Daily AI Overnight Gap Risk Report — Live Mid-Session Run — Wednesday, September 2, 2026

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

⚠️

A reignited US–Iran exchange and a fresh tanker attack in the Strait of Hormuz kept crude above $90 and drove Treasury yields to multi-year highs, overshadowing a mixed earnings slate and a soft ADP read that leaves the Fed's September decision a live debate.

Closes: SPX +0.64% / NDX +0.28% / RUT +0.80% / DJX +0.61%. The drift+skew lean spreads 48–58% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Strait of Hormuz tanker strikes; Fed hike risk.

🎯 The 60-Second Read

How the four closed. NDX was weakest at +0.28%; RUT was strongest at +0.80%. This was a broad session.
Highest gap risk: NDX (overnight ±0.65%, 1-week ±2.56%). Calmest: DJX (overnight ±0.42%).
The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~48% down (SPX) to ~58% down (NDX) — each index’s own read, not one pinned number.
Sell-the-news fatigue is real: Dell spiked then reversed hard after its beat-and-raise; Palo Alto beat on revenue but margin concerns sent shares lower; MongoDB beat but tanked anyway — the after-hours reaction function for even clean beats is punishing, which sets a high bar for Broadcom's read-through to Thursday's open.
The reaction function is inverted: A strong August jobs report (Friday, Sep 4) is now the hawkish outcome — it confirms the Fed has room to hike Sep 16. A soft print is what takes hike risk off the table. Verify positioning before Friday's open.
Iran ceasefire risk is asymmetric: Any credible de-escalation headline — a ceasefire signal, diplomatic back-channel, or CENTCOM statement — could unwind the oil/yield surge quickly; conversely, an escalation toward Iranian energy infrastructure would be a second-order supply shock. Monitor overnight headlines actively.
⚠ Watch: Broadcom's after-close report is the single largest volatility switch for Thursday's open — NDX and the broader tape will price the AI-demand narrative from that print overnight. Separately, watch whether the Fed's Beige Book (2 PM ET today) adds any hawkish color that could nudge rate-hike odds and pressure the long end of the Treasury curve further. SPX 30-day implied vol is 12.70.

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)	29,159	+0.3%	±0.65% 191p	58% down	High	S 28,750 / 29,000 · R 29,250 / 29,500
RUT (IWM)	2,943	+0.8%	±0.64% 19p	56% down	High	S 2,900 / 2,925 · R 2,975 / 3,000
SPX (SPY)	7,681	+0.6%	±0.46% 35p	48% down	Elevated	S 7,600 / 7,650 · R 7,700 / 7,750
DJX (DIA)	530.9	+0.6%	±0.42% 2.2p	49% down	Elevated	S 527 / 529 · R 532 / 534

Breadth read: this was a broad session. The gradient, strongest to weakest: RUT +0.80% > SPX +0.64% > DJX +0.61% > NDX +0.28%. 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

—

Touches upper

—

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 29,159 (+0.28%) · overnight 1SD ±0.65% (±191 pts) · 1-week 1SD ±2.56% · Tech holding a narrow bid but chained to yield moves and a make-or-break Broadcom print tonight

Overnight gap — odds Thursday opens DOWN vs UP (from 29,159)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%29,01329% 26%29,305

0.5–1%28,86819% 12%29,451

1–1.5%28,7228% 3%29,596

1.5–2%28,5762% 0%29,742

>2%<28,5760% 0%>29,742

This is a live mid-session run into a overnight gap into Thursday (this session’s close → Thursday 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 Thursday’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 18.20 · 1-day 15.9 · VXN 21.51

🛡️ 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 ~58% 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 29,159)

Lean (direction: futures/trend + skew): ~55% down / ~45% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%28,86815% 15%29,451

1–2%28,57614% 12%29,742

2–3%28,28411% 9%30,034

3–4%27,9937% 5%30,325

>4%<27,9939% 4%>30,325

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.

HIGH

Overnight gap risk

Key whole-number levels

Resistance29,25029,500

Live29,159

Overnight 1SD28,969 – 29,350

1-week 1SD28,412 – 29,907

Support29,00028,750

Cushion line~29,000

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

1-week move ±2.56% (±748 pts)
chance of a >3% week: 24%
range 28,412 – 29,907

HIGH

1-week move risk

📅 Driver: NDX is navigating a cross-current: oil-driven yield pressure and post-earnings sell-the-news patterns from Dell, Palo Alto, and MongoDB all weigh on sentiment, yet the index is finding selective support in names not directly exposed to Middle East supply chains. The AI infrastructure trade is on trial tonight — Broadcom is expected to show explosive AI-chip revenue growth, but the bar is extremely high after consecutive beats have become consensus.

↩ Gap-fill: NDX gaps into this tape tend to fill partially when the catalyst is macro (yields/oil) rather than index-specific — the overnight 1SD band is relatively tight, suggesting the market is pricing the uncertainty but not bracing for a dislocation. A clean Broadcom beat-and-raise could pull Wednesday's intraday dip back toward the session high by mid-Thursday.

↑ Gap Board

RUT Russell 2000 · IWM

Live 2,943 (+0.80%) · overnight 1SD ±0.64% (±19 pts) · 1-week 1SD ±2.51% · Small-caps in negative gamma, most exposed to any rate-hike repricing — the weakest link if yields extend

Overnight gap — odds Thursday opens DOWN vs UP (from 2,943)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%2,92929% 27%2,958

0.5–1%2,91418% 13%2,973

1–1.5%2,8997% 3%2,988

1.5–2%2,8852% 0%3,002

>2%<2,8850% 0%>3,002

🛡️ 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 ~56% 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 2,943)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%2,91416% 15%2,973

1–2%2,88514% 13%3,002

2–3%2,85510% 9%3,032

3–4%2,8267% 5%3,061

>4%<2,8267% 4%>3,061

HIGH

Overnight gap risk

Key whole-number levels

Resistance2,9753,000

Live2,943

Overnight 1SD2,925 – 2,962

1-week 1SD2,870 – 3,017

Support2,9252,900

Cushion line~2,925

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

1-week move ±2.51% (±74 pts)
chance of a >3% week: 23%
range 2,870 – 3,017

HIGH

1-week move risk

📅 Driver: RUT carries the sharpest five-day momentum loss of the four indices, and it sits in negative gamma — meaning options dealers amplify moves rather than dampen them. The combination of a soft ADP print (38K private jobs added in August, well below the 47K consensus) and elevated hike odds from Warsh's Jackson Hole remarks creates a genuine squeeze: weak labor data that normally would relieve rate pressure instead fuels inflation-from-oil concerns, leaving small-cap credit costs elevated.

↩ Gap-fill: Negative-gamma regimes make gap-fill less reliable — price can overshoot both ways without a natural dealer buffer. Downside gaps in RUT during yield-shock episodes have historically taken multiple sessions to recover, so patience before fading any opening weakness is warranted.

↑ Gap Board

SPX S&P 500 · SPY

Live 7,681 (+0.64%) · overnight 1SD ±0.46% (±35 pts) · 1-week 1SD ±1.79% · Broad market slightly risk-off but anchored by energy-sector strength offsetting tech and rate-sensitive drag

Overnight gap — odds Thursday opens DOWN vs UP (from 7,681)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%7,64235% 38%7,719

0.5–1%7,60412% 13%7,757

1–1.5%7,5652% 1%7,796

1.5–2%7,5270% 0%7,834

>2%<7,5270% 0%>7,834

🛡️ 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 ~7,650 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~48% 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 7,681)

Lean (direction: futures/trend + skew): ~50% down / ~50% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%7,60421% 22%7,757

1–2%7,52715% 16%7,834

2–3%7,4509% 8%7,911

3–4%7,3734% 3%7,988

>4%<7,3732% 1%>7,988

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance7,7007,750

Live7,681

Overnight 1SD7,646 – 7,716

1-week 1SD7,543 – 7,818

Support7,6507,600

Cushion line~7,650

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

1-week move ±1.79% (±137 pts)
chance of a >3% week: 9%
range 7,543 – 7,818

ELEVATED

1-week move risk

📅 Driver: SPX is the most balanced read today — energy is the year-to-date leader and continues to benefit directly from the oil surge, partially offsetting weakness in rate-sensitive sectors like housing and consumer discretionary. The index sits above its 50-day moving average, but is below the 20-day, keeping the technical picture ambiguous. The ADP miss softened the immediate hike impulse slightly, but markets remain priced for roughly a two-in-three chance of a September 16 move.

↩ Gap-fill: SPX gaps of this character — macro-driven, positive gamma regime, and with a major earnings catalyst still pending — have a decent fill rate when the catalyst resolves cleanly. The 1SD overnight band is modest, suggesting the market sees Thursday as a data-dependent drift, not a structural break.

↑ Gap Board

DJX Dow Jones · DIA

Live 530.9 (+0.61%) · overnight 1SD ±0.42% (±2.2 pts) · 1-week 1SD ±1.66% · Dow in negative gamma but cushioned by its heavy industrial and energy tilt relative to rate-sensitive growth names

Overnight gap — odds Thursday opens DOWN vs UP (from 530.9)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%528.237% 39%533.6

0.5–1%525.611% 11%536.2

1–1.5%522.91% 1%538.9

1.5–2%520.30% 0%541.5

>2%<520.30% 0%>541.5

🛡️ 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. ~529 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~49% 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 530.9)

Lean (direction: futures/trend + skew): ~50% down / ~50% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%525.622% 23%536.2

1–2%520.316% 16%541.5

2–3%515.08% 8%546.8

3–4%509.73% 3%552.1

>4%<509.71% 1%>552.1

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance532534

Live530.9

Overnight 1SD528.7 – 533.1

1-week 1SD522.1 – 539.7

Support529527

Cushion line~529

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

1-week move ±1.66% (±9 pts)
chance of a >3% week: 7%
range 522.1 – 539.7

ELEVATED

1-week move risk

📅 Driver: DJX is the relative outperformer in this environment — its composition naturally tilts toward energy, industrials, and financials, all of which either benefit from or are less penalized by the current oil-and-yield cocktail. The index was nearly flat Tuesday when the Nasdaq lagged, confirming defensive rotation. The 10-year Treasury note yield touching its highest level since late 2023 is the main headwind for any growth-sensitive Dow components like consumer and tech names.

↩ Gap-fill: The DJX 1SD overnight band is the narrowest of the four indices, consistent with elevated but not extreme volatility. Gaps in this band historically have a moderate-to-high fill rate over one to two sessions — but the fill direction will be set by the Broadcom print and any overnight Middle East headline.

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)	±2.56% 748p	24%	55% down	High
#2	RUT (IWM)	±2.51% 74p	23%	54% down	High
#3	SPX (SPY)	±1.79% 137p	9%	50% down	Elevated
#4	DJX (DIA)	±1.66% 9p	7%	50% 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 (~24% and ~23% 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 Thursday’s Gap Gets Made

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

2:00 PM ET today (Wed Sep 2)Fed Beige Book release — look for anecdotal evidence of how businesses are responding to elevated energy costs; hawkish language could nudge September hike odds higher and pressure the tape into close

After close tonight (Wed Sep 2)Broadcom (AVGO) Q3 earnings — the single biggest overnight switch for NDX; watch AI-chip revenue vs $16B guide, full-year outlook, and any commentary on custom-silicon customer concentration

Thursday morning (Sep 3)ISM Services PMI for August, weekly jobless claims, and US trade balance — all drop before the open and will frame the NFP setup heading into Friday

Thursday after close (Sep 3)Zscaler (ZS) and DocuSign (DOCU) earnings — secondary read on enterprise software demand and cybersecurity spend; could move NDX futures in thin overnight trading

8:30 AM ET Friday (Sep 4)August nonfarm payrolls — the week's most market-moving release; a print well above consensus firms the Sep 16 hike; a miss or negative number opens a real debate about whether Warsh can stand pat

4 Event Calendar — Next Few Sessions

When	Event	Why it matters for the gap
Now · live	Strait of Hormuz tanker strikes; Fed hike risk	The identified driver for the current tape.
Latest closes	Cash session	SPX +0.64% / NDX +0.28% / RUT +0.80% / DJX +0.61%. SPX 30-day implied vol 12.70.
Into Thursday’s open	Futures + Asia/Europe trade	First live read on the overnight tone. Watch NDX ~29,000 and SPX ~7,650 at the open.
Wednesday, Sep 2 — after close	Broadcom (AVGO) Q3 FY2026 earnings	Largest single AI-chip earnings event of the week; AI-semiconductor revenue guidance and custom-silicon customer commentary will set the tone for NDX Thursday open
Thursday, Sep 3	ISM Services PMI (Aug) + weekly jobless claims	Last major data before Friday's NFP; services activity and claims trend will sharpen or soften the September Fed hike probability
Friday, Sep 4 — 8:30 AM ET	August nonfarm payrolls + unemployment rate	Pivotal for the Sep 15-16 FOMC decision; July NFP was -23K vs +83K expected, so any rebound confirms hike risk while a second weak print forces a hold debate
Monday, Sep 7	US markets closed — Labor Day	Three-day weekend compresses Thursday/Friday positioning; traders may hedge or reduce risk into Friday's close to avoid holding over the holiday gap

⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. All four entries are confirmed from search results in this run: Broadcom Sep 2 AMC confirmed via MarketBeat/Moomoo/Yahoo; ISM Services and jobless claims Sep 3 confirmed via Schaeffer's and ZeroHedge week-ahead; NFP Sep 4 confirmed via Schwab calendar and top1markets preview; Labor Day Sep 7 confirmed via Schwab calendar. FOMC Sep 15-16 confirmed via FedRateCalc (verified against Federal Reserve Board per their own disclosure).

5 Overnight + 1-Week Playbook

✅ DO

Wait for the Broadcom print before establishing fresh NDX directional risk into Thursday — it is the single cleanest binary for the overnight gap
Use the ADP miss as a soft data point only — it does not override Warsh's Jackson Hole signal; verify your rate-hike probability source (CME FedWatch) before Friday
In negative-gamma indices (RUT, DJX), size positions smaller than usual — dealers amplify moves in both directions, so stop levels need wider buffers or tighter size
Track Strait of Hormuz headlines actively; a credible de-escalation signal is the fastest path to an oil unwind and a sharp relief rally in rate-sensitive names
Treat Friday's NFP as a two-sided event: strong print = hawkish, weak print = hold; position sizing should reflect that both directions carry risk
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 the AI earnings beat-and-raise pattern continues to lift stocks — Dell, PANW, and MDB all beat and sold off; the market is repricing for guidance, not just the quarter
Don't chase the energy rally after a multi-day surge without a confirmed supply disruption catalyst — oil short-covering and geopolitical fear premium can unwind rapidly
Don't front-run the Beige Book as a hard catalyst — it is anecdotal, not a rate decision; treat it as context, not a trigger
Don't hold unhedged long risk over the Labor Day three-day weekend without confirming your comfort with a gap open on Tuesday, September 8
Don't confuse a quiet intraday tape with low event risk — the Broadcom print, Beige Book, and any overnight Middle East headline can move futures materially after 4 PM ET

📌

Watch NDX ~29,000 and SPX ~7,650, 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.

Live Mid-Session Run, time-stamped Wednesday, September 2, 2026, ~11:30 AM ET, into a overnight gap into Thursday with a 1-week outlook — it goes stale quickly. Index levels and % moves are live index prints (SPX +0.64% / NDX +0.28% / RUT +0.80% / DJX +0.61%). 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 2026-09-02 (live mid-session run) · mwtradecoach.com