight gap into Friday (this session’s close → Friday open) — the lean blends the directional read (overnight futures + short-term trend + gamma regime) with the options put-skew that shapes the tails. Each row is a band (a slice of where Friday’s open could land) and the odds it lands in that slice; the worst lvl is the far edge of the slice. Because the bands don’t overlap, the odds add up — all down bands sum to the down lean, all up bands to the up lean, everything to 100%. For a level between the marks, use the Breakeven Calculator up top. Vol: SPX 30D IV 12.10 · 1-day 9.3 · VIX 14.46
🛡️ What “the cushion” means (gamma, in plain English)
On a calm day big options dealers buy dips and sell rips — a shock absorber that fades moves (a positive cushion). SPX is near its ~7,700 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~41% down.
📆 1-Week Outlook — next ~5 trading sessions; ranked in the Big Move section below
1-Week move — odds the index closes DOWN vs UP over the next ~5 sessions (from 7,719)
Lean (direction: futures/trend + skew): ~45% down / ~55% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%7,64221%
23%7,796
1–2%7,56514%
18%7,874
2–3%7,4887%
9%7,951
3–4%7,4113%
3%8,028
>4%<7,4111%
1%>8,028
This is the 1-week outlook — the implied move over the next ~5 trading sessions from each index’s own option-implied vol (no weekend bump; full-session variance). Each row is a band and the odds it lands in that slice; the worst lvl is the far edge. The bands don’t overlap, so the odds add up. Probabilities are options-implied estimates, not predictions — verify the live catalysts before acting.
ELEVATED
Overnight gap risk
Key whole-number levels
Resistance7,7507,800
Live7,719
Overnight 1SD7,686 – 7,753
1-week 1SD7,588 – 7,851
Support7,7007,650
Cushion line~7,700
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±1.70% (±132 pts)
chance of a >3% week: 8%
range 7,588 – 7,851
chance of a >3% week: 8%
range 7,588 – 7,851
ELEVATED
1-week move risk
DJX Dow Jones · DIA
Live 536.4 (+0.33%) · overnight 1SD ±0.41% (±2.2 pts) · 1-week 1SD ±1.61% · industrials and financials provide Dow a buffer; lowest vol name in the pack
Overnight gap — odds Friday opens DOWN vs UP (from 536.4)
Lean (direction: futures/trend + skew): ~44% down / ~56% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%533.734%
43%539.1
0.5–1%531.08%
13%541.8
1–1.5%528.41%
1%544.5
1.5–2%525.70%
0%547.1
>2%<525.70%
0%>547.1
This is a live mid-session run into a overnight gap into Friday (this session’s close → Friday open) — the lean blends the directional read (overnight futures + short-term trend + gamma regime) with the options put-skew that shapes the tails. Each row is a band (a slice of where Friday’s open could land) and the odds it lands in that slice; the worst lvl is the far edge of the slice. Because the bands don’t overlap, the odds add up — all down bands sum to the down lean, all up bands to the up lean, everything to 100%. For a level between the marks, use the Breakeven Calculator up top. Vol: DJX 30D IV 11.40 · 1-day 12.5 · VXD 13.09
🛡️ What “the cushion” means (gamma, in plain English)
Dealer positioning in DJX currently reads negative — instead of absorbing moves, dealers amplify them, so pushes tend to extend rather than fade. ~535 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~44% down.
📆 1-Week Outlook — next ~5 trading sessions; ranked in the Big Move section below
1-Week move — odds the index closes DOWN vs UP over the next ~5 sessions (from 536.4)
Lean (direction: futures/trend + skew): ~47% down / ~53% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%531.022%
24%541.8
1–2%525.715%
17%547.1
2–3%520.37%
8%552.5
3–4%515.02%
3%557.9
>4%<515.01%
1%>557.9
This is the 1-week outlook — the implied move over the next ~5 trading sessions from each index’s own option-implied vol (no weekend bump; full-session variance). Each row is a band and the odds it lands in that slice; the worst lvl is the far edge. The bands don’t overlap, so the odds add up. Probabilities are options-implied estimates, not predictions — verify the live catalysts before acting.
ELEVATED
Overnight gap risk
Key whole-number levels
Resistance538540
Live536.4
Overnight 1SD534.2 – 538.6
1-week 1SD527.8 – 545.0
Support535533
Cushion line~535
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±1.61% (±9 pts)
chance of a >3% week: 6%
range 527.8 – 545.0
chance of a >3% week: 6%
range 527.8 – 545.0
ELEVATED
1-week move risk
2 Big Move Ranking with Probabilities — 1-Week Horizon
Which index is most likely to make a big move over the next ~5 trading sessions? Ranked by the options-implied probability of a >3% move in either direction this week (each index’s own option-implied vol). Each row links to that index’s full 1-week odds table above.
| Rank | Index (ETF) | 1-Week 1SD | Prob. of a >3% week | Lean | 1-Week Dial |
|---|---|---|---|---|---|
| #1 | NDX (QQQ) | ±2.52% 744p | 23% | 45% down | High |
| #2 | RUT (IWM) | ±2.28% 69p | 19% | 53% down | Elevated |
| #3 | SPX (SPY) | ±1.70% 132p | 8% | 45% down | Elevated |
| #4 | DJX (DIA) | ±1.61% 9p | 6% | 47% down | Elevated |
How to read it: the ranking is about size, not direction — it says where the widest swings are most likely, not which way. NDX and RUT top the list (~23% and ~19% chance of a >3% week) on their richer vol; DJX is the anchor (~6%). It’s still a modest tilt, not a forecast. Pair this with the per-index 1-week tables above for the full down/up split and price targets.
3 The Overnight Clock — Where Friday’s Gap Gets Made
The next open is Friday’s (overnight gap into Friday). Here’s where the gap gets made:
Thursday after-close ETMarvell Technology (MRVL) and Ulta Beauty (ULTA) report — two high-implied-move prints; MRVL is a direct read on AI-custom-silicon demand and could extend or complicate the Nvidia narrative for Friday's open
Thursday evening ETKansas City Fed expected to publish the formal Jackson Hole agenda — confirms Warsh's exact Friday slot and topic title; any deviation from the expected 10 AM ET keynote start moves futures
Friday 8:30 AM ET — pre-openChicago PMI (August) and Michigan Sentiment final (August) both print — secondary macro, but sentiment read lands right as futures are pricing the Warsh event
Friday 10:00 AM ET — MARKET OPENChair Kevin Warsh delivers his first Jackson Hole keynote as Fed Chair; simultaneously, BLS publishes the preliminary payrolls benchmark revision — the dual print is the single highest-risk moment of the week
Friday full sessionWeekend risk premium is in the model (1.0×); a hawkish Warsh or a large downward benchmark revision into the close leaves no Monday session to hedge — position sizing matters more than usual
4 Event Calendar — Next Few Sessions
| When | Event | Why it matters for the gap |
|---|---|---|
| Now · live | Nvidia beat; Fed Chair Warsh speaks Friday | The identified driver for the current tape. |
| Latest closes | Cash session | SPX +0.57% / NDX +0.97% / RUT +0.21% / DJX +0.33%. SPX 30-day implied vol 12.10. |
| Into Friday’s open | Futures + Asia/Europe trade | First live read on the overnight tone. Watch NDX ~29,250 and SPX ~7,700 at the open. |
| Thursday, August 27, 2026 — after market close | Marvell Technology (MRVL) Q2 FY27 earnings; Ulta Beauty (ULTA) Q2 FY26 earnings | MRVL is a direct AI-silicon bellwether — custom ASIC growth guidance will either validate or complicate the Nvidia AI-capex story for Friday's open. ULTA offers a read on middle-market consumer health. |
| Friday, August 28, 2026 — 10:00 AM ET | Fed Chair Kevin Warsh keynote, Jackson Hole Economic Policy Symposium | First speech as Fed Chair; markets pricing roughly one-in-three odds of a September rate hike. Warsh's tone on inflation vs. growth is the tiebreaker for near-term rate-path expectations. Three FOMC regional presidents dissented in favor of hiking at the July meeting. |
| Friday, August 28, 2026 — 10:00 AM ET | BLS preliminary payrolls benchmark revision | The BLS will publish its preliminary estimate of the annual benchmark revision to establishment survey data — a large downward revision to prior payrolls could shift the Fed's employment-mandate calculus immediately before Warsh speaks. |
| Friday, September 4, 2026 — 8:30 AM ET | August Nonfarm Payrolls (Employment Situation report) | The last major jobs print before the September 15–16 FOMC meeting — together with the Warsh speech and PCE data already in hand, this number will effectively lock in the rate-decision outcome. |
⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. Jackson Hole dates (Aug 27–29), Warsh keynote (Aug 28, 10 AM ET), BLS benchmark revision (Aug 28, 10 AM ET), and MRVL/ULTA after-close earnings (Aug 27) are all confirmed from search results this run. Nonfarm payrolls date of September 4 is confirmed from the official BLS release schedule found in search results. The September FOMC meeting (Sept 15–16) is confirmed from the Federal Reserve's own September 2026 calendar. Chicago PMI and Michigan Sentiment on August 28 are confirmed from the CNBC week-ahead calendar search result.
5 Overnight + 1-Week Playbook
✅ DO
- Size Friday positions with the double-event (Warsh + benchmark revision) in mind — the simultaneous 10 AM ET print is an unusual risk concentration; verify before acting on any pre-open lean
- Treat the 40 and 41 tilts as conditionally positive — they reflect the Nvidia afterglow; Warsh hawkishness erases that edge quickly
- Watch MRVL after-close Thursday as a real-time check on whether the AI capex narrative broadens beyond NVDA or stalls at the bellwether
- In positive-gamma indices (NDX, SPX), respect that dealer flows cushion moves — fading a Friday gap-up into the Warsh event has historical precedent
- Keep a close eye on the 10-year yield at the Friday open — if it rises sharply on a hawkish Warsh read, 54 and 44 both degrade fastest
- Respect the trend context — the picture is split: 3 of 4 sit above their 20-day average and 4 of 4 above their 50-day. Mixed trend — weaker evidence for either buying dips or selling rallies.
❌ DON’T
- Don't treat 40 as a directional forecast — it is a modest, conditional tilt from a mechanical model, not a prediction
- Don't ignore the weekend bump in the vol model — Friday close is not a safe haven; a hawkish surprise with no Monday session to hedge is a real risk
- Don't extrapolate Nvidia's beat to the entire semiconductor complex without checking MRVL's Thursday night print — the AI custom-silicon segment has its own supply/demand dynamics
- Don't assume oil's decline is durable geopolitical resolution — Iran-Oman diplomacy is nascent, and Russia-Ukraine escalation risk cited in search results remains live
- Don't act on calendar dates or event times without independently verifying through official sources — always check before trading around macro events
How To Read This Report
- Run type
- Pre-market: overnight futures already trading — the direction read is sharpest. Mid-session / post-market: the direction read is driven by the drift signal (short-term trend + today’s tape + gamma) plus skew; it sharpens as overnight futures trade.
- Overnight gap
- This session’s close → the next session’s open (~1 closed night), so the implied band is the plain overnight 1SD.
- 1-Week implied move
- The one-standard-deviation band over the next ~5 trading sessions, from each index’s own option-implied vol (full-session variance, no weekend bump). A size, not a direction.
- Odds bands
- Each row is a slice of where the open could land and the odds it lands in that slice. The worst lvl is the far (outer) edge of the slice; the near edge is the row above it. The slices don’t overlap, so the odds add up — all down bands sum to the down lean, all up bands to the up lean, everything to 100%. For a level between the marks (like your actual breakeven), use the Breakeven Calculator.
- Direction Split
- The band sliced into a down leg and an up leg by a model with two inputs: a directional drift (overnight futures + short-term trend + gamma regime) that sets which way it leans, and a downside skew that keeps the down tail fatter. The legs sum back to the band total. It’s a modest, conditional lean — not a forecast of what will happen.
- Big Move Ranking with Probabilities
- The four indices ranked by the options-implied chance of a >3% move (either direction) over the next ~5 sessions. A size ranking — where the widest swings are most likely, not which way.
- Breakeven Calculator
- Enter any two price levels — expiration breakevens, T+0 breakevens, or support/resistance — and it returns the odds the index stays between them, evaluated at your exact levels rather than the round-percent band marks. Three horizons: rest of day (now → today’s 4:00 PM ET close, taken from your computer’s clock, so it tightens on its own through the afternoon), overnight, and 1-week.
- Touch vs. ends-up
- These are different questions and the gap between them is wide. Touch = the odds price reaches your level at any point before the horizon. Ends up = the odds it’s past your level when the horizon arrives. Touch is roughly double ends-up, because price can tag a level and come back. If you adjust or exit when a level trades, touch is your number — ends-up will flatter the position.
- σ distance
- Each level is also shown as a distance in standard deviations from your reference price. This is usually the fastest read in the whole tool: a level 1σ away is genuinely in play, one 3σ away is background noise. When your two levels sit at very different σ, the risk isn’t two-sided — it’s all on the near side.
- Current price / Current vol
- The calculator starts from the price baked in at generation, but you can type the live price from your platform and everything re-computes around it. The current-vol box does the same for volatility, and it takes an actual value, not a point change. On overnight/1-week it’s pre-filled with the run’s vol-index spot (VIX for SPX) — overwrite it with the current reading. On rest of day it asks for the 1-day reading; where no live VIX1D was captured it starts empty — chart it and type it, and it sizes the intraday bands directly (the index’s own 1-day IV is used until you do). Both are manual on purpose: the report never calls out to the internet.
- Risk dials
- Calm / Elevated / High / Extreme — computed from the implied move size, with matching thresholds at both horizons so “Elevated” means the same vol regime on the overnight and 1-week rows.
- The Cushion (gamma)
- Positive = dealers buy dips/sell rips, moves fade. Negative = dealers amplify moves; pushes extend. Thin = no reliable positioning read. Computed from live options data where available.
- Whole-number levels
- Round numbers act as magnets (option open-interest clusters there). Approximate — re-verify live.
- Breadth read
- The spread between the four indices is a signal: a narrow tech move is positioning; a broad one is real risk-on/off.