Daily AI Overnight Gap Risk Report — Live Mid-Session Run — Tuesday, September 1, 2026

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

⚠️

September opens with a thud as renewed U.S.-Iran tanker strikes in the Strait of Hormuz spike oil and global bond yields, sending growth stocks and chips sharply lower to start the month.

Closes: SPX −0.43% / NDX −0.93% / RUT −0.70% / DJX −0.41%. The drift+skew lean spreads 61–69% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Overnight tanker hits, Hormuz; Warsh hike signal.

🎯 The 60-Second Read

How the four closed. NDX was weakest at −0.93%; DJX was strongest at −0.41%. This was a broad session.
Highest gap risk: NDX (overnight ±0.64%, 1-week ±2.49%). Calmest: DJX (overnight ±0.42%).
The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~61% down (SPX) to ~69% down (NDX) — each index’s own read, not one pinned number.
The dual shock — Hormuz tanker strikes plus Warsh's hawkish Jackson Hole signal — is not a coin-flip catalyst; both vectors independently justify a downside lean, and they are reinforcing each other through the oil-inflation-Fed loop.
Chips and mega-cap tech (NDX constituents) are carrying a disproportionate share of today's pain; a stabilization in that group is necessary — though not sufficient — for a Wednesday gap-fill attempt.
The September 4 payrolls report (Friday) is the next data point that could either validate or complicate the Warsh rate-hike narrative — a hot number would firm the hike; a cold one re-opens the hold debate. Position sizing before that print deserves extra caution.
⚠ Watch: Watch whether the ISM Manufacturing print and JOLTs job openings data (due 10 AM ET today) add a second shock layer to the geopolitical pressure — a soft number validates rate-hike fears while a strong one paradoxically does the same via Fed credibility concerns. The overnight tape Wednesday morning — any ceasefire signal or escalation in the Strait — is the true binary for gap direction. SPX 30-day implied vol is 12.60.

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)	29,184	−0.9%	±0.64% 185p	69% down	Elevated	S 28,750 / 29,000 · R 29,250 / 29,500
RUT (IWM)	2,936	−0.7%	±0.62% 18p	68% down	Elevated	S 2,900 / 2,925 · R 2,950 / 2,975
SPX (SPY)	7,653	−0.4%	±0.45% 35p	61% down	Elevated	S 7,600 / 7,625 · R 7,675 / 7,700
DJX (DIA)	529.7	−0.4%	±0.42% 2.2p	61% down	Elevated	S 526 / 528 · R 531 / 533

Breadth read: this was a broad session. The gradient, strongest to weakest: DJX −0.41% > SPX −0.43% > RUT −0.70% > NDX −0.93%. 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) Expiration

Current price Lower level Upper level Current VIX

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Never touches either

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Touches lower

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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, 1-Week and Expiration use its 30-day option-implied IV. Expiration counts the trading sessions between now and the date you pick — weekends and market holidays do not count — and stretches the move by the square root of that number. Note it will read wider than Overnight for tomorrow: overnight prices only the gap, a fraction of a session’s variance, while one session at Expiration is a whole trading day. 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 ~11:30 AM 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 29,184 (−0.93%) · overnight 1SD ±0.64% (±185 pts) · 1-week 1SD ±2.49% · Tech and chips are the sharpest edge of today's risk-off blade, with Alphabet and Nvidia leading NDX lower as rising long yields compress growth-stock valuations.

Overnight gap — odds Wednesday opens DOWN vs UP (from 29,184)

Lean (direction: futures/trend + skew): ~69% down / ~31% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%29,03831% 22%29,330

0.5–1%28,89223% 8%29,476

1–1.5%28,74611% 1%29,622

1.5–2%28,6003% 0%29,767

>2%<28,6001% 0%>29,767

This is a live mid-session run into a overnight gap into Wednesday (this session’s close → Wednesday 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 Wednesday’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 17.70 · 1-day 15.3 · VXN 20.87

🛡️ 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 ~69% 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 29,184)

Lean (direction: futures/trend + skew): ~61% down / ~39% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%28,89216% 15%29,476

1–2%28,60015% 11%29,767

2–3%28,30812% 7%30,059

3–4%28,0168% 4%30,351

>4%<28,01610% 2%>30,351

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

Resistance29,25029,500

Live29,184

Overnight 1SD28,998 – 29,369

1-week 1SD28,456 – 29,911

Support29,00028,750

Cushion line~29,000

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

1-week move ±2.49% (±728 pts)
chance of a >3% week: 23%
range 28,456 – 29,911

ELEVATED

1-week move risk

📅 Driver: Overnight attacks on Saudi and South Korean-flagged tankers in the Strait of Hormuz reignited a conflict now in its sixth month, pushing crude above $90 and driving the U.S. 10-year Treasury yield toward multi-month highs near 4.78%. Higher long rates hit rate-sensitive, high-multiple tech names the hardest. Fed Chair Warsh's Jackson Hole warning last Friday — that underlying inflation hasn't meaningfully improved — already had markets pricing roughly a two-thirds probability of a September hike; this morning's oil spike compounds that pressure directly on NDX's heaviest weights.

↩ Gap-fill: Geopolitical-shock gaps in NDX tend to fill only when the catalyst visibly de-escalates — a ceasefire rumor, a diplomatic headline, or an oil reversal. Absent that, the oil-and-yields double-tap makes this the kind of gap that sits open for days; do not assume mean-reversion by default.

↑ Gap Board

RUT Russell 2000 · IWM

Live 2,936 (−0.70%) · overnight 1SD ±0.62% (±18 pts) · 1-week 1SD ±2.44% · Small-caps are catching the rate-hike fear more directly than the geopolitical shot — floating-rate debt exposure makes RUT acutely vulnerable if the September FOMC delivers.

Overnight gap — odds Wednesday opens DOWN vs UP (from 2,936)

Lean (direction: futures/trend + skew): ~68% down / ~32% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%2,92131% 23%2,950

0.5–1%2,90623% 8%2,965

1–1.5%2,89210% 1%2,980

1.5–2%2,8773% 0%2,994

>2%<2,8770% 0%>2,994

🛡️ 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. ~2,925 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~68% 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 2,936)

Lean (direction: futures/trend + skew): ~61% down / ~39% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%2,90616% 15%2,965

1–2%2,87715% 11%2,994

2–3%2,84812% 7%3,024

3–4%2,8188% 4%3,053

>4%<2,8189% 2%>3,053

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance2,9502,975

Live2,936

Overnight 1SD2,917 – 2,954

1-week 1SD2,864 – 3,007

Support2,9252,900

Cushion line~2,925

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

1-week move ±2.44% (±72 pts)
chance of a >3% week: 22%
range 2,864 – 3,007

ELEVATED

1-week move risk

📅 Driver: The Russell 2000 entered September already in its weakest five-day momentum of the four major indices, and sits below both its 20- and 50-day moving averages. Small-cap balance sheets carry proportionally more variable-rate borrowing, so a confirmed Fed hike on September 16 would lift funding costs immediately. Today's soft tape is partly a rates story as much as a geopolitics one for this index — energy cost pass-through to small-cap manufacturing and transport names amplifies the bite.

↩ Gap-fill: RUT gaps driven by rate-expectation shifts — rather than pure market-structure events — are slower to recover; the index needs either a dovish data surprise or an oil reversal before buyers step in at scale. This type of gap has a lower near-term fill probability than an SPX or NDX technical gap.

↑ Gap Board

SPX S&P 500 · SPY

Live 7,653 (−0.43%) · overnight 1SD ±0.45% (±35 pts) · 1-week 1SD ±1.77% · The broad index is absorbing today's dual shock with relative resilience — defensives like healthcare and staples providing an offset — but the positive-gamma structure is doing real work keeping moves orderly.

Overnight gap — odds Wednesday opens DOWN vs UP (from 7,653)

Lean (direction: futures/trend + skew): ~61% down / ~39% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%7,61540% 32%7,691

0.5–1%7,57618% 7%7,729

1–1.5%7,5383% 0%7,768

1.5–2%7,5000% 0%7,806

>2%<7,5000% 0%>7,806

🛡️ 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 ~7,625 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~61% 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 7,653)

Lean (direction: futures/trend + skew): ~57% down / ~43% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%7,57622% 21%7,729

1–2%7,50017% 14%7,806

2–3%7,42310% 6%7,882

3–4%7,3475% 2%7,959

>4%<7,3472% 1%>7,959

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance7,6757,700

Live7,653

Overnight 1SD7,618 – 7,687

1-week 1SD7,517 – 7,789

Support7,6257,600

Cushion line~7,625

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

1-week move ±1.77% (±136 pts)
chance of a >3% week: 9%
range 7,517 – 7,789

ELEVATED

1-week move risk

📅 Driver: SPX sits in positive gamma (dealers long gamma, inclined to sell rallies / buy dips — a stabilizing force), which is moderating intraday swings compared to RUT and NDX. Six of eleven S&P sectors ended Monday in the red, with tech and utilities the weakest; today the pattern is similar with healthcare and energy counterbalancing the growth-stock selloff. The bond-yield overhang — not just the geopolitical shock — is the stickier headwind: elevated yields reduce the equity risk premium buffer that supported summer highs.

↩ Gap-fill: SPX's positive gamma regime tends to act as a gravitational pull back toward dealer hedge-points, giving modest gaps — those inside the one-standard-deviation overnight range — a better-than-average fill rate. A gap that stays within the engine's computed band has a reasonable chance of partial recovery; one that exceeds the band suggests a regime shift and warrants more caution.

↑ Gap Board

DJX Dow Jones · DIA

Live 529.7 (−0.41%) · overnight 1SD ±0.42% (±2.2 pts) · 1-week 1SD ±1.65% · Blue-chips are the most insulated of the four today — energy names like Chevron providing a partial cushion against the broad decline — but yield-sensitive industrial heavyweights limit any upside.

Overnight gap — odds Wednesday opens DOWN vs UP (from 529.7)

Lean (direction: futures/trend + skew): ~61% down / ~39% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%527.042% 33%532.3

0.5–1%524.417% 6%535.0

1–1.5%521.72% 0%537.6

1.5–2%519.10% 0%540.3

>2%<519.10% 0%>540.3

🛡️ 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. ~528 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~61% 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 529.7)

Lean (direction: futures/trend + skew): ~57% down / ~43% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%524.423% 22%535.0

1–2%519.118% 14%540.3

2–3%513.810% 6%545.6

3–4%508.54% 2%550.9

>4%<508.51% 0%>550.9

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance531533

Live529.7

Overnight 1SD527.5 – 531.9

1-week 1SD521.0 – 538.4

Support528526

Cushion line~528

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

1-week move ±1.65% (±9 pts)
chance of a >3% week: 7%
range 521.0 – 538.4

ELEVATED

1-week move risk

📅 Driver: The Dow's tighter 30-stock composition gives it a natural oil hedge: energy sector gains from the Hormuz spike partially offset losses in tech and growth components. Merck, J&J, and Chevron were noted gainers mid-session, while Caterpillar and other capital-goods names felt the pinch from tightening financial conditions. DJX is the only major index holding above its 50-day moving average today, suggesting institutional buyers remain engaged at broader support.

↩ Gap-fill: The Dow's sectoral diversity and negative-gamma structure (wider natural price range) mean small geopolitical-driven gaps tend to close within one to two sessions once the headline shock stabilizes — but the Fed hike overhang is a second-order drag that could slow the recovery.

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)	±2.49% 728p	23%	61% down	Elevated
#2	RUT (IWM)	±2.44% 72p	22%	61% down	Elevated
#3	SPX (SPY)	±1.77% 136p	9%	57% down	Elevated
#4	DJX (DIA)	±1.65% 9p	7%	57% 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 (~23% and ~22% chance of a >3% week) on their richer vol; DJX is the anchor (~7%). 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 Wednesday’s Gap Gets Made

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

Today 10:00 AM ET (already passed — results in tape)ISM Manufacturing PMI (Aug) and JOLTs Job Openings — check actual vs. forecast 55.2 / 7.33M; a beat on ISM prices paid sub-index would amplify Fed-hike fears and extend NDX pressure

This evening ET (after close)Scan for any Strait of Hormuz military or diplomatic developments overnight — a ceasefire signal is the fastest path to a gap-fill; a further escalation or new tanker incident widens the downside for Wednesday's open

Wednesday Sep 2, 8:15 AM ETADP National Employment Report (Aug private payrolls) — the first hard labor-market data since July's surprise -23K NFP; a weak print re-opens the 'Fed on hold' trade and could lift tech; a strong number cements the hike

Thursday Sep 3, 8:30–10:00 AM ETInitial Jobless Claims + ISM Services PMI — services PMI prices-paid sub-index is the Fed's current inflation focus; a Services print above 57 with elevated prices would be the worst combination for equities

Friday Sep 4, 8:30 AM ETNonfarm Payrolls (Aug Employment Situation) — the last major labor print before the Sep 15–16 FOMC decision; this report will set the tone for all four indices into the Labor Day weekend and the Fed meeting the following week

4 Event Calendar — Next Few Sessions

When	Event	Why it matters for the gap
Now · live	Overnight tanker hits, Hormuz; Warsh hike signal	The identified driver for the current tape.
Latest closes	Cash session	SPX −0.43% / NDX −0.93% / RUT −0.70% / DJX −0.41%. SPX 30-day implied vol 12.60.
Into Wednesday’s open	Futures + Asia/Europe trade	First live read on the overnight tone. Watch NDX ~29,000 and SPX ~7,625 at the open.
Wednesday, September 2, 2026	ADP Private Payrolls (Aug) — 8:15 AM ET	First hard labor read since July's surprise job loss; sets the frame for Friday's NFP and the Sep 16 FOMC rate decision. Confirmed on NY Fed economic indicator calendar.
Friday, September 4, 2026	Nonfarm Payrolls / Employment Situation (Aug) — 8:30 AM ET	The final major macro input before the September 15–16 FOMC meeting; a strong print cements a 25bp hike and extends the bond-yield pressure on growth stocks. Confirmed on NY Fed calendar.
Tuesday–Wednesday, September 15–16, 2026	FOMC Rate Decision — Sep 16 at 2:00 PM ET; SEP / dot-plot released	The pivot event for Q3: markets currently pricing ~66% probability of a 25bp hike to 3.75–4.00%. Chair Warsh press conference at 2:30 PM ET. Confirmed from published Fed FOMC minutes (July 28–29 meeting).
Thursday, September 11, 2026	CPI (Aug) — 8:30 AM ET	The last CPI print before the FOMC meeting; with PCE already running well above the 2% target, a hot number would all but lock in the hike and apply additional pressure to rate-sensitive NDX and RUT. Confirmed on NY Fed calendar.

⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. ADP (Sep 2), NFP (Sep 4), CPI (Sep 11), and the FOMC meeting (Sep 15–16, decision Sep 16 at 2 PM ET) are all confirmed from the NY Federal Reserve economic indicator calendar and the published July 28–29 FOMC minutes. The Sep 16 2:00 PM ET decision time and dot-plot release are confirmed via FedRateCalc citing the Federal Reserve Board. Earnings dates for individual names this week (e.g., LULU) are tentative per Kiplinger/Briefing.com — verify before positioning around specific tickers.

5 Overnight + 1-Week Playbook

✅ DO

Treat the geopolitical headline as a live variable, not a fixed input — set a news alert for any Strait of Hormuz ceasefire or escalation signal before Wednesday's open; that single binary can reprice all four indices overnight.
Use the engine's one-standard-deviation overnight bands as your reference frame: a gap that opens inside the band deserves different treatment than one that opens outside it — size accordingly.
Watch the bond market first each morning this week: if the 10-year Treasury yield continues to climb, the NDX lean stays intact regardless of geopolitical noise; if yields pull back, the gap-fill probability rises for SPX and NDX.
Before the Friday NFP print, reduce open risk to manageable size — the labor report is the last major data point before the Sep 15–16 FOMC and will trigger sharp repricing in both directions.
Verify any individual-stock earnings date from a company's own IR page before trading it — broker calendars and third-party sites carry tentative dates that can shift by a day without notice.
Respect the trend context — the picture is split: 0 of 4 sit above their 20-day average and 2 of 4 above their 50-day. Mixed trend — weaker evidence for either buying dips or selling rallies.

❌ DON’T

Don't assume a geopolitical-shock gap fills automatically within one session — Hormuz-driven oil spikes have historically taken multiple days of de-escalation signals before growth stocks recover.
Don't fade the NDX lean mechanically without checking whether the oil-yield complex has reversed; the 69 tilt has two independent drivers today, not one.
Don't extrapolate RUT weakness into a credit-crisis read — this is a rate-path repricing event, not a liquidity event; small-cap pain can persist without becoming systemic.
Don't position heavily through the ADP report (Wednesday) or NFP (Friday) without acknowledging that recent ADP prints have been well below consensus and July NFP itself surprised sharply to the downside — the direction of the surprise matters more than the level.
Don't treat the 61 or 61 tilt as a directional trade signal — it is a conditional probability lean, not a forecast; always verify with your own risk parameters before acting.

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.

Live Mid-Session Run, time-stamped Tuesday, September 1, 2026, ~11:30 AM ET, into a overnight gap into Wednesday with a 1-week outlook — it goes stale quickly. Index levels and % moves are live index prints (SPX −0.43% / NDX −0.93% / RUT −0.70% / DJX −0.41%). 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 2026-09-01 (live mid-session run) · mwtradecoach.com