Daily AI Overnight Gap Risk Report — Post-Market Run — Thursday, August 27, 2026

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

⚠️

A blockbuster AI-earnings sweep — Nvidia, Salesforce, CrowdStrike, and Okta all beat — lifted tech sharply on Thursday, but the tape now pivots squarely to Fed Chair Warsh's inaugural Jackson Hole keynote and a Marvell after-hours stumble on margin guidance.

Closes: SPX +0.72% / NDX +1.43% / RUT +0.28% / DJX +0.20%. The drift+skew lean spreads 42–54% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Warsh Jackson Hole keynote, Friday 10 AM ET.

🎯 The 60-Second Read

How the four closed. DJX was weakest at +0.20%; NDX was strongest at +1.43%. This was a broad session.
Highest gap risk: RUT (overnight ±0.59%, 1-week ±2.30%). Calmest: DJX (overnight ±0.41%).
The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~42% down (SPX) to ~54% down (RUT) — each index’s own read, not one pinned number.
MRVL beat on revenue and EPS but guided gross margins ~90bps lower sequentially — stock down roughly 7–8% AH; with a 187% YTD run, the "good-but-not-great" reaction was always the base risk, and it arrived. Watch for read-through pressure on other high-multiple semi names at the Friday open.
The Politico semiconductor tariff report (broader duties potentially covering servers and data-center hardware) is the sleeper risk for the AI trade — it did not move markets materially during Thursday's session because earnings dominated, but it is live heading into Friday and could resurface if Warsh's speech is hawkish and creates a risk-off tone.
Breadth was strikingly poor on Thursday: ten of eleven S&P 500 sectors declined even as the index posted a solid gain. A rally that thin is a feature, not a bug, of a concentrated AI-momentum tape — but it is also the condition under which any sentiment shift hits hardest, because there are few sectors absorbing the blow.
⚠ Watch: Fed Chair Warsh speaks at 10 AM ET on Friday — his first major address as Chair, with core PCE stuck above target and rate-hike expectations live; the tone (hawkish vs. constructive) will set the directional bias for the full session and into the weekend gap. Layer on a Marvell sell-off in after-hours and a fresh Politico report that the White House is weighing sweeping new semiconductor tariffs: the AI-momentum trade faces two simultaneous tests at the open. SPX 30-day implied vol is 12.00.

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)	29,642	+1.4%	±0.52% 154p	44% down	Elevated	S 29,250 / 29,500 · R 29,750 / 30,000
RUT (IWM)	3,014	+0.3%	±0.59% 18p	54% down	Elevated	S 2,975 / 3,000 · R 3,025 / 3,050
SPX (SPY)	7,731	+0.7%	±0.43% 33p	42% down	Elevated	S 7,650 / 7,700 · R 7,750 / 7,800
DJX (DIA)	535.7	+0.2%	±0.41% 2.2p	51% down	Elevated	S 532 / 534 · R 537 / 540

Breadth read: this was a broad session. The gradient, strongest to weakest: NDX +1.43% > SPX +0.72% > RUT +0.28% > DJX +0.20%. 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

—

Touches lower

—

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 ~9:04 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.

↑ Gap Board

NDX Nasdaq-100 · QQQ

Live 29,642 (+1.43%) · overnight 1SD ±0.52% (±154 pts) · 1-week 1SD ±2.04% · The index that rode the AI-earnings wave hardest now faces the sharpest post-close headwinds from MRVL and the tariff leak.

Overnight gap — odds Friday opens DOWN vs UP (from 29,642)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%29,49330% 36%29,790

0.5–1%29,34512% 17%29,938

1–1.5%29,1972% 3%30,086

1.5–2%29,0490% 0%30,234

>2%<29,0490% 0%>30,234

This is a post-market run into a overnight gap into Friday (this session’s close → Friday open) — the lean blends the directional read (overnight futures + short-term trend + gamma regime) with the options put-skew that shapes the tails. Each row is a band (a slice of where Friday’s open could land) and the odds it lands in that slice; the worst lvl is the far edge of the slice. Because the bands don’t overlap, the odds add up — all down bands sum to the down lean, all up bands to the up lean, everything to 100%. For a level between the marks, use the Breakeven Calculator up top. Vol: NDX 30D IV 14.50 · 1-day 11.6 · VXN 20.24

🛡️ 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 ~29,500 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~44% down.

📆 1-Week Outlook — next ~5 trading sessions; ranked in the Big Move section below

1-Week move — odds the index closes DOWN vs UP over the next ~5 sessions (from 29,642)

Lean (direction: futures/trend + skew): ~48% down / ~52% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%29,34518% 19%29,938

1–2%29,04914% 16%30,234

2–3%28,7529% 10%30,531

3–4%28,4564% 5%30,827

>4%<28,4563% 2%>30,827

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

Resistance29,75030,000

Live29,642

Overnight 1SD29,487 – 29,796

1-week 1SD29,036 – 30,247

Support29,50029,250

Cushion line~29,500

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

1-week move ±2.04% (±605 pts)
chance of a >3% week: 14%
range 29,036 – 30,247

ELEVATED

1-week move risk

📅 Driver: The NDX surge was almost entirely a concentration story: Nvidia's nine-percent day, Salesforce's twenty-two-percent best session since 2020, and CrowdStrike's twenty-percent rally drove the index while ten of eleven S&P sectors actually declined. That narrow breadth leaves the index exposed when the narrative shifts — and tonight it has: Marvell beat on revenue and EPS but guided gross margins ninety basis points lower sequentially, sending shares roughly seven percent lower after hours. Separately, a Politico report citing eight administration sources says the White House is actively deliberating broader semiconductor tariffs that could reach servers and data-center equipment — a direct tax on the AI infrastructure build-out that powered today's gains.

↩ Gap-fill: Monday's gap higher (the NVDA-driven surge into Thursday's open) was largely confirmed by the close, so there is no fresh unfilled gap to track into Friday — but the AH pressure from MRVL and the tariff headline mean any early weakness will be driven by new news, not a mechanical fill impulse. Warsh-driven gaps at the open of this magnitude (if they materialize) historically have a moderate fill tendency within the same session when the initial speech is digested, but not before the first hour of volatility clears.

↑ Gap Board

RUT Russell 2000 · IWM

Live 3,014 (+0.28%) · overnight 1SD ±0.59% (±18 pts) · 1-week 1SD ±2.30% · Small-caps sat out Thursday's AI party almost entirely, a caution flag about the breadth of the rally.

Overnight gap — odds Friday opens DOWN vs UP (from 3,014)

Lean (direction: futures/trend + skew): ~54% down / ~46% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%2,99931% 30%3,029

0.5–1%2,98417% 13%3,044

1–1.5%2,9695% 3%3,060

1.5–2%2,9541% 0%3,075

>2%<2,9540% 0%>3,075

🛡️ What “the cushion” means (gamma, in plain English) Dealer positioning in RUT currently reads negative — instead of absorbing moves, dealers amplify them, so pushes tend to extend rather than fade. ~3,000 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~54% down.

📆 1-Week Outlook — next ~5 trading sessions; ranked in the Big Move section below

1-Week move — odds the index closes DOWN vs UP over the next ~5 sessions (from 3,014)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%2,98417% 17%3,044

1–2%2,95414% 14%3,075

2–3%2,92410% 9%3,105

3–4%2,8946% 5%3,135

>4%<2,8945% 3%>3,135

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance3,0253,050

Live3,014

Overnight 1SD2,997 – 3,032

1-week 1SD2,945 – 3,084

Support3,0002,975

Cushion line~3,000

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

1-week move ±2.30% (±69 pts)
chance of a >3% week: 19%
range 2,945 – 3,084

ELEVATED

1-week move risk

📅 Driver: The Russell 2000 barely moved Thursday — consistent with the session's story: ten of eleven S&P sectors fell while only tech advanced. Small-caps carry no meaningful direct NVDA or CRM exposure, so they get none of the earnings lift. They do carry sensitivity to the macro backdrop — persistently sticky core PCE at 3.3% and the prospect of a hawkish Warsh signal tomorrow are headwinds for rate-sensitive smaller companies, which tend to carry more floating-rate debt than their large-cap peers. The index also sits below its 20-day moving average, a softer short-term technical setup versus SPX and NDX.

↩ Gap-fill: RUT's flat Thursday session creates no notable gap to fill; its directional cue Friday is almost entirely macro — Warsh's tone on rates matters more here than any single earnings print. Soft Warsh language (acknowledging growth risks) tends to help small-caps disproportionately; hawkish language tends to widen the large-cap / small-cap spread.

↑ Gap Board

SPX S&P 500 · SPY

Live 7,731 (+0.72%) · overnight 1SD ±0.43% (±33 pts) · 1-week 1SD ±1.69% · The benchmark masked weak internals behind a handful of mega-cap prints; Friday is a fresh test.

Overnight gap — odds Friday opens DOWN vs UP (from 7,731)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%7,69232% 42%7,770

0.5–1%7,6549% 15%7,808

1–1.5%7,6151% 1%7,847

1.5–2%7,5760% 0%7,886

>2%<7,5760% 0%>7,886

🛡️ What “the cushion” means (gamma, in plain English) On a calm day big options dealers buy dips and sell rips — a shock absorber that fades moves (a positive cushion). SPX is near its ~7,700 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~42% 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 7,731)

Lean (direction: futures/trend + skew): ~46% down / ~54% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%7,65421% 23%7,808

1–2%7,57614% 18%7,886

2–3%7,4997% 9%7,963

3–4%7,4223% 3%8,040

>4%<7,4221% 1%>8,040

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance7,7507,800

Live7,731

Overnight 1SD7,698 – 7,764

1-week 1SD7,600 – 7,862

Support7,7007,650

Cushion line~7,700

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

1-week move ±1.69% (±131 pts)
chance of a >3% week: 8%
range 7,600 – 7,862

ELEVATED

1-week move risk

📅 Driver: SPX's Thursday gain was a weighted-average artifact — a massive tech move inside a mostly red tape. The Warsh speech is the primary Friday driver for the broad index: the Fed's preferred gauge (core PCE) printed 3.3% for July, well above the 2% target, and Warsh has yet to define his framework publicly. A hawkish surprise — signaling willingness to resume hikes or abandon average-inflation-targeting — could reprice rate-sensitive equity multiples quickly. A constructive, data-dependent tone (not pre-committing) would likely be read as a mild relief rally. The semiconductor tariff headline is a secondary drag, concentrated in the tech weight of the index.

↩ Gap-fill: SPX has been in a confirmed positive-gamma regime, which mechanically tends to dampen intraday gap extremes as dealer hedges absorb early moves — but a Fed-speech catalyst large enough to reprice the rate outlook can overwhelm that buffer. Any gap wider than the one-sigma overnight band would be worth monitoring for a partial mean-reversion once the initial speech reaction settles.

↑ Gap Board

DJX Dow Jones · DIA

Live 535.7 (+0.20%) · overnight 1SD ±0.41% (±2.2 pts) · 1-week 1SD ±1.61% · The Dow barely participated in Thursday's rally and sits below its 20-day average — the most defensively positioned of the four.

Overnight gap — odds Friday opens DOWN vs UP (from 535.7)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%533.039% 39%538.4

0.5–1%530.311% 9%541.0

1–1.5%527.71% 0%543.7

1.5–2%525.00% 0%546.4

>2%<525.00% 0%>546.4

🛡️ 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. ~534 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~51% 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 535.7)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%530.323% 23%541.0

1–2%525.016% 16%546.4

2–3%519.68% 7%551.8

3–4%514.33% 2%557.1

>4%<514.31% 0%>557.1

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance537540

Live535.7

Overnight 1SD533.5 – 537.9

1-week 1SD527.1 – 544.3

Support534532

Cushion line~534

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

1-week move ±1.61% (±9 pts)
chance of a >3% week: 6%
range 527.1 – 544.3

ELEVATED

1-week move risk

📅 Driver: DJX's thin Thursday advance reflects its lower tech weight and higher exposure to industrials, financials, and consumer names that did not benefit from AI earnings. The index is the most directly sensitive to the macro rate signal from Warsh: financials within the Dow re-price rapidly on rate-path revisions, and industrials face tariff cross-currents (the semiconductor tariff deliberations are part of a broader trade-policy posture). The Iran/Hormuz corridor situation adds a soft commodity-cost overlay for any industrial names with energy-input exposure, though today's tanker attack appears contained.

↩ Gap-fill: DJX's small Thursday gain leaves no meaningful gap structure to play. Watch the 10 AM Warsh speech as the dominant gap-direction setter — a hawkish read would compress DJX further toward support; a neutral read would allow the index to drift back toward its recent range midpoint.

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	RUT (IWM)	±2.30% 69p	19%	53% down	Elevated
#2	NDX (QQQ)	±2.04% 605p	14%	48% down	Elevated
#3	SPX (SPY)	±1.69% 131p	8%	46% down	Elevated
#4	DJX (DIA)	±1.61% 9p	6%	51% 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. RUT and NDX top the list (~19% and ~14% chance of a >3% week) on their richer vol; DJX is the anchor (~6%). It’s still a modest tilt, not a forecast. Pair this with the per-index 1-week tables above for the full down/up split and price targets.

3 The Overnight Clock — Where Friday’s Gap Gets Made

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

Tonight (AH, now through ~11 PM ET)Monitor MRVL conference-call commentary on the margin guide and Q3 AI revenue confidence; any incrementally positive color from CEO Matt Murphy on custom-silicon bookings could stabilize the AH decline. Also watch for any White House or Commerce Dept. response to the semiconductor tariff Politico story.

Friday pre-market (~8:00–9:30 AM ET)BLS Preliminary Annual Payrolls Benchmark Revision due around 10 AM ET (note: one source places this at 14:00 UTC / 10 AM ET Friday) — this can quietly revise the employed-persons baseline used by the Fed; a large downward revision would add to rate-cut optionality and provide an offset to any hawkish Warsh signal.

Friday 10:00 AM ETFed Chair Kevin Warsh delivers his inaugural Jackson Hole keynote — his first major public address as Chair. Markets need to know: does he signal willingness to hike again to combat 3.3% core PCE, or does he adopt a wait-and-see posture? Hawkish = rate-sensitive selloff; constructive/neutral = partial relief rally. The speech is the single biggest intraday directional catalyst of the week.

Friday mid-session (11 AM–1 PM ET)First-hour Warsh reaction will likely overshoot; watch whether the initial gap direction holds or reverses once the full text is parsed. Positive-gamma regime in SPX tends to dampen sustained intraday directional drift — the reversion window is typically the 90 minutes after the initial spike settles.

Friday close (3:30–4 PM ET)End-of-week / end-of-month positioning flows into Friday's close; late-day dealer gamma effects and any option expiration hedging may amplify or mute the final directional push. Watch whether any intraday gap from the Warsh reaction is still open at 3:30 PM — unresolved gaps before close carry weekend risk.

4 Event Calendar — Next Few Sessions

When	Event	Why it matters for the gap
Now · live	Warsh Jackson Hole keynote, Friday 10 AM ET	The identified driver for the current tape.
Latest closes	Cash session	SPX +0.72% / NDX +1.43% / RUT +0.28% / DJX +0.20%. SPX 30-day implied vol 12.00.
Into Friday’s open	Futures + Asia/Europe trade	First live read on the overnight tone. Watch NDX ~29,500 and SPX ~7,700 at the open.
Friday, August 28, 2026 — 10:00 AM ET	Fed Chair Kevin Warsh — Inaugural Jackson Hole Keynote	His first major speech as Fed Chair. Core PCE at 3.3%, 30-year yields elevated, September FOMC (Sept 15–16) approaching — every word will be parsed for rate-hike or framework signals. High binary risk: hawkish surprise = multi-index selloff; neutral/dovish = relief. The speech has historically been the single largest single-session macro catalyst of the summer.
Friday, August 28, 2026 — ~10:00 AM ET (14:00 UTC)	BLS Preliminary Annual Payrolls Benchmark Revision	Annual recalibration of the employed-persons baseline — can quietly shift the Fed's view of labor-market tightness. A large downward revision would soften the inflation-via-wages narrative and give the Fed more flexibility.
Friday, September 5, 2026 (est. — typical first Friday; verify on BLS calendar)	August Nonfarm Payrolls	Last major labor-market read before the Sept 15–16 FOMC. July payrolls unexpectedly shed 23K jobs — another soft print would sharply raise rate-cut bets and reverse any Warsh-driven hawkish sentiment.
Friday, September 11, 2026 (confirmed — multiple calendar sources)	August CPI Report	The final inflation read before the September FOMC rate decision. With core PCE at 3.3% and Warsh under pressure on his framework, any upside CPI surprise re-opens hike discussion; a downside print would be the clearest path to a September pause or cut.

⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. Jackson Hole keynote (Aug 28, 10 AM ET) and the BLS Benchmark Revision (Aug 28) are confirmed by multiple search results from this run. The September 5 NFP date is an estimate based on the typical first-Friday pattern and an FXStreet forward preview; verify against the official BLS release schedule before acting. The September 11 CPI date is confirmed by multiple independent calendar sources (TradersQuant, TheRightTrader, checked August 23, 2026). September 15–16 FOMC is confirmed by Yahoo Finance and multiple Fed-schedule sources.

5 Overnight + 1-Week Playbook

✅ DO

Treat Friday's open as a Warsh speech reaction first — size accordingly and wait for the first 20–30 minutes of post-speech price discovery before making directional assumptions.
Track MRVL's pre-market level against Thursday's close: a partial recovery (less than ~3–4% down) would signal the AI-semi trade is resilient; a deepening decline toward the full AH loss would pressure NDX names with elevated multiples at the open.
Watch the RUT / NDX spread: if Warsh signals a dovish or neutral tone, small-caps are the most likely beneficiary of a rate-expectation unwind and may outperform meaningfully; if hawkish, the spread likely widens further.
Use the positive-gamma SPX structure as a guide — if early Warsh-driven moves stay inside the one-sigma overnight band, the mechanical environment is suppressing follow-through; only moves that breach that band are likely to sustain direction into the afternoon.
Note the semiconductor tariff story as a background risk, not a confirmed policy action — the White House has not formally announced anything, and the proposal could still be substantially revised. Verify before treating it as a trading catalyst.
Respect the trend context — the picture is split: 2 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 front-run the Warsh speech with large directional bets — his communications track record since taking over is thin, and the market has been explicitly waiting for clarity he may or may not provide.
Don't read Thursday's NDX strength as a broad risk-on signal; breadth was poor across nearly all sectors, and the MRVL after-hours and semi-tariff headline are a reminder that the AI trade carries two-sided event risk even on a beat.
Don't ignore the BLS Benchmark Revision — while it is not a market-mover in normal times, a large downward revision to payrolls (as happened in the 2024 cycle) can shift the Fed's read of labor-market tightness quickly and interact with the Warsh speech narrative.
Don't anchor to Thursday's closing levels as support/resistance without adjusting for the AH MRVL move and any overnight futures drift — the gap into Friday's open may set a materially different reference point than the 4 PM print.
Don't conflate the Warsh speech's market impact with an FOMC rate decision — no rates change on Friday (next FOMC decision is September 15–16); the speech affects expectations, not policy itself.

📌

Watch NDX ~29,500 and SPX ~7,700, 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.

Post-Market Run, time-stamped Thursday, August 27, 2026, ~9:04 PM ET, into a overnight gap into Friday with a 1-week outlook — it goes stale quickly. Index levels and % moves are live index prints (SPX +0.72% / NDX +1.43% / RUT +0.28% / DJX +0.20%). 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 2026-08-27 (post-market run) · mwtradecoach.com