NoVo Analyst · Pre-Market Primer

BOTTOM LINE: Index futures are mounting a modest pre-market bounce, but underlying market structure remains fragile as macro headwinds capped risk appetite across all three major benchmarks. THE SETUP Equity futures enter the Friday cash session holding dynamic gains above overnight session VWAP, stabilized by early global dip-buying. However, the broader backdrop is weighed down by escalating geopolitical risk in the Middle East—where military conflict and shipping disruptions in the Strait of Hormuz keep energy shock fears alive—alongside elevated Treasury yields. Policy uncertainty is compounding the friction as a divided Federal Reserve scales back forward guidance ahead of the Jackson Hole symposium. For today's session, expect an opening range test where early strength faces immediate structural supply overhead. DEALER POSITIONING Market maker positioning across SPY, QQQ, and IWM shows key structural nuances that govern how each index handles intraday volatility. Options market makers in SPY are operating in a positive net gamma regime, meaning dealer hedging acts as an institutional shock absorber, buying into pullbacks and selling into rallies to encourage mean-reversion around central gravity. QQQ exhibits a short gamma posture, where dealer hedging operates in the direction of the prevailing trend, mechanically amplifying directional expansions and leaving tech duration vulnerable to yield spikes. IWM sits in a neutral-to-positive posture, stabilizing small-caps near key structural levels. Across the options book, overall positioning reflects a slight net-long delta bias alongside elevated put skew, confirming sustained demand for institutional tail-risk protection. LEVELS TO WATCH For SPY, holding above the pre-market low of $764.24 and maintaining spot price above the primary gamma-flip level keeps the bullish mean-reversion thesis intact toward overhead targets at the pre-market high of $766.84 and the primary call wall at $770.00. A breach below $764.24 would invalidate immediate upside momentum and expose downside liquidity toward the $762.00-$762.05 support floor (after-hours low and prior-day low). For QQQ and IWM, confirm whether spot prices hold above their respective intraday VWAPs and gamma-flip boundaries at the open; holding above those levels allows tech and small-caps to participate in the broader bounce, while a breakdown below would re-engage short-gamma acceleration to the downside. EVENT PLAYBOOK — Monthly OPEX A large tranche of options gamma expires at today's 4:00pm close. Expect the current gamma pins to hold into the print, then LOOSEN as that gamma rolls off — the dealer map resets for next week, and moves that were being dampened can free up afterward. The pins into the close: Call Wall $770.00 / Put Wall $765.00. Today's expected move: ±$11.98 (±1.6%). Positioning context. DEALER POSITIONING MAP · SPY / QQQ / IWM Vol environment: VIX 15.5 — 15th percentile of the past year (very low vol). SPY $765.56 Net GEX: +$494M · positive — dealers dampen moves (grind / mean-revert) Gamma Flip: $764.54 Gravity (magnet): $766.03 Call Wall: $770.00 Put Wall: $765.00 Expected move: ±$11.98 (±1.6%) today · ±$26.79 (±3.5%) this week Put/Call skew: +4.8 vol pts · puts bid — downside hedging demand MM skew · 0DTE +4.8 / next +2.1 vol pts · 0DTE fear building vs the next expiry ATM IV: 24.8% QQQ $715.15 Net GEX: -$2.0B · negative — dealers amplify moves (moves extend) Gamma Flip: $721.30 Gravity (magnet): $708.23 Call Wall: $720.00 Put Wall: $705.00 Historically (this setup): resolved down 53% of the next hour · median -0.015% · n=554 across 5 sessions Expected move: ±$8.52 (±1.2%) today · ±$23.43 (±3.3%) this week Put/Call skew: +5.5 vol pts · puts bid — downside hedging demand MM skew · 0DTE +5.5 / next +3.4 vol pts · 0DTE fear building vs the next expiry ATM IV: 18.9% IWM $299.94 Net GEX: -$586M · negative — dealers amplify moves (moves extend) Gamma Flip: $302.21 Gravity (magnet): $295.56 Call Wall: $300.00 Put Wall: $295.00 Historically (this setup): resolved up 66% of the next hour · median +0.106% · n=1192 across 5 sessions Expected move: ±$3.42 (±1.1%) today · ±$8.47 (±2.8%) this week Put/Call skew: +3.7 vol pts · puts bid — downside hedging demand MM skew · 0DTE +3.7 / next +2.5 vol pts · 0DTE fear building vs the next expiry ATM IV: 18.1% Gamma Flip = where dealer hedging flips from dampening to amplifying moves. Call/Put Walls = the largest call/put gamma strikes (pin / resistance above, support below). Expected move = the ±1σ range priced into at-the-money options. Public options data. FLOW DYNAMICS Charm — a large gamma tranche expires at today's close, so dealer delta-hedging intensifies into it: the classic OPEX pin toward the nearest wall, which then releases afterward. Vanna — vol is low and dealers are long gamma; a VIX spike would flip them toward selling into weakness (amplifying) — the risk that changes the map. Second-order dealer flow context.