Daily AI Overnight Gap Risk Report — Live Mid-Session Run — Thursday, September 3, 2026

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

⚠️

Closes: SPX +1.03% / NDX +1.17% / RUT +0.26% / DJX +1.26%. The drift+skew lean spreads 43–62% down across the four, tracking each index’s own read rather than a single pinned number. The live catalyst: Fed Waller hold-lean; yields fall; NFP eve.

🎯 The 60-Second Read

How the four closed. RUT was weakest at +0.26%; DJX was strongest at +1.26%. This was a broad session.
Highest gap risk: RUT (overnight ±0.61%, 1-week ±2.39%). Calmest: NDX (overnight ±0.36%).
The lean moves with the tape. The drift+skew engine spreads the overnight lean from ~43% down (SPX) to ~62% down (RUT) — each index’s own read, not one pinned number.
The rate-hike debate is not resolved — Waller leaned dovish but conditioned everything on the Aug. 11 CPI print; the market's relief rally may be borrowing against a report it hasn't seen yet.
Oil remains the silent saboteur: WTI near $91 and Brent near $96 with Strait of Hormuz flows disrupted keeps an inflationary floor under yields even as equities rally — watch overnight crude for the true risk-off signal into Friday.
NFP consensus is weak (~55K) after July's –23K print — a number that merely meets expectations may be anticlimactic; the bigger market move risk lies in a strong upside surprise that re-prices September hike odds sharply higher.
⚠ Watch: Friday's August NFP print at 8:30 AM ET is the session's single hinge — a sub-consensus read removes residual hike fear and likely extends the Thursday bid, while a number that comes in hot flips the reaction function and hands bears the first clean catalyst of the week. Watch whether overnight oil makes a new leg higher on any fresh Iran escalation; crude is the invisible hand behind yield sentiment right now. SPX 30-day implied vol is 11.20.

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)	29,485	+1.2%	±0.36% 105p	49% down	Calm	S 29,000 / 29,250 · R 29,500 / 29,750
RUT (IWM)	2,961	+0.3%	±0.61% 18p	62% down	Elevated	S 2,900 / 2,940 · R 3,000 / 3,025
SPX (SPY)	7,746	+1.0%	±0.40% 31p	43% down	Elevated	S 7,675 / 7,715 · R 7,775 / 7,800
DJX (DIA)	537.3	+1.3%	±0.43% 2.3p	43% down	Elevated	S 533 / 535 · R 538 / 540

Breadth read: this was a broad session. The gradient, strongest to weakest: DJX +1.26% > NDX +1.17% > SPX +1.03% > RUT +0.26%. 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

—

Never touches either

—

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 29,485 (+1.17%) · overnight 1SD ±0.36% (±105 pts) · 1-week 1SD ±1.39% · Tech-led, positive-gamma, Calm dial — the index best positioned to absorb a yield-easing tape.

Overnight gap — odds Friday opens DOWN vs UP (from 29,485)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%29,33740% 44%29,632

0.5–1%29,1908% 7%29,779

1–1.5%29,0420% 0%29,927

1.5–2%28,8950% 0%30,074

>2%<28,8950% 0%>30,074

This is a live mid-session run into a overnight gap into Friday (this session’s close → Friday 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 Friday’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 9.90 · 1-day 7.0 · VXN 20.61

🛡️ 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 ~29,250 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. 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 29,485)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%29,19026% 27%29,779

1–2%28,89516% 16%30,074

2–3%28,6006% 5%30,369

3–4%28,3052% 1%30,664

>4%<28,3050% 0%>30,664

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.

CALM

Overnight gap risk

Key whole-number levels

Resistance29,50029,750

Live29,485

Overnight 1SD29,380 – 29,589

1-week 1SD29,073 – 29,896

Support29,25029,000

Cushion line~29,250

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

1-week move ±1.39% (±411 pts)
chance of a >3% week: 3%
range 29,073 – 29,896

CALM

1-week move risk

📅 Driver: NDX is riding two simultaneous tailwinds Thursday: falling Treasury yields relieving pressure on long-duration growth multiples, and Fed Governor Waller's dovish lean signaling the September hike is not yet a done deal. Broadcom's (AVGO) mixed overnight reaction — Q3 results beat on EPS and revenue but Q4 guidance came in just below consensus — is a modest drag on the index, keeping the rally disciplined rather than euphoric. The yen's sharp two-percent drop below 156 adds a macro backdrop of dollar softness that historically supports NDX components with large overseas revenue.

↩ Gap-fill: NDX sits in a positive-gamma regime — dealers are long gamma (options exposure that profits from small moves) and tend to dampen, not amplify, drift. Gaps of this modest implied size in a Calm overnight environment have a high historical fill rate, particularly on a Friday with a binary catalyst ahead that keeps both sides honest.

↑ Gap Board

RUT Russell 2000 · IWM

Live 2,961 (+0.26%) · overnight 1SD ±0.61% (±18 pts) · 1-week 1SD ±2.39% · Small-caps lag, negative-gamma, Elevated dial — the index most exposed to a rate-hike repricing.

Overnight gap — odds Friday opens DOWN vs UP (from 2,961)

Lean (direction: futures/trend + skew): ~62% down / ~38% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%2,94631% 26%2,976

0.5–1%2,93121% 10%2,991

1–1.5%2,9178% 2%3,005

1.5–2%2,9022% 0%3,020

>2%<2,9020% 0%>3,020

🛡️ 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. ~2,940 is the level to watch; losing it overnight would deepen the move. Tonight’s lean sits at ~62% 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 2,961)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%2,93116% 16%2,991

1–2%2,90215% 12%3,020

2–3%2,87211% 8%3,050

3–4%2,8437% 4%3,079

>4%<2,8438% 3%>3,079

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance3,0003,025

Live2,961

Overnight 1SD2,943 – 2,979

1-week 1SD2,890 – 3,032

Support2,9402,900

Cushion line~2,940

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

1-week move ±2.39% (±71 pts)
chance of a >3% week: 21%
range 2,890 – 3,032

ELEVATED

1-week move risk

📅 Driver: RUT is the clear underperformer Thursday and for good reason: small-cap companies carry proportionally more floating-rate debt than their large-cap peers, making them acutely sensitive to the September FOMC hike debate. Waller's conditional hold-lean helped the index catch a modest bid, but the five-day momentum trail remains the weakest of the four indices and both the 20- and 50-day moving averages are acting as resistance rather than support. The negative-gamma regime means dealer hedging can amplify moves in either direction — a hot NFP Friday could be particularly punishing here.

↩ Gap-fill: With RUT in a negative-gamma regime and both dials reading Elevated, gap-fill probability is lower than for NDX or SPX. The elevated overnight vol estimate implies a wider expected range, and the current downside lean — 62 — reflects that asymmetry heading into a high-stakes Friday catalyst.

↑ Gap Board

SPX S&P 500 · SPY

Live 7,746 (+1.03%) · overnight 1SD ±0.40% (±31 pts) · 1-week 1SD ±1.58% · Broad market recovers with yields, SPX above both key moving averages — constructive but not complacent.

Overnight gap — odds Friday opens DOWN vs UP (from 7,746)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%7,70734% 44%7,785

0.5–1%7,6688% 13%7,823

1–1.5%7,6301% 1%7,862

1.5–2%7,5910% 0%7,901

>2%<7,5910% 0%>7,901

🛡️ 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 ~7,715 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~43% 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 7,746)

Lean (direction: futures/trend + skew): ~47% down / ~53% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%7,66823% 25%7,823

1–2%7,59115% 18%7,901

2–3%7,5147% 8%7,978

3–4%7,4362% 2%8,056

>4%<7,4361% 1%>8,056

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance7,7757,800

Live7,746

Overnight 1SD7,715 – 7,777

1-week 1SD7,624 – 7,868

Support7,7157,675

Cushion line~7,715

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

1-week move ±1.58% (±122 pts)
chance of a >3% week: 6%
range 7,624 – 7,868

ELEVATED

1-week move risk

📅 Driver: SPX is rallying broadly Thursday as nine sectors participate in the move higher, with the Communications and Materials leaders from Wednesday carrying momentum. The positive-gamma regime and the fact SPX holds above both its 20- and 50-day moving averages gives the index a structural cushion. Waller's comments were the marginal catalyst: September rate-hike odds dropped sharply after his remarks, lifting rate-sensitive areas that had been lagging. Elevated single-day vol reads reflect pre-NFP hedging, not panic — a distinction worth keeping.

↩ Gap-fill: SPX gaps in a positive-gamma environment tend to be sticky intraday but frequently mean-revert to the prior close by the following session when no binary catalyst lands. Friday's NFP is that catalyst, meaning a gap in either direction may hold beyond normal fill behavior — plan accordingly rather than assuming fade.

↑ Gap Board

DJX Dow Jones · DIA

Live 537.3 (+1.26%) · overnight 1SD ±0.43% (±2.3 pts) · 1-week 1SD ±1.70% · Dow leads percentage gains Thursday, broad-based but vulnerable to energy cost headwinds in industrials.

Overnight gap — odds Friday opens DOWN vs UP (from 537.3)

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

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤0.5%534.633% 41%540.0

0.5–1%531.99% 15%542.7

1–1.5%529.21% 1%545.3

1.5–2%526.50% 0%548.0

>2%<526.50% 0%>548.0

🛡️ 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). DJX is near its ~535 cushion line. Hold above it and dip-buying keeps pullbacks shallow; lose it overnight and the shock absorber weakens. Tonight’s lean sits at ~43% 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 537.3)

Lean (direction: futures/trend + skew): ~47% down / ~53% up

bandworst lvlodds ◀ down | up ▶ oddsworst lvl

≤1%531.921% 23%542.7

1–2%526.514% 17%548.0

2–3%521.27% 9%553.4

3–4%515.83% 3%558.8

>4%<515.81% 1%>558.8

ELEVATED

Overnight gap risk

Key whole-number levels

Resistance538540

Live537.3

Overnight 1SD535.0 – 539.6

1-week 1SD528.1 – 546.4

Support535533

Cushion line~535

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

1-week move ±1.70% (±9 pts)
chance of a >3% week: 8%
range 528.1 – 546.4

ELEVATED

1-week move risk

📅 Driver: DJX is Thursday's leader in percentage terms, driven by the same yield-easing, Waller-dovish narrative lifting the broader tape. However, the Dow's heavy weighting toward industrials and energy-input-sensitive companies means elevated crude above the $90 handle — with physical flows through the Strait of Hormuz still heavily disrupted — remains a ceiling on earnings expectations. The 30-day moving average is no longer rising, which tempers the bullish read despite the day's strength.

↩ Gap-fill: DJX is in a positive-gamma regime but vol is running Elevated on both the overnight and weekly dial. Gaps here in pre-NFP windows have historically had a mixed fill record — the catalyst morning often leaves the gap open as price waits for the 8:30 AM data before committing to direction.

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	RUT (IWM)	±2.39% 71p	21%	58% down	Elevated
#2	DJX (DIA)	±1.70% 9p	8%	47% down	Elevated
#3	SPX (SPY)	±1.58% 122p	6%	47% down	Elevated
#4	NDX (QQQ)	±1.39% 411p	3%	50% down	Calm

How to read it: the ranking is about size, not direction — it says where the widest swings are most likely, not which way. RUT and DJX top the list (~21% and ~8% chance of a >3% week) on their richer vol; NDX is the anchor (~3%). 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 Friday’s Gap Gets Made

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

Thursday close (4:00 PM ET)Watch whether SPX and NDX can hold their intraday highs into the print — failure to close near session highs would be an early tell of pre-NFP jitters.

Thursday after-close (tonight)Monitor any fresh U.S.–Iran exchange or overnight Middle East headlines; an escalation spike in crude is the fastest path to a weaker Friday open regardless of NFP.

Friday 8:30 AM ET — September 4, 2026August NFP, unemployment rate, and average hourly earnings: this is the session's entire event risk. Consensus ~55K jobs; prior –23K. Reaction function is inverted — a strong print is hawkish (hike fear), a soft print is the relief trade.

Friday all-session — September 4, 2026Light volumes expected with the three-day Labor Day weekend ahead; holiday-weekend liquidity can amplify moves beyond their fundamental warrant — size accordingly.

Monday September 7, 2026 — Markets Closed (Labor Day)NYSE and Nasdaq fully closed; next regular session is Tuesday September 8. Any geopolitical developments over the long weekend will gap into Tuesday's open.

4 Event Calendar — Next Few Sessions

When	Event	Why it matters for the gap
Now · live	Fed Waller hold-lean; yields fall; NFP eve	The identified driver for the current tape.
Latest closes	Cash session	SPX +1.03% / NDX +1.17% / RUT +0.26% / DJX +1.26%. SPX 30-day implied vol 11.20.
Into Friday’s open	Futures + Asia/Europe trade	First live read on the overnight tone. Watch NDX ~29,250 and SPX ~7,715 at the open.
Friday, September 4, 2026 — 8:30 AM ET	August Nonfarm Payrolls / Unemployment Rate / Avg Hourly Earnings (BLS)	The single highest-impact data point of the week; consensus near 55K after July's –23K miss. Outcome directly shapes September FOMC hike odds and Friday's open direction.
Monday, September 7, 2026	Labor Day — NYSE, Nasdaq, CBOE all closed (full session)	Three-day holiday weekend begins; liquidity thins Friday afternoon ahead of the closure. Any Iran escalation over the weekend gaps into Tuesday's open with no intraday escape valve.
Thursday, September 10 / Friday, September 11, 2026 — 8:30 AM ET	August PPI (Sep 10) and August CPI (Sep 11)	Final inflation prints before the September 15–16 FOMC meeting. Waller explicitly flagged CPI as the deciding data point for his hike-or-hold vote — markets will treat the Sep 11 number as a de facto rate decision preview.
Tuesday–Wednesday, September 15–16, 2026	FOMC Rate Decision + SEP (Summary of Economic Projections) + Press Conference	Fed's September meeting with updated dot plot and projections. Current baseline: hold at 3.50–3.75%; three July dissenters favored a hike. September CPI (Sep 11) and Friday's NFP are the two inputs that will tip the balance.

⚠ Honesty note: the hard-confirmed items above are the closing levels and implied vols, fetched live at generation. NFP date (Sep 4) confirmed by BLS/multiple sources. Labor Day closure (Sep 7) confirmed by NYSE official calendar. PPI Sep 10 and CPI Sep 11 dates confirmed by polymarkettrader.com and tradersquant.com against Fed calendar. FOMC Sep 15–16 confirmed by federalreserve.gov official events page.

5 Overnight + 1-Week Playbook

✅ DO

Size smaller than normal into Friday's open — NFP in an inverted reaction-function environment (strong = hawkish) means the directional edge is lower than usual even when you have a view on the number.
Use the pre-NFP bid to reduce exposure in rate-sensitive names (utilities, long-duration tech, homebuilders) where the asymmetry on a hot print is most punishing — RUT in particular.
If trading the gap, wait for the 8:30 AM print before committing to direction; gap-fill trades are unreliable when a binary macro catalyst lands within minutes of the open.
Keep stops wide enough to absorb holiday-weekend illiquidity — thin Friday afternoon tapes can stop out positions that would have been fine in normal volume.
Verify all levels and catalyst reads against live data before acting; this report is educational context, not a directive to trade.
Respect the trend context — the picture is split: 2 of 4 sit above their 20-day average and 3 of 4 above their 50-day. Mixed trend — weaker evidence for either buying dips or selling rallies.

❌ DON’T

Don't chase the Thursday rally into Friday's close as if it represents a resolved macro backdrop — it is a conditional relief trade on one governor's speech, not a policy decision.
Don't fade the RUT gap in a negative-gamma, Elevated-vol regime without a hard stop — dealer hedging flows can extend moves well beyond what fundamentals alone imply.
Don't ignore crude oil overnight — the Iran conflict keeps a non-zero probability of a shock spike that would override any yield-easing narrative the equity tape is currently pricing.
Don't conflate Waller's lean with Fed consensus — Chair Warsh's Jackson Hole remarks were more hawkish, and the FOMC voted 9–3 to hold in July with three dissenters favoring a hike; the board is genuinely divided.
Don't treat a three-day-weekend gap on Tuesday September 8 as routine — Labor Day weekend with an active Middle East conflict is an elevated tail-risk window; size Tuesday exposure over the weekend accordingly.

📌

Stocks rally mid-session Thursday as Treasury yields pull back and Fed Governor Waller signals a tilt toward holding rates steady, partially offsetting the persistent geopolitical premium baked in by the ongoing U.S.–Iran conflict. RUT weakest at +0.26%, DJX strongest at +1.26%; the drift+skew lean spreads 43–62% down across the four.

Watch NDX ~29,250 and SPX ~7,715, 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 Thursday, September 3, 2026, ~11:30 AM ET, into a overnight gap into Friday with a 1-week outlook — it goes stale quickly. Index levels and % moves are live index prints (SPX +1.03% / NDX +1.17% / RUT +0.26% / DJX +1.26%). 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 2026-09-03 (live mid-session run) · mwtradecoach.com