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 20: Prob (above) 6550 69.9% | Prob (below) 6650 63.8%
1-Week Forecast — March 26: Prob (above) 6500 67.4% | Prob (below) 6700 62.9%
1-Week Forecast — March 26: Prob (above) 6500 67.4% | Prob (below) 6700 62.9%
IN PLAIN LANGUAGE
The market has now dropped 110 points in two sessions and the options positioning has shifted dramatically. April — the front month that was deeply amplifying all last week — has flipped to dampening at +0.5B. May is essentially neutral at +0.1B. The problem has migrated entirely to June, which at −2.5B is now the sole amplifying month.
The zero-gamma level has dropped below current spot to 6550 (-0.8%). That means for April positioning, the current price is actually in the dampening zone — dealers are now absorbing moves rather than amplifying them at these levels. This is the first time in this analysis that spot has sat above the zero-gamma crossing.
However, Net Put Delta (NPD) has turned negative again at -649, meaning dealers are once more net short puts. The put cushion that appeared Monday is gone. IV has expanded sharply to 21.82% ATM — up from 18.6% just two days ago — repricing risk significantly higher.
Charm has dropped to +14.9M delta/day, down from +58.9M on Monday. With less time-decay buying pressure, the daily supportive flow is weakening.
Bottom line: The front two months have flipped constructive, but the market paid for it with a 110-point decline and a sharp IV expansion. June’s −2.5B amplification extends the risk horizon. NPD turning negative again means the safety valve is off despite the improved front-month regime. The positioning is better structured but more fragile than the numbers suggest.
The zero-gamma level has dropped below current spot to 6550 (-0.8%). That means for April positioning, the current price is actually in the dampening zone — dealers are now absorbing moves rather than amplifying them at these levels. This is the first time in this analysis that spot has sat above the zero-gamma crossing.
However, Net Put Delta (NPD) has turned negative again at -649, meaning dealers are once more net short puts. The put cushion that appeared Monday is gone. IV has expanded sharply to 21.82% ATM — up from 18.6% just two days ago — repricing risk significantly higher.
Charm has dropped to +14.9M delta/day, down from +58.9M on Monday. With less time-decay buying pressure, the daily supportive flow is weakening.
Bottom line: The front two months have flipped constructive, but the market paid for it with a 110-point decline and a sharp IV expansion. June’s −2.5B amplification extends the risk horizon. NPD turning negative again means the safety valve is off despite the improved front-month regime. The positioning is better structured but more fragile than the numbers suggest.
SESSION CHANGES — March 17 → March 19
SPX −110 points (6716 → 6606). Sharp two-session decline reshaped the entire positioning landscape:
April flipped from amplifying to dampening (−3.2B → +0.5B). The front month crossed through its zero-gamma level. This is the most significant structural improvement.
May flipped from dampening to near-neutral (+1.1B → +0.1B). Marginal positioning, neither amplifying nor dampening meaningfully.
NPD reversed from +1,684 to −649. The put cushion built on Monday evaporated. Dealers are net short puts again.
IV expanded sharply — Apr ATM 18.6% → 21.8% (+3.2 pts). Skew widened from 8.1% to 9.6%. The market is repricing risk aggressively higher.
Zero-gamma dropped from 6907 to 6550 — now 0.8% below spot. Spot crossed above the April zero-gamma for the first time.
Combined GEX+ improved from −4.9B to −1.9B, driven by April’s flip. But June remains deeply amplifying at −2.5B.
April flipped from amplifying to dampening (−3.2B → +0.5B). The front month crossed through its zero-gamma level. This is the most significant structural improvement.
May flipped from dampening to near-neutral (+1.1B → +0.1B). Marginal positioning, neither amplifying nor dampening meaningfully.
NPD reversed from +1,684 to −649. The put cushion built on Monday evaporated. Dealers are net short puts again.
IV expanded sharply — Apr ATM 18.6% → 21.8% (+3.2 pts). Skew widened from 8.1% to 9.6%. The market is repricing risk aggressively higher.
Zero-gamma dropped from 6907 to 6550 — now 0.8% below spot. Spot crossed above the April zero-gamma for the first time.
Combined GEX+ improved from −4.9B to −1.9B, driven by April’s flip. But June remains deeply amplifying at −2.5B.
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 6,606.49 · March 19, 2026
THE CHART
The heatmap reflects April expiry positioning (29 DTE). Current spot (6,606.49) now sits above the zero-GEX+ contour at -0.8% (SPX 6550) — in the dampening zone for April. The blue region at current spot confirms dealers are absorbing moves at these levels.
PRICE, GEX & VEX
April GEX+ at +0.5B — dampening. GEX at −1M and VEX at +454M per 1% spot / 1 vol point respectively. VGR at 337×. Naive shows +1.2B. 42.9% of April contracts disagree with naive.
May is near-neutral at +0.1B (41.6% disagreement). June is the sole amplifying month at −2.5B with the largest OI (1.8M). Combined three-month GEX+ of −1.9B vs naive +3.1B = $5.0B information asymmetry.
May is near-neutral at +0.1B (41.6% disagreement). June is the sole amplifying month at −2.5B with the largest OI (1.8M). Combined three-month GEX+ of −1.9B vs naive +3.1B = $5.0B information asymmetry.
CHARM — TIME DECAY HEDGING PRESSURE
Net charm dropped to +14.9M delta/day — still supportive but sharply reduced.
April: −2.4M/day (29 DTE).
May: +1.0M/day (57 DTE).
June: +16.3M/day (91 DTE).
On Charm: The sharp decline in charm from +58.9M to +14.9M reflects the regime change — with April now dampening, the time-decay hedging flows are less directional. Charm remains positive but provides significantly less supportive friction than Monday.
April: −2.4M/day (29 DTE).
May: +1.0M/day (57 DTE).
June: +16.3M/day (91 DTE).
On Charm: The sharp decline in charm from +58.9M to +14.9M reflects the regime change — with April now dampening, the time-decay hedging flows are less directional. Charm remains positive but provides significantly less supportive friction than Monday.
MARKET FRAGILITY
Only June is amplifying at −2.5B with the largest OI. April and May are constructive but the risk migrated to the back month.
NPD at -649 — dealers are net short puts again. The put cushion from Monday is gone. Despite improved front-month regime, dealers lose on declines.
Zero-gamma at -0.8% (6550) is now 56 points below spot. A drop below 6550 re-enters April’s amplification zone.
Crash Risk at −5% (SPX 6276.2): GEX+ drops to −1.2B. At −10%: −1.0B.
IV expanded 3.2 points in two sessions (18.6% → 21.8%). Skew widened to 9.6%. The market is repricing tail risk.
NPD at -649 — dealers are net short puts again. The put cushion from Monday is gone. Despite improved front-month regime, dealers lose on declines.
Zero-gamma at -0.8% (6550) is now 56 points below spot. A drop below 6550 re-enters April’s amplification zone.
Crash Risk at −5% (SPX 6276.2): GEX+ drops to −1.2B. At −10%: −1.0B.
IV expanded 3.2 points in two sessions (18.6% → 21.8%). Skew widened to 9.6%. The market is repricing tail risk.
THE BEAR CASE
1. NPD at -649 — safety valve is off again. Dealers lose on further declines with no P&L cushion despite the improved front-month regime.
2. June at −2.5B with 1.8M OI is the largest amplifying position in the term structure. The risk horizon extends through mid-June.
3. A drop below 6550 re-enters April amplification. Current spot is only 56 points above the zero-gamma floor. The dampening zone is thin.
4. IV expansion is self-reinforcing in the vanna framework. Higher IV at negative VGR drives more dealer selling, which drives more IV expansion.
The front-month regime improved by the market falling through it. But the floor of the dampening zone (6550) is uncomfortably close, NPD is negative, and June extends the amplification through summer.
2. June at −2.5B with 1.8M OI is the largest amplifying position in the term structure. The risk horizon extends through mid-June.
3. A drop below 6550 re-enters April amplification. Current spot is only 56 points above the zero-gamma floor. The dampening zone is thin.
4. IV expansion is self-reinforcing in the vanna framework. Higher IV at negative VGR drives more dealer selling, which drives more IV expansion.
The front-month regime improved by the market falling through it. But the floor of the dampening zone (6550) is uncomfortably close, NPD is negative, and June extends the amplification through summer.
THE BULL CASE
1. April is dampening for the first time. At +0.5B, dealers absorb moves rather than amplify them. Dips are bought, rallies are sold — stabilizing.
2. Combined GEX+ improved to −1.9B from −4.9B on Monday. The aggregate amplification is less than half what it was.
3. IV expansion creates opportunity. At 21.8% ATM, options are expensive. Sellers of premium benefit from mean reversion toward lower vol, which is the typical path once positioning stabilizes.
4. The 110-point decline may have cleared weak hands. Forced selling from the amplifying regime likely exhausted the marginal sellers. The positioning that drove the decline has now restructured.
April dampening is genuinely constructive. The question is whether the thin floor at 6550 holds — if it does, the front two months support recovery. If it breaks, the regime reverts.
2. Combined GEX+ improved to −1.9B from −4.9B on Monday. The aggregate amplification is less than half what it was.
3. IV expansion creates opportunity. At 21.8% ATM, options are expensive. Sellers of premium benefit from mean reversion toward lower vol, which is the typical path once positioning stabilizes.
4. The 110-point decline may have cleared weak hands. Forced selling from the amplifying regime likely exhausted the marginal sellers. The positioning that drove the decline has now restructured.
April dampening is genuinely constructive. The question is whether the thin floor at 6550 holds — if it does, the front two months support recovery. If it breaks, the regime reverts.
SPX PROBABILITY FORECAST — 6,606.49 · March 19, 2026
Breeden-Litzenberger risk-neutral density · Cornish-Fisher skew/kurtosis adjustment · GEX+ regime conditioning
1-DAY FORECAST — March 20
5th PCTILE
6,457.7
25th PCTILE
6,559.1
MEDIAN
6,609.5
75th PCTILE
6,657.8
95th PCTILE
6,749.3
1σ MOVE
±91 pts
±1.37%
FORWARD
6,607.3
90% RANGE
6,458 – 6,749
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,350 | 0.0% | 100.0% |
| 6,400 | 0.3% | 99.7% |
| 6,450 | 4.6% | 95.4% |
| 6,500 | 14.9% | 85.1% |
| 6,550 | 30.1% | 69.9% |
| 6,600 | 46.6% | 53.4% |
| 6,650 | 63.8% | 36.2% |
| 6,700 | 81.0% | 19.0% |
| 6,750 | 93.9% | 6.1% |
| 6,800 | 99.7% | 0.3% |
| 6,850 | 100.0% | 0.0% |
1-WEEK FORECAST — March 26
5th PCTILE
6,276.0
25th PCTILE
6,502.7
MEDIAN
6,615.3
75th PCTILE
6,723.3
95th PCTILE
6,928.1
1σ MOVE
±203 pts
±3.07%
FORWARD
6,610.4
90% RANGE
6,276 – 6,928
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,350 | 12.6% | 87.4% |
| 6,400 | 18.6% | 81.4% |
| 6,450 | 25.4% | 74.6% |
| 6,500 | 32.6% | 67.4% |
| 6,550 | 40.0% | 60.0% |
| 6,600 | 47.5% | 52.5% |
| 6,650 | 55.1% | 44.9% |
| 6,700 | 62.9% | 37.1% |
| 6,750 | 70.8% | 29.2% |
| 6,800 | 78.5% | 21.5% |
| 6,850 | 85.4% | 14.6% |
APRIL EXPIRY DISTRIBUTION — 29 DTE
BL MEAN
6,591.7
BL STD
169.5
SKEWNESS
-0.145
KURTOSIS
4.85
| SPX Level | P(below at expiry) | P(above at expiry) |
|---|---|---|
| 6,100 | 0.0% | 100.0% |
| 6,200 | 0.2% | 99.8% |
| 6,300 | 4.8% | 95.2% |
| 6,400 | 16.2% | 83.8% |
| 6,500 | 32.7% | 67.3% |
| 6,600 | 50.5% | 49.5% |
| 6,700 | 69.2% | 30.8% |
| 6,800 | 86.6% | 13.4% |
| 6,900 | 97.3% | 2.7% |
| 7,000 | 100.0% | 0.0% |
GEX+ REGIME CONDITIONING
April is now dampening at spot. Risk-neutral probabilities are more reliable near-the-money than in prior sessions because the front month is absorbing rather than amplifying. However, June’s −2.5B amplification means the back-month still distorts longer-horizon estimates. Left tail: modestly understated (negative NPD). Right tail: less overstated than prior sessions (dampening at spot).
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).