GEX+ Risk Surface — Spot Move × IV Shock
Blue = dealer dampening. Red = dealer amplifying (cascade). Crosshairs = current position. Deep red = spot decline + IV spike creates maximum crash amplification.
DANGER ZONE
Red regions: spot drops + IV spikes. Dealers forced to sell into falling market — vanna amplifies into cascade.
SAFE ZONE
Blue regions: positive GEX+ means dealers absorb moves, buying dips and selling rallies.
TRADING RANGE - NEAR-TERM FORECAST (See FORECAST for details)
1-Day Forecast — March 18: Prob (above) 6650 79.8% | Prob (below) 6750 65.1%
1-Week Forecast — March 24: Prob (above) 6650 65.8% | Prob (below) 6750 55.6%
1-Week Forecast — March 24: Prob (above) 6650 65.8% | Prob (below) 6750 55.6%
The options market prices a 1σ daily move of ±79 points (1.2%) and a 1-week move of ±176 points (2.6%). With −4.9B combined GEX+ across three months and NPD at +1684, dealers are now net long puts — insulated from declines. However, two of three months remain amplifying (Apr −3.2B, Jun −2.7B).
IN PLAIN LANGUAGE
Overnight, dealers rebuilt their put cushion — Net Put Delta (NPD) jumped from −783 to +1,684. That’s a meaningful shift: yesterday, if the market dropped, dealers would have been hurt by the decline and forced to sell into it. Today, their put positions profit on a decline, which gives them a buffer before forced selling kicks in. The safety net is back.
At the same time, the zero-gamma level — the price where dealer hedging flips from amplifying moves to dampening them — dropped from 6964 to 6907. That’s now only ~191 points above the current price, within reach of a single strong session. If SPX rallies through 6907, the entire front-month regime changes from working against the market to working with it.
The complication is June. Yesterday, June was the one dampening month providing ballast. Today it flipped to amplifying at −2.7B, replacing May (which went the other direction and is now supportive). Combined GEX+ actually worsened from −2.9B to −4.9B despite the rally. The aggregate positioning is more negative, but the quality of that positioning improved because the safety valve is functioning again.
Charm — the daily buying pressure from time decay — accelerated to +58.9M delta/day, up from +47.8M yesterday. As April expiry approaches, this supportive flow will continue to strengthen, creating a gentle upward pull on flat days.
Bottom line: the market is better protected on the downside than it was 24 hours ago, and closer to escaping the amplifying regime on the upside. But the total amount of amplification across all three months grew, and June’s flip means the risk horizon now extends through mid-June rather than ending at mid-May.
At the same time, the zero-gamma level — the price where dealer hedging flips from amplifying moves to dampening them — dropped from 6964 to 6907. That’s now only ~191 points above the current price, within reach of a single strong session. If SPX rallies through 6907, the entire front-month regime changes from working against the market to working with it.
The complication is June. Yesterday, June was the one dampening month providing ballast. Today it flipped to amplifying at −2.7B, replacing May (which went the other direction and is now supportive). Combined GEX+ actually worsened from −2.9B to −4.9B despite the rally. The aggregate positioning is more negative, but the quality of that positioning improved because the safety valve is functioning again.
Charm — the daily buying pressure from time decay — accelerated to +58.9M delta/day, up from +47.8M yesterday. As April expiry approaches, this supportive flow will continue to strengthen, creating a gentle upward pull on flat days.
Bottom line: the market is better protected on the downside than it was 24 hours ago, and closer to escaping the amplifying regime on the upside. But the total amount of amplification across all three months grew, and June’s flip means the risk horizon now extends through mid-June rather than ending at mid-May.
SESSION CHANGES — March 16 → March 17
SPX +17 points (6699 → 6716). Modest rally, but structural positioning shifted meaningfully:
NPD reversed from −783 to +1,684. Dealers went from net short puts (exposed) back to net long puts (insulated). The primary safety valve is restored. This is the single most important improvement.
May flipped from amplifying to dampening (−0.95B → +1.06B). The mid-term cushion returned.
June flipped from dampening to amplifying (+0.74B → −2.72B). The back month reversed — offsetting May’s improvement.
Combined GEX+ worsened from −2.9B to −4.9B. June’s flip more than offset May’s improvement.
IV compressed further (Apr ATM 19.7% → 18.6%). Zero-gamma dropped from 6964 to 6907 — closer but the window narrowed.
NPD reversed from −783 to +1,684. Dealers went from net short puts (exposed) back to net long puts (insulated). The primary safety valve is restored. This is the single most important improvement.
May flipped from amplifying to dampening (−0.95B → +1.06B). The mid-term cushion returned.
June flipped from dampening to amplifying (+0.74B → −2.72B). The back month reversed — offsetting May’s improvement.
Combined GEX+ worsened from −2.9B to −4.9B. June’s flip more than offset May’s improvement.
IV compressed further (Apr ATM 19.7% → 18.6%). Zero-gamma dropped from 6964 to 6907 — closer but the window narrowed.
GEX+ Profile — Dealer Hedging Pressure vs Spot
Crash Risk — GEX+ at Drawdown Levels
Negative GEX+ at crash levels = dealers amplify the selloff.
nextSignals Directional Index Analysis — SPX 6,716.09 · March 17, 2026
THE CHART
The heatmap reflects April expiry positioning (31 DTE). Current spot (6,716.09) sits in red territory — the amplifying regime. The zero-GEX+ contour lies at +2.8% above spot (SPX 6907), requiring a ~191-point rally to reach dampening.
PRICE, GEX & VEX
April GEX+ at −3.2B. GEX at −3M and VEX at −3207M per 1% spot / 1 vol point respectively. VGR at 1,086× confirms vanna dominance — IV changes drive ~1,086× more dealer hedging than equivalent spot moves. Naive shows +2.1B — a $5.3B gap. 46.2% of April contracts disagree with naive.
May is dampening at +1.1B (47.1% disagreement). June is amplifying at −2.7B with the largest OI (1.2M). Combined three-month GEX+ of −4.9B vs naive +4.7B = $9.5B information asymmetry.
May is dampening at +1.1B (47.1% disagreement). June is amplifying at −2.7B with the largest OI (1.2M). Combined three-month GEX+ of −4.9B vs naive +4.7B = $9.5B information asymmetry.
CHARM — TIME DECAY HEDGING PRESSURE
Net charm is +58.9M delta/day across the term structure — supportive and increasing.
April: +45.3M/day (31 DTE). Time decay forces dealers to buy delta daily — a bid under the market.
May: −8.1M/day (59 DTE). Same direction.
June: +21.7M/day (93 DTE). Negative charm — June is a net daily seller.
On Charm: Charm provides friction that slows the decay on flat days but cannot prevent it once momentum builds. As April expiry approaches, charm will accelerate (potentially 3–5× current levels at 10 DTE), creating stronger pin risk around high-OI strikes — stickier near key levels, faster when the market breaks away.
April: +45.3M/day (31 DTE). Time decay forces dealers to buy delta daily — a bid under the market.
May: −8.1M/day (59 DTE). Same direction.
June: +21.7M/day (93 DTE). Negative charm — June is a net daily seller.
On Charm: Charm provides friction that slows the decay on flat days but cannot prevent it once momentum builds. As April expiry approaches, charm will accelerate (potentially 3–5× current levels at 10 DTE), creating stronger pin risk around high-OI strikes — stickier near key levels, faster when the market breaks away.
MARKET FRAGILITY
Two of three months are amplifying. April (−3.2B) and June (−2.7B). May provides dampening at +1.1B but with 47.1% disagreement.
NPD at +1684 — dealers are net long puts. This is a significant improvement from yesterday’s −783. Dealers are insulated from declines — the primary safety valve is restored.
Zero-gamma at +2.8% (6907) is ~191 points overhead — closer than yesterday’s 265 points.
Crash Risk at −5% (SPX 6380.3): GEX+ drops to −1.8B. At −10%: −0.9B.
~45% disagreement across all three months. Apr 46.2%, May 47.1%, Jun 44.3%.
NPD at +1684 — dealers are net long puts. This is a significant improvement from yesterday’s −783. Dealers are insulated from declines — the primary safety valve is restored.
Zero-gamma at +2.8% (6907) is ~191 points overhead — closer than yesterday’s 265 points.
Crash Risk at −5% (SPX 6380.3): GEX+ drops to −1.8B. At −10%: −0.9B.
~45% disagreement across all three months. Apr 46.2%, May 47.1%, Jun 44.3%.
THE BEAR CASE
1. Combined GEX+ worsened to −4.9B — more negative than yesterday despite the rally. Two of three months amplify.
2. June at −2.7B is the new problem child. With the largest OI (1.2M), June’s amplification now extends the risk horizon through mid-June.
3. Crash Risk accelerates. At −5%, GEX+ reaches −1.8B. At −10%: −0.9B. The drawdown path remains convex.
4. The blind spot widened to $9.5B. Naive models see +4.7B (dampening) while DDOI shows −4.9B (amplifying).
Despite positive NPD restoring the safety valve, the aggregate amplification is worse. A decline that breaches June’s strike concentrations could accelerate through the OI cluster.
2. June at −2.7B is the new problem child. With the largest OI (1.2M), June’s amplification now extends the risk horizon through mid-June.
3. Crash Risk accelerates. At −5%, GEX+ reaches −1.8B. At −10%: −0.9B. The drawdown path remains convex.
4. The blind spot widened to $9.5B. Naive models see +4.7B (dampening) while DDOI shows −4.9B (amplifying).
Despite positive NPD restoring the safety valve, the aggregate amplification is worse. A decline that breaches June’s strike concentrations could accelerate through the OI cluster.
THE BULL CASE
1. NPD flipped to +1684. Dealers are insulated from declines. Forced selling now hits a book with positive P&L exposure — a structural buffer that was absent yesterday.
2. Zero-gamma dropped to 6907 — only ~191 points vs ~265 yesterday. The regime flip is within a single strong session.
3. May dampening at +1.1B provides near-term structural support through mid-May.
4. Charm at +58.9M/day — up from +47.8M yesterday. Accelerating supportive flow as April approaches.
5. IV compressed to ~18.61% ATM. Less vanna fuel, cheaper protection.
The safety valve is back, the zero-gamma crossing is closer, and charm is accelerating. The path to dampening shortened materially overnight. A rally through 6907 flips the front month and the narrative changes entirely.
2. Zero-gamma dropped to 6907 — only ~191 points vs ~265 yesterday. The regime flip is within a single strong session.
3. May dampening at +1.1B provides near-term structural support through mid-May.
4. Charm at +58.9M/day — up from +47.8M yesterday. Accelerating supportive flow as April approaches.
5. IV compressed to ~18.61% ATM. Less vanna fuel, cheaper protection.
The safety valve is back, the zero-gamma crossing is closer, and charm is accelerating. The path to dampening shortened materially overnight. A rally through 6907 flips the front month and the narrative changes entirely.
SPX PROBABILITY FORECAST — 6,716.09 · March 17, 2026
Breeden-Litzenberger risk-neutral density · Cornish-Fisher skew/kurtosis adjustment · GEX+ regime conditioning
1-DAY FORECAST — March 18
5th PCTILE
6,584.6
25th PCTILE
6,666.1
MEDIAN
6,718.8
75th PCTILE
6,769.7
95th PCTILE
6,842.6
1σ MOVE
±79 pts
±1.17%
FORWARD
6,716.9
90% RANGE
6,585 – 6,843
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,450 | 0.0% | 100.0% |
| 6,500 | 0.3% | 99.7% |
| 6,550 | 1.9% | 98.1% |
| 6,600 | 7.4% | 92.6% |
| 6,650 | 20.2% | 79.8% |
| 6,700 | 40.9% | 59.1% |
| 6,750 | 65.1% | 34.9% |
| 6,800 | 85.0% | 14.9% |
| 6,850 | 95.9% | 4.1% |
| 6,900 | 99.4% | 0.6% |
| 6,950 | 100.0% | 0.0% |
1-WEEK FORECAST — March 24
5th PCTILE
6,424.3
25th PCTILE
6,606.4
MEDIAN
6,724.2
75th PCTILE
6,838.1
95th PCTILE
7,001.2
1σ MOVE
±176 pts
±2.62%
FORWARD
6,720.0
90% RANGE
6,424 – 7,001
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,450 | 6.8% | 93.2% |
| 6,500 | 11.2% | 88.8% |
| 6,550 | 17.2% | 82.8% |
| 6,600 | 24.9% | 75.1% |
| 6,650 | 34.2% | 65.8% |
| 6,700 | 44.7% | 55.3% |
| 6,750 | 55.6% | 44.4% |
| 6,800 | 66.4% | 33.6% |
| 6,850 | 76.1% | 23.9% |
| 6,900 | 84.2% | 15.8% |
| 6,950 | 90.4% | 9.6% |
APRIL EXPIRY DISTRIBUTION — 31 DTE
BL MEAN
6,669.6
BL STD
197.2
SKEWNESS
-0.144
KURTOSIS
3.25
| SPX Level | P(below at expiry) | P(above at expiry) |
|---|---|---|
| 6,200 | 1.0% | 99.0% |
| 6,300 | 3.4% | 96.6% |
| 6,400 | 9.2% | 90.8% |
| 6,500 | 19.9% | 80.1% |
| 6,600 | 35.8% | 64.2% |
| 6,700 | 55.0% | 45.0% |
| 6,800 | 73.6% | 26.4% |
| 6,900 | 87.6% | 12.4% |
| 7,000 | 95.7% | 4.3% |
| 7,100 | 99.0% | 1.0% |
GEX+ REGIME CONDITIONING
Risk-neutral probabilities. Left tail may be slightly understated despite positive NPD — two months remain amplifying. Right tail overstated by vanna resistance at 6907. High confidence for central ±1σ. Moderate 10th–90th. Low for extremes.
METHODOLOGY
1. Breeden-Litzenberger from OTM prices. 2. Moments (mean, std, skew, kurtosis). 3. ATM IV scaling σ = S × IV × √(t/252). 4. Cornish-Fisher percentiles. 5. GEX+ conditioning (qualitative).