NoVo Analyst · Pre-Market Primer

BOTTOM LINE: Equities enter Thursday's open with a bullish gap led by tech duration after Nvidia's stellar earnings beat, though elevated Treasury yields continue to cap broad-market momentum ahead of Federal Reserve Chair Kevin Warsh's Jackson Hole speech. THE SETUP Index futures are carrying a positive tone pre-market, with S&P 500 futures up 0.29% following Nvidia's fiscal Q2 revenue report of $96.2 billion and fiscal Q3 revenue guidance of $108 billion. The tech beat reignited buy-side demand across AI and mega-cap semiconductor names, driving overnight liquidity back toward the upper end of the weekly range. However, broader expansion remains constrained as long-end Treasury yields stay elevated following yesterday's sticky 3.3% core PCE inflation print. Overnight price action saw futures sweep liquidity up to 7741.25 before retracing to test support near 7707.00. Expect a rotational, catalyst-driven open where tech leads while broad market participation hinges on whether yields ease during Chair Warsh's Jackson Hole address. DEALER POSITIONING Market maker posture reflects clear structural alignment across all three major benchmark funds. SPY and QQQ operate in positive-gamma regimes, while IWM sits in a contrasting negative-gamma environment. For SPY and QQQ, dealer hedging mechanics act as a shock absorber—mechanically buying dips and selling rallies to dampen intraday volatility and keep price anchored near central gravity levels. Conversely, IWM's negative-gamma setup forces market makers to hedge by selling into weakness and buying into strength, creating an environment where small-cap moves tend to accelerate and extend rather than mean-revert. Across the options chains, standing open interest exhibits a mild net-long delta tilt alongside persistent 0DTE call demand, though downside put skew across QQQ indicates active institutional hedging against interest-rate volatility. LEVELS TO WATCH For SPY ($768.30), buyers hold immediate control as long as price trades above yesterday's high at 767.35 and defends pre-market low support at 767.91. Maintaining trade above this support zone targets pre-market high resistance at 770.24, with a break above opening after-hours high resistance at 770.86. A 15-minute close back below 767.35 invalidates the immediate bullish posture and opens downside gravity toward after-hours low support at 765.81 and yesterday's low at 763.93. For QQQ ($717.77) and IWM ($298.48), buyers must sustain price above their respective opening VWAPs to confirm broad market alignment; failing to clear session VWAPs leaves both funds susceptible to yield-driven mean reversion. DEALER POSITIONING MAP · SPY / QQQ / IWM Vol environment: VIX 15.0 — 8th percentile of the past year (very low vol). SPY $768.30 Net GEX: +$1.4B · positive — dealers dampen moves (grind / mean-revert) Gamma Flip: $763.19 Gravity (magnet): $767.88 Call Wall: $770.00 Put Wall: $764.00 Historically (this setup): resolved down 57% of the next hour · median -0.018% · n=1424 across 6 sessions Expected move: ±$13.39 (±1.7%) today · ±$29.94 (±3.9%) this week Put/Call skew: +1.7 vol pts · puts bid — downside hedging demand MM skew · 0DTE +1.7 / next +1.4 vol pts · 0DTE fear building vs the next expiry IV rank: 100 (21d) · ATM IV 27.7% Off-exchange short volume: 53.2% · 44th pct of 120d · typical Scheduled event: AVGO reports after close on 2026-09-02 · widens the band, says nothing about direction QQQ $717.79 Net GEX: +$553M · positive — dealers dampen moves (grind / mean-revert) Gamma Flip: $715.58 Gravity (magnet): $712.16 Call Wall: $720.00 Put Wall: $700.00 Expected move: ±$10.17 (±1.4%) today · ±$22.74 (±3.2%) this week Put/Call skew: +2.3 vol pts · puts bid — downside hedging demand MM skew · 0DTE +2.3 / next +2.9 vol pts · 0DTE complacency vs the next expiry IV rank: 64 (21d) · ATM IV 22.5% Off-exchange short volume: 46.9% · 5th pct of 120d · lighter than usual Scheduled event: AVGO reports after close on 2026-09-02 · widens the band, says nothing about direction IWM $298.48 Net GEX: -$251M · negative — dealers amplify moves (moves extend) Gamma Flip: $299.93 Gravity (magnet): $298.01 Call Wall: $302.00 Put Wall: $295.00 Expected move: ±$2.80 (±0.9%) today · ±$7.98 (±2.7%) this week Put/Call skew: +1.0 vol pts · roughly balanced MM skew · 0DTE +1.0 / next +1.9 vol pts · 0DTE complacency vs the next expiry IV rank: 48 (21d) · ATM IV 14.9% Off-exchange short volume: 57.4% · 24th pct of 120d · typical 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 — as today's options decay, dealer delta drifts toward the walls: a mild pull into the close (the pin). 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.