Daily AI Overnight Gap Risk Report — Live Mid-Session Run — Monday, August 24, 2026

Jump to Gap Board NDX RUT SPX DJX Breakevens Big Move Clock Calendar Playbook

⚠️

Equities opened the week under a three-headed pressure — U.S. sanctions on Iran, a fresh U.S.-Canada tariff war, and a chip sector weighted by pre-Nvidia-earnings caution — leaving tech the clear underperformer while the Dow's value tilt insulated it from the worst of the selling

Closes: SPX −0.24% / NDX −0.90% / RUT −0.58% / DJX +0.29%. The drift+skew lean spreads 47–70% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Iran sanctions unveil; U.S.-Canada 50% tariffs live.

🎯 The 60-Second Read

How the four closed. NDX was weakest at −0.90%; DJX was strongest at +0.29%. This was a mixed session.
Highest gap risk: NDX (overnight ±0.71%, 1-week ±2.77%). Calmest: DJX (overnight ±0.45%).
The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~47% down (DJX) to ~70% down (NDX) — each index’s own read, not one pinned number.
Three live catalysts compete for the tape: Iran sanctions scope (China/Turkey/India exposure TBD), U.S.-Canada 50% tariffs now in effect with Canadian retaliatory duties set for Sept. 8, and Nvidia earnings Wednesday after close — the week does not settle until all three clear.
The 30-year Treasury yield near multi-decade highs is the silent arsonist: every tech valuation, every rate-sensitive sector, and the Fed's Jackson Hole calculus all flow through it — watch long-end yields more than any single equity level today.
Dow outperformance vs. Nasdaq is a rotation signal worth taking seriously: value/defensive is not just a one-day trade when the geopolitical backdrop keeps commodity supply disrupted and rate uncertainty keeps growth multiples compressed.
⚠ Watch: Watch whether Treasury Secretary Bessent's afternoon Iran sanctions briefing — billed as the largest financial offensive ever against an adversary — prompts a risk-relief rally or a secondary selloff as scope hits China, Turkey and India trade flows. The overnight gap into Tuesday will also inherit the first market reaction to Nvidia's pre-report positioning and any fresh geopolitical headline from the Strait of Hormuz. SPX 30-day implied vol is 12.90.

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)	29,046	−0.9%	±0.71% 205p	70% down	High	S 28,750 / 29,000 · R 29,250 / 29,500
RUT (IWM)	3,000	−0.6%	±0.63% 19p	64% down	Elevated	S 2,975 / 3,000 · R 3,025 / 3,050
SPX (SPY)	7,656	−0.2%	±0.46% 35p	60% down	Elevated	S 7,500 / 7,625 · R 7,700 / 7,750
DJX (DIA)	534.3	+0.3%	±0.45% 2.4p	47% down	Elevated	S 530 / 532 · R 536 / 540

Breadth read: this was a mixed session. The gradient, strongest to weakest: DJX +0.29% > SPX −0.24% > RUT −0.58% > NDX −0.90%. 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.

Index Horizon Hours (override)

Current price Lower level Upper level Current VIX

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Never touches either

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Touches lower

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Touches upper

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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.

↑ Gap Board

NDX Nasdaq-100 · QQQ

Live 29,046 (−0.90%) · overnight 1SD ±0.71% (±205 pts) · 1-week 1SD ±2.77% · Tech's epicenter: chip de-risking into a defining NVDA print, compounded by Iran supply-chain exposure

Overnight gap — odds Tuesday opens DOWN vs UP (from 29,046)

Lean (direction: futures/trend + skew): ~70% down / ~30% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%28,90028% 20%29,191

0.5–1%28,75523% 8%29,336

1–1.5%28,61013% 2%29,481

1.5–2%28,4655% 0%29,627

>2%<28,4652% 0%>29,627

This is a live mid-session run into a overnight gap into Tuesday (this session’s close → Tuesday 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 Tuesday’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 19.70 · 1-day 16.9 · VXN 23.03

🛡️ 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 ~70% 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 29,046)

Lean (direction: futures/trend + skew): ~62% down / ~38% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%28,75514% 13%29,336

1–2%28,46514% 10%29,627

2–3%28,17412% 7%29,917

3–4%27,8849% 4%30,208

>4%<27,88413% 3%>30,208

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

Resistance29,25029,500

Live29,046

Overnight 1SD28,840 – 29,251

1-week 1SD28,240 – 29,852

Support29,00028,750

Cushion line~29,000

Round numbers act as magnets — option open-interest clusters there. Re-verify live.

1-week move ±2.77% (±806 pts)
chance of a >3% week: 28%
range 28,240 – 29,852

HIGH

1-week move risk

📅 Driver: The Nasdaq-100 is the session's weakest major index — a deliberate repositioning, not panic. Semiconductor names are being trimmed ahead of Wednesday's Nvidia report, while the Iran sanctions overhang pressures any large-cap with meaningful China or Middle East revenue. The collapse of U.S.-Canada trade talks adds a supply-chain cost layer that disproportionately touches tech hardware names assembled across North American factories.

↩ Gap-fill: Gaps opened on multi-catalyst geopolitical Mondays in a negative gamma regime — dealers amplify rather than absorb moves — tend to hold or extend intraday before partial recovery attempts materialize near the close or the following session. With NVDA earnings due Wednesday, full overnight gap-fill by Tuesday open is possible only if Bessent's sanctions detail is seen as market-contained and does not implicate major tech supply chains.

↑ Gap Board

RUT Russell 2000 · IWM

Live 3,000 (−0.58%) · overnight 1SD ±0.63% (±19 pts) · 1-week 1SD ±2.48% · Small-caps softening but holding the round psychologically, domestic tariff exposure limits the damage

Overnight gap — odds Tuesday opens DOWN vs UP (from 3,000)

Lean (direction: futures/trend + skew): ~64% down / ~36% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%2,98530% 25%3,015

0.5–1%2,97021% 10%3,030

1–1.5%2,9559% 2%3,045

1.5–2%2,9402% 0%3,060

>2%<2,9400% 0%>3,060

🛡️ 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 ~64% 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 3,000)

Lean (direction: futures/trend + skew): ~58% down / ~42% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%2,97016% 15%3,030

1–2%2,94014% 12%3,060

2–3%2,91011% 8%3,090

3–4%2,8808% 4%3,120

>4%<2,8809% 3%>3,120

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance3,0253,050

Live3,000

Overnight 1SD2,982 – 3,019

1-week 1SD2,926 – 3,075

Support3,0002,975

Cushion line~3,000

Round numbers act as magnets — option open-interest clusters there. Re-verify live.

1-week move ±2.48% (±74 pts)
chance of a >3% week: 23%
range 2,926 – 3,075

ELEVATED

1-week move risk

📅 Driver: The Russell 2000 sits at a psychologically charged whole number, and its negative gamma regime means price can drift away from that level faster than dealers can cushion it. The U.S.-Canada tariff shock hits domestic small-cap industrials, building-materials names, and select consumer brands that source from Canada, but the index is partly insulated by its lower direct Iran/oil exposure versus large-cap multinationals. Tariff cost-push risk is the key small-cap story this week.

↩ Gap-fill: Small-cap Monday gaps driven by macro rather than earnings tend to be stickier because there is no single earnings event to reverse the move. Watch the round-number support level: a clean hold overnight raises the probability of a relief fill Tuesday; a decisive break below it signals the gap is leading, not lagging, broader weakness.

↑ Gap Board

SPX S&P 500 · SPY

Live 7,656 (−0.24%) · overnight 1SD ±0.46% (±35 pts) · 1-week 1SD ±1.82% · Broad market absorbing competing forces — defensive sectors providing ballast, tech providing drag

Overnight gap — odds Tuesday opens DOWN vs UP (from 7,656)

Lean (direction: futures/trend + skew): ~60% down / ~40% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%7,61839% 32%7,694

0.5–1%7,57918% 8%7,732

1–1.5%7,5413% 0%7,771

1.5–2%7,5030% 0%7,809

>2%<7,5030% 0%>7,809

🛡️ 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 ~7,625 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~60% 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 7,656)

Lean (direction: futures/trend + skew): ~56% down / ~44% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%7,57921% 20%7,732

1–2%7,50317% 14%7,809

2–3%7,42610% 7%7,885

3–4%7,3505% 2%7,962

>4%<7,3502% 1%>7,962

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance7,7007,750

Live7,656

Overnight 1SD7,620 – 7,691

1-week 1SD7,517 – 7,795

Support7,6257,500

Cushion line~7,625

Round numbers act as magnets — option open-interest clusters there. Re-verify live.

1-week move ±1.82% (±139 pts)
chance of a >3% week: 10%
range 7,517 – 7,795

ELEVATED

1-week move risk

📅 Driver: The S&P 500's modest intraday decline masks real rotation: materials and healthcare led Friday's rebound and that defensive character carried into Monday's open as investors hedged geopolitical risk with real-asset and pharma exposure. The index sits in positive gamma, meaning dealers are positioned to dampen — not amplify — moves near current levels, giving SPX the tightest overnight band of the four. The real stress test comes Wednesday when PCE and NVDA earnings land simultaneously.

↩ Gap-fill: Positive-gamma SPX gaps of this size, in a week with mid-week binary catalysts, have historically attracted fill attempts by Tuesday afternoon as vol sellers step in front of the weekend bump. However, any escalation in Iran sanctions scope or Canada retaliation detail after the close today could interrupt that tendency.

↑ Gap Board

DJX Dow Jones · DIA

Live 534.3 (+0.29%) · overnight 1SD ±0.45% (±2.4 pts) · 1-week 1SD ±1.76% · Dow diverging green — value rotation, Merck leadership, and tariff carveouts on energy shielding blue chips

Overnight gap — odds Tuesday opens DOWN vs UP (from 534.3)

Lean (direction: futures/trend + skew): ~47% down / ~53% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%531.634% 39%537.0

0.5–1%529.011% 13%539.7

1–1.5%526.31% 1%542.3

1.5–2%523.60% 0%545.0

>2%<523.60% 0%>545.0

🛡️ 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. ~532 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 534.3)

Lean (direction: futures/trend + skew): ~49% down / ~51% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%529.021% 22%539.7

1–2%523.615% 16%545.0

2–3%518.38% 9%550.3

3–4%512.93% 3%555.7

>4%<512.91% 1%>555.7

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance536540

Live534.3

Overnight 1SD531.9 – 536.7

1-week 1SD524.9 – 543.7

Support532530

Cushion line~532

Round numbers act as magnets — option open-interest clusters there. Re-verify live.

1-week move ±1.76% (±9 pts)
chance of a >3% week: 9%
range 524.9 – 543.7

ELEVATED

1-week move risk

📅 Driver: The Dow is today's outlier — modestly positive while the Nasdaq slides. Value names in healthcare and materials, which led Friday's session, are carrying forward momentum. Critically, the U.S.-Canada tariff package carved out energy, potash and critical minerals, protecting several Dow-heavy commodity and energy constituents. DJX sits in negative gamma but its overnight 1SD band is tight, and the index's low tech weight makes it the least exposed to the NVDA binary this week.

↩ Gap-fill: A positive-day Dow gap in a mixed-tape session typically fades rather than fills downward by the next open — the larger force would have to be a broad risk-off shock. The Jackson Hole and Iran news flow are both capable of supplying that shock, so treat any overnight Dow gain as conditional on the headline environment staying contained.

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)	±2.77% 806p	28%	62% down	High
#2	RUT (IWM)	±2.48% 74p	23%	58% down	Elevated
#3	SPX (SPY)	±1.82% 139p	10%	56% down	Elevated
#4	DJX (DIA)	±1.76% 9p	9%	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 (~28% and ~23% chance of a >3% week) on their richer vol; DJX is the anchor (~9%). 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 Tuesday’s Gap Gets Made

The next open is Tuesday’s (overnight gap into Tuesday). Here’s where the gap gets made:

Today ~2:00 PM ETTreasury Sec. Bessent Iran sanctions press conference — watch whether scope explicitly targets China/Turkey/India trade flows; breadth of impact determines whether NDX extends lower or stages a relief bounce

Today after close / overnightAsia open reaction to sanctions detail and Hormuz headline risk; Samsung and Alibaba tape already soft — any escalation in chip supply-chain language will set NDX gap direction for Tuesday

Tuesday Aug. 25, 10:00 AM ETConference Board Consumer Confidence (August) + New Home Sales (July) — a weak read here widens the stagflation narrative that keeps the Fed in a bind heading into Jackson Hole; RUT and DJX most sensitive

Wednesday Aug. 26, 8:30 AM ETJuly Core PCE (Fed's preferred inflation gauge — 'inflation rate the Fed targets') + Q2 GDP second estimate — a hot PCE print alongside soft growth is the worst stagflation combination for equities ahead of NVDA

Wednesday Aug. 26, after close (~5 PM ET)Nvidia Q2 FY2027 earnings and call — the AI-demand referendum; any revenue miss or soft guidance on the Rubin chip or China sales could gap NDX sharply lower Thursday; a beat could partially offset the week's geopolitical drag

4 Event Calendar — Next Few Sessions

When	Event	Why it matters for the gap
Now · live	Iran sanctions unveil; U.S.-Canada 50% tariffs live	The identified driver for the current tape.
Latest closes	Cash session	SPX −0.24% / NDX −0.90% / RUT −0.58% / DJX +0.29%. SPX 30-day implied vol 12.90.
Into Tuesday’s open	Futures + Asia/Europe trade	First live read on the overnight tone. Watch NDX ~29,000 and SPX ~7,625 at the open.
Tuesday, August 25, 2026 — 10:00 AM ET	Conference Board Consumer Confidence (August) + New Home Sales (July)	First hard consumer read of the post-tariff-shock week; sets the growth half of the PCE+growth pairing the next morning
Wednesday, August 26, 2026 — 8:30 AM ET	July PCE Price Index + Q2 GDP 2nd Estimate (BEA)	Fed's preferred inflation gauge lands same morning as the GDP revision — a simultaneous growth-and-inflation test; market pricing a ~1-in-3 chance of a December hike, this print shifts those odds
Wednesday, August 26, 2026 — After close (~5 PM ET)	Nvidia (NVDA) Q2 FY2027 Earnings + Call	Largest single-stock index catalyst of the week; street watching AI data-center revenue, Rubin chip guidance, and China-sales commentary — a miss or cautious guide could drag NDX materially at Thursday's open
Friday, August 28, 2026 — Morning	Fed Chair Kevin Warsh Jackson Hole Keynote (Symposium runs Aug. 27–29)	Warsh's first major policy address as Fed chair; market broadly expects him to avoid explicit forward guidance, but the 30-year yield at multi-decade highs and the Sept. 16 FOMC date 19 days away make every word a market mover

⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. All four forward calendar rows are confirmed from multiple search sources retrieved in this run (CapitalStreetFX week-ahead, Wall Street Horizon confirmed NVDA date, Regards of Wall Street Jackson Hole schedule, CNBC week-ahead calendar). The Bessent Iran sanctions press conference at ~2 PM ET today is confirmed by Bloomberg, NPR, and KPBS reporting from this morning. Canadian retaliatory tariff effective date of Sept. 8 is confirmed per Time/Axios sourcing from the Carney statement.

5 Overnight + 1-Week Playbook

✅ DO

Size positions with the knowledge that three sequential binaries — sanctions scope today, PCE Wednesday, NVDA Wednesday, Warsh Friday — can each independently reprice vol; keep single-trade risk proportional to that sequence, not to today's tape alone.
Monitor the 30-year Treasury yield as your primary cross-asset signal: it is the transmission mechanism between the Iran/oil inflation story and equity multiples — a fresh leg above the week's high matters more than any intraday index wiggle.
If you have NDX or tech exposure, define your risk before Wednesday's close-of-business — the NVDA earnings call is the week's most asymmetric single event and implied vol will compress into it, so unhedged longs face binary gap risk.
Consider the Dow / Nasdaq relative trade as a hedge expression — long value/defensives against short growth captures the rotation narrative without requiring a directional market call in a week with this many cross-currents.
Verify any Iran-sanctions-adjacent names — energy, shipping, defense, and any large-cap with significant China revenue — before the Bessent briefing concludes; scope detail can move sectors quickly and in opposite directions.
Respect the trend context — the picture is split: 1 of 4 sit above their 20-day average and 3 of 4 above their 50-day. Mixed trend — weaker evidence for either buying dips or selling rallies.

❌ DON’T

Don't assume the Dow's mild green print signals broad safety — DJX is in a negative gamma regime and its tight overnight band can widen sharply if Jackson Hole or NVDA deliver a surprise; green today is not a trend call.
Don't front-run the Iran sanctions headline as purely bullish for energy — if the measures explicitly target China's purchase of Iranian oil, the demand-destruction angle could send crude lower, not higher, and disrupt the simple 'sanctions = oil up' read.
Don't scale into NDX longs solely because the intraday level is near technical support — the index sits below both its 20- and 50-day moving averages with a meaningful five-day momentum deficit; support is a level to watch, not a buy signal.
Don't ignore the U.S.-Canada tariff pass-through risk for small-cap industrials and building materials inside RUT — Canadian retaliatory tariffs take effect Sept. 8 and that date is close enough to matter for forward earnings estimates this week.
Don't treat the preliminary lean as a forecast — 70 and 60 reflect conditional probability distributions from current inputs, not directional calls; the catalyst stack this week is wide enough that the off-lean outcome is entirely plausible.

📌

Watch NDX ~29,000 and SPX ~7,625, let overnight futures give the first clean read, and lean on the Big Move Ranking for weekly risk.

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.

Educational purposes only — not investment advice. The Freedom Management Group, Inc. d/b/a Michael Wade Trade Coaching is not a broker, adviser, or fiduciary. All trades are at your own risk; past performance does not guarantee future results. Options involve substantial risk and you can lose more than your investment — always paper trade first before risking real money. This report is generated with the assistance of artificial intelligence, and AI can make mistakes. The analysis, prices, technical levels, earnings dates, probabilities, and figures herein are produced by automated models that may misinterpret data, rely on sources that are outdated or inaccurate, or generate confident-sounding output that is simply wrong. Probabilities are options-implied estimates, not predictions, and real-world tails are fatter than a normal curve. Nothing here has been independently verified by a licensed professional. Always confirm every data point, price, and date against your own brokerage and primary sources before acting, and treat this report as a starting point for your own research — never as a substitute for your own judgment. By using our services, you agree to our Terms & Conditions and Privacy Policy.

Live Mid-Session Run, time-stamped Monday, August 24, 2026, ~11:30 AM ET, into a overnight gap into Tuesday with a 1-week outlook — it goes stale quickly. Index levels and % moves are live index prints (SPX −0.24% / NDX −0.90% / RUT −0.58% / DJX +0.29%). Band vols: NDX own ATM chain IV, RUT own ATM chain IV, SPX own ATM chain IV, DJX own ATM chain IV. Where shown, VIX/VXN/VXD spots are reference readings only — they price a wider options strip and sit a few points above the ATM IV that sizes the bands. The dealer-gamma regime is computed from live options positioning data where available. The per-index directional signal is mechanical (trend/momentum/futures), with a small analyst catalyst nudge. Re-verify before trading. Nothing here is a directive to trade.

Daily AI Overnight Gap Risk Report · deterministic engine v2 · drift+skew lean · disjoint bands · breakeven calculator (touch odds + intraday clock) · Trade Club AI · Generated 2026-08-24 (live mid-session run) · mwtradecoach.com