NoVo Analyst · Pre-Market Primer

BOTTOM LINE: Index futures carry a mild bullish gap into Friday's open, but intraday continuation hinges entirely on whether market structure can absorb macro volatility surrounding Fed Chair Kevin Warsh's Jackson Hole speech. THE SETUP Equities open Friday with S&P 500 futures up +0.12%, carrying overnight upside momentum following a 7731.00 low sweep that reclaimed session VWAP and pushed toward prior-day highs. The macro catalyst dominating today's tape is Federal Reserve Chair Kevin Warsh's keynote address at the Jackson Hole Economic Policy Symposium. With long-end Treasury yields remaining elevated and sticky inflation pressures capping broad expansion, the tape favors a rotational, catalyst-driven morning session. High tech-duration participation gives large-cap benchmarks an early upward drift, but overall directional commitment will likely remain compressed until macro clarity emerges from Wyoming. DEALER POSITIONING Market maker posture reveals a clear structural division between large caps and small caps. Both SPY ($772.11) and QQQ ($720.41) are insulated by positive-gamma regimes, where dealer hedging acts as a mechanical shock absorber—buying pullbacks and selling breakouts to anchor price near central gravity. In contrast, IWM ($299.54) operates in a negative-gamma posture, where dealer hedging mechanically amplifies price directional moves, leaving small caps vulnerable to wider intraday slippage if interest-rate volatility spikes. Across the options chain, overall delta carries a net-long bias, but elevated downside put skew across QQQ and IWM reflects persistent institutional demand for tail-risk protection ahead of the Fed address. LEVELS TO WATCH For SPY, buyers maintain structural control into the open as long as price holds above pre-market low support at 770.77 and after-hours low support at 769.62. Preserving trade above this band keeps the path clear to test pre-market high resistance at 772.55, prior-day high resistance at 772.36, and after-hours high resistance at 771.20. A 15-minute candle close back below 769.62 invalidates the immediate bullish structure and exposes downside gravity toward yesterday's low at 767.16. For QQQ and IWM, buyers must hold spot above their respective session VWAPs to preserve broad index alignment; losing VWAP transfers tactical momentum back to sell-side hedging. DEALER POSITIONING MAP · SPY / QQQ / IWM Vol environment: VIX 14.5 — 3th percentile of the past year (very low vol). SPY $772.01 Net GEX: +$1.7B · positive — dealers dampen moves (grind / mean-revert) Gamma Flip: $770.15 Gravity (magnet): $770.97 Call Wall: $780.00 Put Wall: $760.00 Historically (this setup): resolved down 53% of the next hour · median -0.006% · n=266 across 6 sessions Same structure, next SESSION: resolved up 55% · median +0.042% · n=439 sessions (reconstructed, 2008 on) Expected move: ±$12.02 (±1.6%) today · ±$26.88 (±3.5%) this week Put/Call skew: +3.4 vol pts · puts bid — downside hedging demand MM skew · 0DTE +3.4 / next +1.5 vol pts · 0DTE fear building vs the next expiry IV rank: 100 (22d) · ATM IV 24.7% Off-exchange short volume: 53.6% · 46th pct of 120d · typical Scheduled event: AVGO reports after close on 2026-09-02 · widens the band, says nothing about direction QQQ $720.51 Net GEX: +$2.6B · positive — dealers dampen moves (grind / mean-revert) Gamma Flip: $714.52 Gravity (magnet): $723.65 Call Wall: $730.00 Put Wall: $717.50 Historically (this setup): resolved down 55% of the next hour · median -0.017% · n=1983 across 7 sessions Same structure, next SESSION: resolved up 53% · median +0.045% · n=507 sessions (reconstructed, 2008 on) Expected move: ±$8.44 (±1.2%) today · ±$20.54 (±2.9%) this week Put/Call skew: +3.1 vol pts · puts bid — downside hedging demand MM skew · 0DTE +3.1 / next +2.4 vol pts · 0DTE fear building vs the next expiry IV rank: 45 (22d) · ATM IV 18.6% Off-exchange short volume: 45.2% · 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 $299.54 Net GEX: -$476M · negative — dealers amplify moves (moves extend) Gamma Flip: $301.41 Gravity (magnet): $298.46 Call Wall: $303.00 Put Wall: $297.00 Historically (this setup): resolved down 60% of the next hour · median -0.056% · n=571 across 6 sessions Same structure, next SESSION: resolved up 53% · median +0.072% · n=159 sessions (reconstructed, 2008 on) Expected move: ±$4.07 (±1.4%) today · ±$9.10 (±3.0%) this week Put/Call skew: +2.6 vol pts · puts bid — downside hedging demand MM skew · 0DTE +2.6 / next +1.8 vol pts · 0DTE fear building vs the next expiry IV rank: 96 (22d) · ATM IV 21.6% Off-exchange short volume: 69.8% · 82nd pct of 120d · heavier than usual 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.