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 24: Prob (above) 6500 84.4% | Prob (below) 6650 79.8%
1-Week Forecast — March 30: Prob (above) 6400 84.7% | Prob (below) 6750 81.7%
1-Week Forecast — March 30: Prob (above) 6400 84.7% | Prob (below) 6750 81.7%
IN PLAIN LANGUAGE
The options market positioning has done something it hasn’t done in the history of this analysis: it has essentially neutralized. Combined GEX+ across all three months is just −0.3B — compared to −4.9B a week ago and −2.9B at the start of our tracking. The blind spot between what conventional models see and what the LOB data shows has collapsed to $0.1B. For the first time, the naive model and the DDOI model nearly agree.
Net Put Delta (NPD) is +50 — essentially flat. Dealers are neither long nor short puts in any meaningful way. There is no safety valve and no vulnerability. The dealer book is balanced.
The zero-gamma crossing has dropped to 6184 — a full 6.0% below current spot. That means SPX is sitting deep inside the April dampening zone. At these levels, dealer hedging absorbs moves rather than amplifying them. The market would need to fall nearly 400 points to re-enter amplification territory on the April book.
Crash Risk at −5% shows essentially zero GEX+ (−0.01B). The crash amplification machinery has been disarmed for the front month.
Charm has dropped sharply to +3.3M delta/day, down from +14.9M last session and +58.9M a week ago. With positioning so balanced, there is very little directional time-decay pressure in either direction.
Bottom line: The selloff of the past two weeks has restructured the options market from a deeply amplifying, fragile regime into something approaching neutrality. The front month is dampening, the crash risk machinery is disarmed, and dealers are balanced. The risk now is not the options positioning — it is whatever fundamental catalyst moves the market next, because the options structure has very little opinion about direction from here.
Net Put Delta (NPD) is +50 — essentially flat. Dealers are neither long nor short puts in any meaningful way. There is no safety valve and no vulnerability. The dealer book is balanced.
The zero-gamma crossing has dropped to 6184 — a full 6.0% below current spot. That means SPX is sitting deep inside the April dampening zone. At these levels, dealer hedging absorbs moves rather than amplifying them. The market would need to fall nearly 400 points to re-enter amplification territory on the April book.
Crash Risk at −5% shows essentially zero GEX+ (−0.01B). The crash amplification machinery has been disarmed for the front month.
Charm has dropped sharply to +3.3M delta/day, down from +14.9M last session and +58.9M a week ago. With positioning so balanced, there is very little directional time-decay pressure in either direction.
Bottom line: The selloff of the past two weeks has restructured the options market from a deeply amplifying, fragile regime into something approaching neutrality. The front month is dampening, the crash risk machinery is disarmed, and dealers are balanced. The risk now is not the options positioning — it is whatever fundamental catalyst moves the market next, because the options structure has very little opinion about direction from here.
SESSION CHANGES — March 19 → March 23
SPX −25 points (6606 → 6581). The decline continued but the structural positioning transformed:
Combined GEX+ collapsed from −1.9B to −0.3B. All three months moved toward neutral. April −0.03B, May −0.09B, June −0.18B. The amplification has been drained from the system.
NPD normalized from −649 to +50. Dealers are no longer exposed in either direction. The put book is balanced.
Blind spot collapsed from $5.0B to $0.1B. For the first time, DDOI and naive models essentially agree. The information asymmetry has vanished.
Zero-gamma dropped from −0.9% to −6.0% (6184). Spot is now deep in the dampening zone.
IV steady at ~21%. Apr ATM 21.8% → 21.4%. The vol repricing from last week has stabilized rather than continuing to expand.
Combined GEX+ collapsed from −1.9B to −0.3B. All three months moved toward neutral. April −0.03B, May −0.09B, June −0.18B. The amplification has been drained from the system.
NPD normalized from −649 to +50. Dealers are no longer exposed in either direction. The put book is balanced.
Blind spot collapsed from $5.0B to $0.1B. For the first time, DDOI and naive models essentially agree. The information asymmetry has vanished.
Zero-gamma dropped from −0.9% to −6.0% (6184). Spot is now deep in the dampening zone.
IV steady at ~21%. Apr ATM 21.8% → 21.4%. The vol repricing from last week has stabilized rather than continuing to expand.
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 6,581.00 · March 23, 2026
THE CHART
The heatmap reflects April expiry positioning (25 DTE). Current spot (6,581.00) sits deep in the dampening zone — 6.0% above the zero-GEX+ contour at 6184. The blue band around current levels confirms dealers are absorbing moves. The danger zone (red) is visible only at extreme downside scenarios.
PRICE, GEX & VEX
April GEX+ at −0.0B — essentially neutral. VGR at 2,511×. The naive model shows −0.0B — the two models agree within $0.1B for the first time. 43.6% disagreement on individual contracts, but the aggregate impact nets to near zero.
May at −0.1B and June at −0.2B — all three months within a narrow band of neutrality. Combined GEX+ of −0.3B with a $0.1B blind spot. The information asymmetry between DDOI and naive has essentially disappeared.
May at −0.1B and June at −0.2B — all three months within a narrow band of neutrality. Combined GEX+ of −0.3B with a $0.1B blind spot. The information asymmetry between DDOI and naive has essentially disappeared.
CHARM — TIME DECAY HEDGING PRESSURE
Net charm dropped to +3.3M delta/day — minimal.
April: +1.0M/day (25 DTE).
May: +0.8M/day (53 DTE).
June: +1.5M/day (87 DTE).
On Charm: With positioning so balanced, charm has very little directional work to do. The +58.9M/day of a week ago reflected the tension between large amplifying and dampening forces. Today, with GEX+ near zero across all months, charm is correspondingly quiet. As April approaches expiry, charm will still accelerate but from a much smaller base.
April: +1.0M/day (25 DTE).
May: +0.8M/day (53 DTE).
June: +1.5M/day (87 DTE).
On Charm: With positioning so balanced, charm has very little directional work to do. The +58.9M/day of a week ago reflected the tension between large amplifying and dampening forces. Today, with GEX+ near zero across all months, charm is correspondingly quiet. As April approaches expiry, charm will still accelerate but from a much smaller base.
MARKET FRAGILITY
All three months are near-neutral. No month carries meaningful amplification. Combined GEX+ of −0.3B is the smallest reading in this analysis.
NPD at +50 — balanced. Dealers are neither insulated nor exposed. No safety valve, but no vulnerability either.
Zero-gamma at -6.0% (6184) is ~397 points below spot. The dampening zone is thick.
Crash Risk is disarmed. At −5% (SPX 6251.9): GEX+ −0.0B. At −10%: +0.0B. The front-month amplification machinery has been dismantled.
IV has stabilized at ~21% ATM after the sharp expansion last week. Skew at 9.1% in April.
NPD at +50 — balanced. Dealers are neither insulated nor exposed. No safety valve, but no vulnerability either.
Zero-gamma at -6.0% (6184) is ~397 points below spot. The dampening zone is thick.
Crash Risk is disarmed. At −5% (SPX 6251.9): GEX+ −0.0B. At −10%: +0.0B. The front-month amplification machinery has been dismantled.
IV has stabilized at ~21% ATM after the sharp expansion last week. Skew at 9.1% in April.
THE BEAR CASE
1. The options market has stopped providing directional information. Near-zero GEX+ means dealer hedging flows are neutral — neither supporting nor resisting. The next move will be driven by fundamentals, not positioning.
2. IV at 21% is still elevated relative to the 18–19% levels two weeks ago. The market retains its risk premium even as positioning neutralized.
3. The selloff cleared positioning, not concerns. The move from 6716 to 6581 restructured the options market but didn’t resolve whatever macro catalyst drove it.
Neutral positioning does not mean neutral risk. It means the options market has no opinion. The next catalyst — earnings, macro data, policy — will move a market that now has very little mechanical resistance in either direction.
2. IV at 21% is still elevated relative to the 18–19% levels two weeks ago. The market retains its risk premium even as positioning neutralized.
3. The selloff cleared positioning, not concerns. The move from 6716 to 6581 restructured the options market but didn’t resolve whatever macro catalyst drove it.
Neutral positioning does not mean neutral risk. It means the options market has no opinion. The next catalyst — earnings, macro data, policy — will move a market that now has very little mechanical resistance in either direction.
THE BULL CASE
1. The crash risk machinery is fully disarmed. At −5%, GEX+ is essentially zero. There is no amplification cascade available for the front month.
2. Spot is deep in the dampening zone. 6.0% above zero-gamma means ~397 points of buffer before any amplification re-engages.
3. The blind spot collapsed. DDOI and naive agree. When markets disagree with models, dislocations happen. When they agree, price discovery is cleaner.
4. NPD at +50 is balanced. No hidden exposure in either direction.
This is the cleanest positioning environment since tracking began. A rally from here would not face the vanna resistance that capped upside for the past two weeks. The path upward is mechanically unobstructed for the first time.
2. Spot is deep in the dampening zone. 6.0% above zero-gamma means ~397 points of buffer before any amplification re-engages.
3. The blind spot collapsed. DDOI and naive agree. When markets disagree with models, dislocations happen. When they agree, price discovery is cleaner.
4. NPD at +50 is balanced. No hidden exposure in either direction.
This is the cleanest positioning environment since tracking began. A rally from here would not face the vanna resistance that capped upside for the past two weeks. The path upward is mechanically unobstructed for the first time.
SPX PROBABILITY FORECAST — 6,581.00 · March 23, 2026
Breeden-Litzenberger risk-neutral density · Cornish-Fisher skew/kurtosis adjustment · GEX+ regime conditioning
1-DAY FORECAST — March 24
5th PCTILE
6,429.4
25th PCTILE
6,516.9
MEDIAN
6,584.6
75th PCTILE
6,649.7
95th PCTILE
6,724.7
1σ MOVE
±89 pts
±1.35%
FORWARD
6,581.8
90% RANGE
6,429 – 6,725
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,300 | 0.4% | 99.6% |
| 6,350 | 1.2% | 98.8% |
| 6,400 | 3.0% | 97.0% |
| 6,450 | 6.7% | 93.3% |
| 6,500 | 15.6% | 84.4% |
| 6,550 | 33.4% | 66.6% |
| 6,600 | 57.9% | 42.1% |
| 6,650 | 79.8% | 20.2% |
| 6,700 | 92.4% | 7.6% |
| 6,750 | 97.3% | 2.7% |
| 6,800 | 99.0% | 1.0% |
1-WEEK FORECAST — March 30
5th PCTILE
6,244.2
25th PCTILE
6,439.9
MEDIAN
6,591.2
75th PCTILE
6,736.8
95th PCTILE
6,904.5
1σ MOVE
±198 pts
±3.01%
FORWARD
6,584.9
90% RANGE
6,244 – 6,904
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,300 | 7.2% | 92.8% |
| 6,350 | 10.5% | 89.5% |
| 6,400 | 15.3% | 84.7% |
| 6,450 | 22.0% | 78.0% |
| 6,500 | 30.7% | 69.3% |
| 6,550 | 41.0% | 59.0% |
| 6,600 | 52.2% | 47.8% |
| 6,650 | 63.3% | 36.7% |
| 6,700 | 73.4% | 26.6% |
| 6,750 | 81.7% | 18.3% |
| 6,800 | 88.0% | 12.0% |
APRIL EXPIRY DISTRIBUTION — 25 DTE
BL MEAN
6,622.6
BL STD
270.5
SKEWNESS
-0.188
KURTOSIS
2.01
| SPX Level | P(below at expiry) | P(above at expiry) |
|---|---|---|
| 6,000 | 2.1% | 97.9% |
| 6,100 | 3.6% | 96.4% |
| 6,200 | 6.0% | 94.0% |
| 6,300 | 10.4% | 89.6% |
| 6,400 | 18.0% | 82.0% |
| 6,500 | 29.7% | 70.3% |
| 6,600 | 45.0% | 55.0% |
| 6,700 | 61.5% | 38.5% |
| 6,800 | 76.1% | 23.9% |
| 6,900 | 86.7% | 13.3% |
GEX+ REGIME CONDITIONING
With positioning near-neutral, risk-neutral probabilities are more reliable than in any prior session. The distortion from dealer amplification is minimal. Left and right tails are both reasonably estimated. The BL density’s low kurtosis (2.01) suggests thinner tails than normal — the market is pricing relatively contained outcomes for the front month.
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).