Trade Club AI · Weekend Gap Risk · Live Mid-Session Run
Daily AI Weekend Gap Risk Report
SPX · NDX · DJX · RUT — gap into the next open + 1-week outlook
Friday, August 21, 2026 · ~1:02 PM ET | LIVE MID-SESSION RUN · weekend gap into Monday · rates + geopolitics
⚠️
Equities claw back a bruising week as bonds stabilize and Iran's president floats peace overtures, but the rally sits on a shaky foundation of unresolved long-rate pressure and a looming Fed chair debut
Closes: SPX +0.54% / NDX +0.43% / RUT +0.75% / DJX +0.78%. The drift+skew lean spreads 47–52% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Iran peace signal eases oil; bonds stabilize.
🎯 The 60-Second Read
- How the four closed. NDX was weakest at +0.43%; DJX was strongest at +0.78%. This was a broad session.
- Highest gap risk: NDX (overnight ±0.87%, 1-week ±2.72%). Calmest: DJX (overnight ±0.55%).
- The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~47% down (RUT) to ~52% down (NDX) — each index’s own read, not one pinned number.
- The week's dominant theme was long-end Treasury yield pressure colliding with stretched equity valuations — today's partial relief rally is real but has not resolved that conflict.
- Iran war negotiations remain the wildcard: oil eased Friday on the Iranian president's peace signal, but the MOU deadline expired August 17 without a deal, and any weekend escalation flips the oil/risk calculus instantly.
- Next week is a genuine two-sided volatility event — PCE Wednesday, Nvidia earnings Wednesday evening, and Chair Warsh's debut Jackson Hole speech Friday morning all land within 36 hours of each other; sizing into the weekend accordingly.
- ⚠ Watch: Whether the Friday bid holds through the close will set the tone for Monday's gap — a weekend Iran headline or a Treasury yield spike could flip the overnight lean in either direction. The week ahead's double-barrel of July PCE Wednesday and Chair Warsh's first Jackson Hole keynote Thursday morning makes Monday's open a placeholder, not a verdict. SPX 30-day implied vol is 12.50.
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) | 29,339 | +0.4% | ±0.87% 254p | 52% down | High | S 28,750 / 29,000 · R 29,500 / 29,750 |
| RUT (IWM) | 3,015 | +0.8% | ±0.77% 23p | 47% down | High | S 2,975 / 3,000 · R 3,050 / 3,075 |
| SPX (SPY) | 7,682 | +0.5% | ±0.56% 43p | 47% down | Elevated | S 7,600 / 7,650 · R 7,725 / 7,750 |
| DJX (DIA) | 531.7 | +0.8% | ±0.55% 2.9p | 47% down | Elevated | S 526 / 529 · R 534 / 537 |
Breadth read: this was a broad session. The gradient, strongest to weakest: DJX +0.78% > RUT +0.75% > SPX +0.54% > NDX +0.43%. 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 ~1:02 PM 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 29,339 (+0.43%) · overnight 1SD ±0.87% (±254 pts) · 1-week 1SD ±2.72% · Tech is fighting a rates headwind while AI earnings loom large next week
Weekend gap — odds Monday opens DOWN vs UP (from 29,339)
Lean (direction: futures/trend + skew): ~52% down / ~48% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%29,19221%
22%29,485
0.5–1%29,04516%
16%29,632
1–1.5%28,8989%
7%29,779
1.5–2%28,7524%
2%29,925
>2%<28,7522%
1%>29,925
This is a live mid-session run into a weekend gap into Monday (this session’s close → Monday open) — the band is bumped ~25% for the extra closed-market days; 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 Monday’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 19.30 · 1-day 16.4 · VXN 22.30
🛡️ 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 ~29,000 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~52% 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 29,339)
Lean (direction: futures/trend + skew): ~52% down / ~48% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%29,04514%
14%29,632
1–2%28,75212%
13%29,925
2–3%28,45810%
9%30,219
3–4%28,1657%
6%30,512
>4%<28,1659%
6%>30,512
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
Resistance29,50029,750
Live29,339
Overnight 1SD29,084 – 29,593
1-week 1SD28,541 – 30,136
Support29,00028,750
Cushion line~29,000
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.72% (±798 pts)
chance of a >3% week: 27%
range 28,541 – 30,136
chance of a >3% week: 27%
range 28,541 – 30,136
HIGH
1-week move risk
RUT Russell 2000 · IWM
Live 3,015 (+0.75%) · overnight 1SD ±0.77% (±23 pts) · 1-week 1SD ±2.41% · Small-caps bouncing but negative gamma makes the range wider than it looks
Weekend gap — odds Monday opens DOWN vs UP (from 3,015)
Lean (direction: futures/trend + skew): ~47% down / ~53% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%3,00023%
25%3,030
0.5–1%2,98515%
18%3,045
1–1.5%2,9707%
8%3,060
1.5–2%2,9552%
2%3,075
>2%<2,9551%
0%>3,075
This is a live mid-session run into a weekend gap into Monday (this session’s close → Monday open) — the band is bumped ~25% for the extra closed-market days; 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 Monday’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 17.10 · 1-day 9.2
🛡️ 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 ~47% 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 3,015)
Lean (direction: futures/trend + skew): ~49% down / ~51% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%2,98516%
16%3,045
1–2%2,95513%
14%3,075
2–3%2,9249%
10%3,105
3–4%2,8946%
6%3,135
>4%<2,8945%
4%>3,135
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
Resistance3,0503,075
Live3,015
Overnight 1SD2,992 – 3,038
1-week 1SD2,942 – 3,087
Support3,0002,975
Cushion line~3,000
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.41% (±73 pts)
chance of a >3% week: 21%
range 2,942 – 3,087
chance of a >3% week: 21%
range 2,942 – 3,087
ELEVATED
1-week move risk
SPX S&P 500 · SPY
Live 7,682 (+0.54%) · overnight 1SD ±0.56% (±43 pts) · 1-week 1SD ±1.76% · Broad market steadying, but the weekly slide is only partially trimmed
Weekend gap — odds Monday opens DOWN vs UP (from 7,682)
Lean (direction: futures/trend + skew): ~47% down / ~53% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%7,64429%
33%7,721
0.5–1%7,60514%
17%7,759
1–1.5%7,5673%
3%7,798
1.5–2%7,5290%
0%7,836
>2%<7,5290%
0%>7,836
This is a live mid-session run into a weekend gap into Monday (this session’s close → Monday open) — the band is bumped ~25% for the extra closed-market days; 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 Monday’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 12.50 · 1-day 9.6 · VIX 15.31
🛡️ 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 ~7,650 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~47% 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 7,682)
Lean (direction: futures/trend + skew): ~49% down / ~51% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%7,60521%
22%7,759
1–2%7,52915%
16%7,836
2–3%7,4528%
9%7,913
3–4%7,3753%
3%7,990
>4%<7,3751%
1%>7,990
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
Resistance7,7257,750
Live7,682
Overnight 1SD7,639 – 7,725
1-week 1SD7,547 – 7,818
Support7,6507,600
Cushion line~7,650
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±1.76% (±135 pts)
chance of a >3% week: 9%
range 7,547 – 7,818
chance of a >3% week: 9%
range 7,547 – 7,818
ELEVATED
1-week move risk
DJX Dow Jones · DIA
Live 531.7 (+0.78%) · overnight 1SD ±0.55% (±2.9 pts) · 1-week 1SD ±1.73% · Dow lagging on consumer discretionary wreckage; sits below its 20-day average
Weekend gap — odds Monday opens DOWN vs UP (from 531.7)
Lean (direction: futures/trend + skew): ~47% down / ~53% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%529.030%
33%534.4
0.5–1%526.414%
16%537.0
1–1.5%523.73%
3%539.7
1.5–2%521.10%
0%542.3
>2%<521.10%
0%>542.3
This is a live mid-session run into a weekend gap into Monday (this session’s close → Monday open) — the band is bumped ~25% for the extra closed-market days; 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 Monday’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 12.30 · 1-day 10.7 · VXD 13.35
🛡️ 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. ~529 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~47% 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 531.7)
Lean (direction: futures/trend + skew): ~49% down / ~51% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%526.421%
22%537.0
1–2%521.115%
16%542.3
2–3%515.78%
9%547.7
3–4%510.43%
3%553.0
>4%<510.41%
1%>553.0
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
Resistance534537
Live531.7
Overnight 1SD528.8 – 534.6
1-week 1SD522.5 – 540.9
Support529526
Cushion line~529
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±1.73% (±9 pts)
chance of a >3% week: 8%
range 522.5 – 540.9
chance of a >3% week: 8%
range 522.5 – 540.9
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) | ±2.72% 798p | 27% | 52% down | High |
| #2 | RUT (IWM) | ±2.41% 73p | 21% | 49% down | Elevated |
| #3 | SPX (SPY) | ±1.76% 135p | 9% | 49% down | Elevated |
| #4 | DJX (DIA) | ±1.73% 9p | 8% | 49% 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 (~27% and ~21% chance of a >3% week) on their richer vol; DJX is the anchor (~8%). 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 Monday’s Gap Gets Made
The next open is Monday’s (weekend gap into Monday). Here’s where the gap gets made:
Friday close (~4:00 PM ET)Watch whether VIX settles below 16 and whether SPX holds above intraday support into the bell — a weak close signals the bounce was position-squaring, not conviction.
This weekend (ongoing)Monitor US-Iran diplomatic channels; any resumption of hostilities or Strait of Hormuz escalation will reprice oil and equity futures before Sunday evening open.
Sunday 6:00 PM ET (futures open)Check S&P and Nasdaq futures for the first read on weekend headline risk — particularly any Iran/oil development or Treasury yield move in Asian hours.
Tuesday, August 25 — morning ETUS Conference Board Consumer Confidence Index; adds color to the Walmart/consumer-spending anxiety that rattled markets this week.
Wednesday, August 26 — 8:30 AM ET / after closeJuly PCE inflation (the Fed's preferred gauge — broad measure of consumer price changes) prints at 8:30 AM ET; Nvidia reports earnings after the close — both are tier-1 market movers that could set the tone for Warsh's Jackson Hole speech 36 hours later.
4 Event Calendar — Next Few Sessions
| When | Event | Why it matters for the gap |
|---|---|---|
| Now · live | Iran peace signal eases oil; bonds stabilize | The identified driver for the current tape. |
| Latest closes | Cash session | SPX +0.54% / NDX +0.43% / RUT +0.75% / DJX +0.78%. SPX 30-day implied vol 12.50. |
| Into Monday’s open | Futures + Asia/Europe trade | First live read on the overnight tone. Watch NDX ~29,000 and SPX ~7,650 at the open. |
| Wednesday, August 26, 8:30 AM ET | July PCE / Personal Income & Outlays | The Fed's primary inflation gauge — a hot print gives Warsh hawkish ammunition at Jackson Hole the next morning; a cool print reopens rate-cut debate |
| Wednesday, August 26, after close | Nvidia (NVDA) Q2 FY27 earnings | The single largest AI-infrastructure earnings event of the quarter; guidance shapes the entire NDX capex narrative heading into Q4 |
| Thursday, August 27 — Friday, August 29 | Jackson Hole Economic Policy Symposium (Fed Chair Warsh keynote: Friday, August 28) | Warsh's first major policy speech as Fed chair; hike-or-hold odds for the September 16 FOMC meeting sit near even — any signal shifts rate pricing across all maturities |
| Thursday, August 27, after close | Marvell Technology (MRVL) earnings | High-beta AI chip name with an implied move near 14-18%; lands the same night as the Jackson Hole symposium opens — a binary risk event for NDX positioning |
⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. PCE date (August 26) confirmed via BEA official release schedule. Nvidia earnings date (August 26 after close) confirmed via multiple sell-side and financial sources. Jackson Hole symposium dates (August 27-29) and Warsh keynote (August 28 morning) confirmed via Kansas City Fed and multiple financial sources. Marvell earnings (August 27 after close) confirmed via Unusual Whales and TipRanks. Consumer Confidence (August 25) confirmed via prior CNBC week-ahead calendar for the week of August 24. All dates search-verified in this run.
5 Overnight + 1-Week Playbook
✅ DO
- Treat the weekend as a live risk period — Iran/oil and Treasury yield developments can gap futures before Monday's open; know your Sunday night plan before Friday's close.
- Size positions relative to the wider-than-normal overnight band flagged by the engine — the weekend bump is active.
- On Monday, confirm whether Friday's recovery held in overnight tape before adding risk; a gap open that immediately reverses is a different trade than one that consolidates.
- Use the PCE print Wednesday and Nvidia earnings Wednesday evening as your next hard re-evaluation points — avoid large directional bets that straddle both in the same position.
- Verify all calendar dates, levels, and any headline you act on independently before trading — this report is decision-support, not a directive.
- 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 confuse today's partial bounce with a clean trend reversal — the weekly momentum read on all four indices is still negative.
- Don't assume the Treasury buyback program has structurally capped long yields; analysts note the announced size is modest versus the outstanding market.
- Don't pre-position heavily for Jackson Hole direction — Chair Warsh has explicitly signaled he will not offer near-term guidance; the speech format is deliberately unrevealing.
- Don't treat the Iran peace signal as durable — the MOU deadline expired August 17 with no deal, and prior ceasefires in this conflict have repeatedly broken down.
- Don't size through the Nvidia/MRVL/PCE/Warsh cluster as if it were a normal week — four tier-1 catalysts in 36 hours is an outsized volatility regime by any historical standard.
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.
- Weekend gap
- This session’s close → the next session’s open — the band is bumped ~25% for the extra closed-market days.
- 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.