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
Tuesday, August 25, 2026 · ~11:30 AM ET | LIVE MID-SESSION RUN · overnight gap into Wednesday · Iran sanctions / NVDA eve
⚠️
Markets bounce Tuesday as the U.S. pivot from military strikes to economic isolation of Iran eased the worst-case energy-supply fears, lifting tech off Monday's sell-off lows even as traders hold their breath into tonight's close ahead of the two heavyweight events landing Wednesday
Closes: SPX +0.24% / NDX +0.64% / RUT +0.36% / DJX +0.09%. The drift+skew lean spreads 48–57% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Nvidia earnings Wednesday + Iran sanctions pivot.
🎯 The 60-Second Read
- How the four closed. DJX was weakest at +0.09%; NDX was strongest at +0.64%. This was a broad session.
- Highest gap risk: NDX (overnight ±0.71%, 1-week ±2.79%). Calmest: DJX (overnight ±0.45%).
- The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~48% down (DJX) to ~57% down (NDX) — each index’s own read, not one pinned number.
- The Wednesday triple-header: July PCE, Q2 GDP (2nd estimate), and Nvidia earnings all land within hours of each other — this is among the highest simultaneous macro-plus-earnings risk stacks of the year.
- Iran catalyst is deflationary at the margin: the U.S. pivot to economic sanctions rather than renewed military strikes has pushed oil off recent highs, reducing the inflation risk premium embedded in bond yields and providing a modest tailwind to equity multiples — but the Hormuz supply risk has not disappeared.
- Warsh at Jackson Hole Friday (Aug 28): his first keynote as Fed Chair — markets have priced a neutral speech; any hawkish surprise on rate-framework language would hit the long end of the yield curve and pressure rate-sensitive equities into the weekend.
- ⚠ Watch: The overnight gap into Wednesday hinges on two near-simultaneous triggers: Nvidia's fiscal Q2 result after tonight's bell sets the tone for the entire AI/semiconductor complex, and Wednesday pre-open brings July PCE plus the GDP second estimate — together they will reprice both the NDX gamma field and September rate-hike odds before the first trade is made. A hotter-than-expected PCE print or a Nvidia revenue miss would compound each other; a clean beat on both is the bull scenario. SPX 30-day implied vol is 12.80.
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) | 29,209 | +0.6% | ±0.71% 208p | 57% down | High | S 28,750 / 29,000 · R 29,400 / 29,750 |
| RUT (IWM) | 3,006 | +0.4% | ±0.62% 19p | 55% down | Elevated | S 2,950 / 2,987 · R 3,025 / 3,050 |
| SPX (SPY) | 7,672 | +0.2% | ±0.46% 35p | 49% down | Elevated | S 7,600 / 7,636 · R 7,707 / 7,750 |
| DJX (DIA) | 534.7 | +0.1% | ±0.45% 2.4p | 48% down | Elevated | S 529 / 532 · R 537 / 540 |
Breadth read: this was a broad session. The gradient, strongest to weakest: NDX +0.64% > RUT +0.36% > SPX +0.24% > DJX +0.09%. 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 29,209 (+0.64%) · overnight 1SD ±0.71% (±208 pts) · 1-week 1SD ±2.79% · Tech bouncing off Monday lows but still below both its 20- and 50-day moving averages — structurally the weakest of the four
Overnight gap — odds Wednesday opens DOWN vs UP (from 29,209)
Lean (direction: futures/trend + skew): ~57% down / ~43% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%29,06326%
25%29,355
0.5–1%28,91718%
14%29,501
1–1.5%28,7719%
4%29,648
1.5–2%28,6253%
1%29,794
>2%<28,6251%
0%>29,794
This is a live mid-session run into a overnight gap into Wednesday (this session’s close → Wednesday 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 Wednesday’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 19.80 · 1-day 16.7 · VXN 22.49
🛡️ 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 ~57% 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 29,209)
Lean (direction: futures/trend + skew): ~54% down / ~46% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%28,91714%
14%29,501
1–2%28,62513%
12%29,794
2–3%28,33310%
9%30,086
3–4%28,0417%
6%30,378
>4%<28,04110%
5%>30,378
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
Resistance29,40029,750
Live29,209
Overnight 1SD29,002 – 29,417
1-week 1SD28,395 – 30,024
Support29,00028,750
Cushion line~29,000
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.79% (±815 pts)
chance of a >3% week: 28%
range 28,395 – 30,024
chance of a >3% week: 28%
range 28,395 – 30,024
HIGH
1-week move risk
RUT Russell 2000 · IWM
Live 3,006 (+0.36%) · overnight 1SD ±0.62% (±19 pts) · 1-week 1SD ±2.44% · Small-caps hold above their 50-day but lag tech's bounce — a rate-sensitive index in a yield-uncertain week
Overnight gap — odds Wednesday opens DOWN vs UP (from 3,006)
Lean (direction: futures/trend + skew): ~55% down / ~45% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%2,99130%
28%3,021
0.5–1%2,97618%
13%3,036
1–1.5%2,9616%
3%3,051
1.5–2%2,9461%
0%3,066
>2%<2,9460%
0%>3,066
This is a live mid-session run into a overnight gap into Wednesday (this session’s close → Wednesday 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 Wednesday’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 17.30 · 1-day 14.5
🛡️ 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. ~2,987 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~55% 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 3,006)
Lean (direction: futures/trend + skew): ~54% down / ~46% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%2,97616%
16%3,036
1–2%2,94614%
13%3,066
2–3%2,91610%
9%3,096
3–4%2,8867%
5%3,126
>4%<2,8867%
4%>3,126
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
Live3,006
Overnight 1SD2,987 – 3,025
1-week 1SD2,933 – 3,079
Support2,9872,950
Cushion line~2,987
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.44% (±73 pts)
chance of a >3% week: 22%
range 2,933 – 3,079
chance of a >3% week: 22%
range 2,933 – 3,079
ELEVATED
1-week move risk
SPX S&P 500 · SPY
Live 7,672 (+0.24%) · overnight 1SD ±0.46% (±35 pts) · 1-week 1SD ±1.80% · Broad market steady and in positive gamma — the cushioned index this week
Overnight gap — odds Wednesday opens DOWN vs UP (from 7,672)
Lean (direction: futures/trend + skew): ~49% down / ~51% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%7,63335%
38%7,710
0.5–1%7,59512%
12%7,748
1–1.5%7,5562%
1%7,787
1.5–2%7,5180%
0%7,825
>2%<7,5180%
0%>7,825
This is a live mid-session run into a overnight gap into Wednesday (this session’s close → Wednesday 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 Wednesday’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 12.80 · 1-day 10.1 · VIX 15.72
🛡️ 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 ~7,636 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~49% 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 7,672)
Lean (direction: futures/trend + skew): ~50% down / ~50% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%7,59521%
21%7,748
1–2%7,51815%
16%7,825
2–3%7,4419%
8%7,902
3–4%7,3654%
3%7,978
>4%<7,3652%
1%>7,978
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
Resistance7,7077,750
Live7,672
Overnight 1SD7,636 – 7,707
1-week 1SD7,533 – 7,810
Support7,6367,600
Cushion line~7,636
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±1.80% (±138 pts)
chance of a >3% week: 10%
range 7,533 – 7,810
chance of a >3% week: 10%
range 7,533 – 7,810
ELEVATED
1-week move risk
DJX Dow Jones · DIA
Live 534.7 (+0.09%) · overnight 1SD ±0.45% (±2.4 pts) · 1-week 1SD ±1.76% · Dow outperforming week-to-date — defensive rotation into industrials and financials
Overnight gap — odds Wednesday opens DOWN vs UP (from 534.7)
Lean (direction: futures/trend + skew): ~48% down / ~52% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%532.035%
39%537.3
0.5–1%529.311%
13%540.0
1–1.5%526.61%
1%542.7
1.5–2%524.00%
0%545.4
>2%<524.00%
0%>545.4
This is a live mid-session run into a overnight gap into Wednesday (this session’s close → Wednesday 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 Wednesday’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 12.50 · 1-day 13.2 · VXD 14.23
🛡️ 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). DJX is near its ~532 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~48% 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 534.7)
Lean (direction: futures/trend + skew): ~49% down / ~51% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%529.321%
22%540.0
1–2%524.015%
16%545.4
2–3%518.68%
9%550.7
3–4%513.33%
3%556.1
>4%<513.31%
1%>556.1
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
Resistance537540
Live534.7
Overnight 1SD532.3 – 537.1
1-week 1SD525.3 – 544.1
Support532529
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 525.3 – 544.1
chance of a >3% week: 9%
range 525.3 – 544.1
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) | ±2.79% 815p | 28% | 54% down | High |
| #2 | RUT (IWM) | ±2.44% 73p | 22% | 54% down | Elevated |
| #3 | SPX (SPY) | ±1.80% 138p | 10% | 50% 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 ~22% 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 Wednesday’s Gap Gets Made
The next open is Wednesday’s (overnight gap into Wednesday). Here’s where the gap gets made:
This evening ET (after close, Tue Aug 25)Nvidia fiscal Q2 earnings release — the single largest near-term vol event for NDX; watch revenue vs. the ~$92B consensus and any data-center guidance revision
Wednesday Aug 26, 8:30 AM ETJuly PCE inflation + Q2 GDP second estimate drop simultaneously — the PCE month-over-month print vs. the ~0.2% consensus will directly move September FOMC rate-hike odds and bond yields
Wednesday Aug 26, pre-open to openNet gap direction set by NVDA reaction in after-hours + PCE/GDP headline; if both disappoint, NDX and RUT face compounding negative gamma pressure
Wednesday Aug 26, 10:30 AM ETEIA weekly crude oil inventory data — Hormuz/Iran supply context; a larger-than-expected draw would reignite the oil-inflation trade
Friday Aug 28, ~10 AM ETFed Chair Kevin Warsh delivers his first Jackson Hole keynote — tone on the rate framework and inflation tolerance is the key market-moving unknown for end-of-week positioning
4 Event Calendar — Next Few Sessions
| When | Event | Why it matters for the gap |
|---|---|---|
| Now · live | Nvidia earnings Wednesday + Iran sanctions pivot | The identified driver for the current tape. |
| Latest closes | Cash session | SPX +0.24% / NDX +0.64% / RUT +0.36% / DJX +0.09%. SPX 30-day implied vol 12.80. |
| Into Wednesday’s open | Futures + Asia/Europe trade | First live read on the overnight tone. Watch NDX ~29,000 and SPX ~7,636 at the open. |
| Wednesday, August 26, 2026 — 8:30 AM ET | July PCE inflation + Q2 GDP second estimate (BEA) | The Fed's preferred inflation gauge and a growth revision land simultaneously the morning after Nvidia earnings — the most consequential pre-open data stack of the week for rate expectations and index gap direction |
| Wednesday, August 26, 2026 — after close (confirmed) | Nvidia (NVDA) fiscal Q2 earnings | NVDA is the single largest weight in NDX; guidance on data-center demand and AI GPU supply will set the tone for the entire semiconductor complex and drive the Thursday open gap |
| Thursday, August 27, 2026 | Jackson Hole Symposium begins (Kansas City Fed, Wyoming) | Opening day of the annual gathering; academic papers and early panel sessions; market focus is already on Friday's keynote |
| Friday, August 28, 2026 — ~10 AM ET | Fed Chair Kevin Warsh — first Jackson Hole keynote address | His inaugural speech as Chair sets the policy tone for Q4 2026; markets have priced neutral but any signal on rate-framework reform or inflation tolerance will move yields, dollar, and equity vol into the weekend |
⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. All four calendar rows are confirmed from search results in this run: PCE/GDP date confirmed by BEA.gov and multiple independent sources; NVDA Aug 26 after-close date confirmed by TipRanks, WallStreetHorizon, and Kiplinger; Jackson Hole symposium Aug 27-29 and Warsh keynote Friday Aug 28 confirmed by Bloomberg, XTB, and multiple financial outlets. Weekday labels (Wednesday through Friday) are derived from the run date of Tuesday, August 25, 2026 as instructed.
5 Overnight + 1-Week Playbook
✅ DO
- Size positions conservatively into tonight's Nvidia print — the stock's seven-session losing streak compresses the asymmetry and raises the bar for a sustained upside breakout
- Monitor the PCE month-over-month number Wednesday at 8:30 AM ET before adding risk; a 0.3%+ reading would materially shift the September rate-hike picture and widen the RUT gap
- Use the positive gamma in SPX and DJX as a relative anchor — if the tape is volatile Wednesday, these indices will absorb shocks better than NDX or RUT
- Watch oil: a sustained hold below recent highs is the quiet macro tailwind that lets multiples breathe; a Hormuz headline overnight could reverse that instantly
- Verify all levels and catalog dates against live data before acting — this report is educational decision-support, not a trade directive
- Respect the trend context — the picture is split: 2 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 treat Tuesday's partial bounce as a confirmed trend reversal — NDX remains below its 20- and 50-day moving averages
- Don't assume a Nvidia beat automatically lifts the full tape; the prior three quarters saw consistent beats with muted price follow-through
- Don't fade an opening gap in RUT on Wednesday without confirming the gamma regime first — negative gamma means dealer flows amplify moves, not dampen them
- Don't ignore the Jackson Hole risk window: holding large rate-sensitive positions through Friday's Warsh speech carries meaningful tail risk
- Don't conflate the Iran sanctions pivot with a geopolitical resolution — Hormuz supply disruption risk remains live and oil can reprice quickly on any escalation headline
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.