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
Wednesday, August 26, 2026 · ~2:18 PM ET | LIVE MID-SESSION RUN · overnight gap into Thursday · binary (Nvidia/Warsh)
⚠️
Markets idled near the flat line as sticky PCE inflation collided with maximum Nvidia suspense, leaving indices in a holding pattern ahead of the most-watched earnings report of the quarter
Closes: SPX −0.02% / NDX +0.01% / RUT −0.12% / DJX −0.21%. The drift+skew lean spreads 56–62% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Nvidia earnings after close; PCE above target.
🎯 The 60-Second Read
- How the four closed. DJX was weakest at −0.21%; NDX was strongest at +0.01%. This was a mixed session.
- Highest gap risk: NDX (overnight ±0.68%, 1-week ±2.65%). Calmest: DJX (overnight ±0.44%).
- The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~56% down (DJX) to ~62% down (NDX) — each index’s own read, not one pinned number.
- Nvidia binary dominates Thursday open: Options on NVDA imply roughly a 5% post-earnings swing — a beat-and-raise lifts NDX futures; a guidance miss or hyperscaler-spending concern could quickly extend today's soft lean. Verify the after-hours print before sizing any Thursday position.
- PCE confirmed the Fed's dilemma: Core PCE held at the same year-over-year level as June — in line but not progress. About 40% of fed funds futures traders are pricing a September hike as of Wednesday afternoon. Warsh's Jackson Hole tone Friday will either validate or reset that bet.
- Payroll benchmark revision Friday at 10 AM ET: The BLS preliminary benchmark revision to establishment survey data lands the same morning as Warsh's speech — a rare double-event Friday. A large negative revision could retroactively weaken the labor-market narrative and complicate the hike calculus in real time.
- ⚠ Watch: Nvidia's after-close print — revenue beat and forward guidance on data-center demand — will set the directional tone for Thursday's open; watch the overnight implied move on QQQ futures as the first signal of how the tape is digesting results. Secondary: Fed Chair Warsh speaks Friday at Jackson Hole, keeping rate-hike optionality in focus for the entire back half of the week. SPX 30-day implied vol is 12.70.
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) | 29,213 | +0.0% | ±0.68% 197p | 62% down | High | S 28,750 / 29,000 · R 29,500 / 29,750 |
| RUT (IWM) | 3,006 | −0.1% | ±0.61% 18p | 59% down | Elevated | S 2,950 / 2,975 · R 3,025 / 3,050 |
| SPX (SPY) | 7,675 | −0.0% | ±0.46% 35p | 57% down | Elevated | S 7,600 / 7,650 · R 7,700 / 7,750 |
| DJX (DIA) | 534.6 | −0.2% | ±0.44% 2.3p | 56% down | Elevated | S 530 / 532 · R 536 / 538 |
Breadth read: this was a mixed session. The gradient, strongest to weakest: NDX +0.01% > SPX −0.02% > RUT −0.12% > DJX −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.
—
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 ~2:18 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 29,213 (+0.01%) · overnight 1SD ±0.68% (±197 pts) · 1-week 1SD ±2.65% · Pure AI leverage — NDX lives and dies by what Nvidia's guidance says about hyperscaler capex
Overnight gap — odds Thursday opens DOWN vs UP (from 29,213)
Lean (direction: futures/trend + skew): ~62% down / ~38% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%29,06728%
24%29,359
0.5–1%28,92120%
11%29,505
1–1.5%28,7759%
3%29,652
1.5–2%28,6293%
0%29,798
>2%<28,6291%
0%>29,798
This is a live mid-session run into a overnight gap into Thursday (this session’s close → Thursday 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 Thursday’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 18.80 · 1-day 16.1 · VXN 21.83
🛡️ 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 ~62% 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 29,213)
Lean (direction: futures/trend + skew): ~57% down / ~43% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%28,92115%
14%29,505
1–2%28,62914%
12%29,798
2–3%28,33711%
8%30,090
3–4%28,0458%
5%30,382
>4%<28,04510%
4%>30,382
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
Live29,213
Overnight 1SD29,016 – 29,411
1-week 1SD28,440 – 29,987
Support29,00028,750
Cushion line~29,000
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.65% (±774 pts)
chance of a >3% week: 26%
range 28,440 – 29,987
chance of a >3% week: 26%
range 28,440 – 29,987
HIGH
1-week move risk
RUT Russell 2000 · IWM
Live 3,006 (−0.12%) · overnight 1SD ±0.61% (±18 pts) · 1-week 1SD ±2.38% · Rate-sensitive small-caps caught between a soft labor print from July and a Fed still flagging hike risk
Overnight gap — odds Thursday opens DOWN vs UP (from 3,006)
Lean (direction: futures/trend + skew): ~59% down / ~41% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%2,99131%
27%3,021
0.5–1%2,97619%
11%3,037
1–1.5%2,9617%
2%3,052
1.5–2%2,9462%
0%3,067
>2%<2,9460%
0%>3,067
This is a live mid-session run into a overnight gap into Thursday (this session’s close → Thursday 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 Thursday’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 16.90 · 1-day 15.0
🛡️ 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. ~2,975 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~59% 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): ~56% down / ~44% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%2,97616%
16%3,037
1–2%2,94614%
13%3,067
2–3%2,91611%
8%3,097
3–4%2,8867%
4%3,127
>4%<2,8867%
3%>3,127
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 1SD2,988 – 3,025
1-week 1SD2,935 – 3,078
Support2,9752,950
Cushion line~2,975
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±2.38% (±72 pts)
chance of a >3% week: 21%
range 2,935 – 3,078
chance of a >3% week: 21%
range 2,935 – 3,078
ELEVATED
1-week move risk
SPX S&P 500 · SPY
Live 7,675 (−0.02%) · overnight 1SD ±0.46% (±35 pts) · 1-week 1SD ±1.79% · Broad market, near flat, digesting two binary events in 36 hours — Nvidia tonight, Warsh Friday
Overnight gap — odds Thursday opens DOWN vs UP (from 7,675)
Lean (direction: futures/trend + skew): ~57% down / ~43% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%7,63738%
34%7,714
0.5–1%7,59916%
9%7,752
1–1.5%7,5603%
1%7,791
1.5–2%7,5220%
0%7,829
>2%<7,5220%
0%>7,829
This is a live mid-session run into a overnight gap into Thursday (this session’s close → Thursday 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 Thursday’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 12.70 · 1-day 10.1 · VIX 15.41
🛡️ 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). 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 ~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 7,675)
Lean (direction: futures/trend + skew): ~54% down / ~46% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%7,59921%
21%7,752
1–2%7,52217%
15%7,829
2–3%7,44510%
7%7,906
3–4%7,3684%
2%7,982
>4%<7,3682%
1%>7,982
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
Resistance7,7007,750
Live7,675
Overnight 1SD7,640 – 7,710
1-week 1SD7,538 – 7,813
Support7,6507,600
Cushion line~7,650
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±1.79% (±137 pts)
chance of a >3% week: 9%
range 7,538 – 7,813
chance of a >3% week: 9%
range 7,538 – 7,813
ELEVATED
1-week move risk
DJX Dow Jones · DIA
Live 534.6 (−0.21%) · overnight 1SD ±0.44% (±2.3 pts) · 1-week 1SD ±1.72% · Defensives and old-economy names offer relative shelter, but can't fully escape a risk-off Nvidia reaction
Overnight gap — odds Thursday opens DOWN vs UP (from 534.6)
Lean (direction: futures/trend + skew): ~56% down / ~44% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤0.5%532.039%
35%537.3
0.5–1%529.315%
8%540.0
1–1.5%526.62%
1%542.7
1.5–2%524.00%
0%545.3
>2%<524.00%
0%>545.3
This is a live mid-session run into a overnight gap into Thursday (this session’s close → Thursday 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 Thursday’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 12.20 · 1-day 13.7 · VXD 13.95
🛡️ 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 ~56% 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 534.6)
Lean (direction: futures/trend + skew): ~54% down / ~46% up
bandworst lvlodds
◀ down | up ▶
oddsworst lvl
≤1%529.322%
22%540.0
1–2%524.017%
15%545.3
2–3%518.69%
7%550.7
3–4%513.34%
2%556.0
>4%<513.32%
1%>556.0
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
Resistance536538
Live534.6
Overnight 1SD532.3 – 537.0
1-week 1SD525.5 – 543.8
Support532530
Cushion line~532
Round numbers act as magnets — option open-interest clusters there. Re-verify live.
1-week move ±1.72% (±9 pts)
chance of a >3% week: 8%
range 525.5 – 543.8
chance of a >3% week: 8%
range 525.5 – 543.8
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) | ±2.65% 774p | 26% | 57% down | High |
| #2 | RUT (IWM) | ±2.38% 72p | 21% | 56% down | Elevated |
| #3 | SPX (SPY) | ±1.79% 137p | 9% | 54% down | Elevated |
| #4 | DJX (DIA) | ±1.72% 9p | 8% | 54% 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 (~26% 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 Thursday’s Gap Gets Made
The next open is Thursday’s (overnight gap into Thursday). Here’s where the gap gets made:
4:20–4:30 PM ET today (Wed Aug 26)Nvidia Q2 FY2027 earnings drop — revenue, EPS, and Q3 guidance versus consensus are the three numbers that move the tape; watch QQQ and NDX futures immediately after
After close tonight / overnightAsia markets (Tokyo, Seoul, Hong Kong) open into the Nvidia print; MSCI Asia-Pacific semiconductors will react first — Samsung Electronics and SK Hynix are early tells for whether the AI-capex story holds
Thursday pre-market (Aug 27)European bourses and US futures will have fully digested the Nvidia result; check whether the overnight move is contained within the 1SD range or has already breached it — that sets the gap-risk tone
Thursday Aug 27 — regular sessionWatch for secondary earnings from Bath & Body Works (scheduled); Nvidia conference-call color from the prior evening may continue to reprice semiconductor supply-chain names throughout the day
Friday Aug 28, 10:00 AM ETFed Chair Warsh keynote at Jackson Hole AND BLS preliminary payroll benchmark revision — both land simultaneously; this is the highest-volatility slot of the week; size accordingly the night before
4 Event Calendar — Next Few Sessions
| When | Event | Why it matters for the gap |
|---|---|---|
| Now · live | Nvidia earnings after close; PCE above target | The identified driver for the current tape. |
| Latest closes | Cash session | SPX −0.02% / NDX +0.01% / RUT −0.12% / DJX −0.21%. SPX 30-day implied vol 12.70. |
| Into Thursday’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 Aug 26, after close (tonight) | Nvidia (NVDA) Q2 FY2027 earnings | The AI bellwether's revenue, EPS, and Q3 guidance are the biggest single-stock event of the quarter; analyst consensus expects ~$92B revenue and $2.09 adj. EPS. Guidance on data-center demand and China chip policy is the swing variable for NDX. |
| Friday Aug 28, 10:00 AM ET | Fed Chair Warsh keynote — Jackson Hole Economic Policy Symposium | Warsh's first Jackson Hole address as Fed Chair lands three weeks before the September 16 FOMC decision, with September hike odds near one-in-three. Any hawkish surprise re-prices the front end and pressures rate-sensitive small-caps and long-duration tech simultaneously. |
| Friday Aug 28, 10:00 AM ET | BLS Preliminary CES Benchmark Payroll Revision (March 2026 reference) | The BLS annually benchmarks survey payrolls to administrative unemployment-insurance records; a large negative revision would retroactively soften the labor-market narrative and complicate the Fed's hike case — lands simultaneously with Warsh. |
| Friday Sept 4, 8:30 AM ET | August Employment Situation (Nonfarm Payrolls) | Confirmed BLS release date. July already printed negative for the first time this cycle; a second weak print would significantly shift September FOMC expectations and could be the decisive catalyst for rate-path repricing into month-end. |
⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. Nvidia earnings date (Aug 26 after close), Warsh Jackson Hole speech (Aug 28 10:00 AM ET), and BLS benchmark revision (Aug 28 10:00 AM ET) are confirmed from search results in this run including the Federal Reserve's own calendar and BLS official release. August NFP date of Friday Sept 4 is confirmed from the BLS Employment Situation Summary page. Bath & Body Works earnings (Aug 27) is sourced from a reference in TheStreet — treat as likely but verify before acting. The September 16 FOMC date is cited in search results; treat as confirmed-typical-calendar until the Fed releases its formal schedule update.
5 Overnight + 1-Week Playbook
✅ DO
- Wait for the Nvidia print — confirm direction and the after-hours implied move on QQQ before forming any Thursday gap thesis; the result is due around 4:20–4:30 PM ET
- Respect the 1SD overnight bands as your first reference: a gap outside those bands on Thursday open is statistically uncommon and warrants extra caution about chasing
- Keep position sizing modest through Friday — two binary events (Warsh speech + payroll benchmark) land simultaneously at 10 AM ET, compressing the risk-reward window to act on Thursday's gap read
- Use any Nvidia-driven gap-up in NDX to check whether small-caps (RUT) are confirming — divergence between tech and small-caps is an important tell on whether a Fed-hike fear is silently capping the broader rally
- Verify before acting: confirm the Nvidia result, Warsh's actual remarks, and the benchmark revision number from primary sources before adjusting positions
- Respect the trend context — the picture is split: 0 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 pre-position aggressively ahead of the Nvidia print on historical-beat logic alone — the stock has declined on the trading day following earnings in multiple consecutive prior quarters even with beat-and-raise reports
- Don't ignore the Jackson Hole calendar: the full week's implied vol bakes in both Nvidia and Warsh — selling vol premium into Thursday close without awareness of Friday's event stack is a known trap
- Don't treat the slightly-above-consensus headline PCE as a clean hawkish signal — the month-over-month read was in line and spending stalled, leaving the Fed's internal debate unresolved rather than settled
- Don't conflate a Nvidia gap-fill in SPX or DJX with a sustained trend reversal — the RUT's negative gamma regime means small-cap moves can overshoot in either direction before any reversion
- Don't assume the payroll benchmark revision (Aug 28) is a non-event because it rarely moves markets; in the current cycle, with July payrolls already negative, a large negative revision could materially reprice the labor-market narrative
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.