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 19: Prob (above) 6550 79.2% | Prob (below) 6700 78.5%
1-Week Forecast — March 25: Prob (above) 6550 65.3% | Prob (below) 6700 62.5%
1-Week Forecast — March 25: Prob (above) 6550 65.3% | Prob (below) 6700 62.5%
The options market prices a 1σ daily move of ±90 points (1.4%) and a 1-week move of ±202 points (3.0%). IV expanded sharply (ATM 18.6% → 21.6%). Combined GEX+ at −7.2B with the blind spot widening to $10.4B. April flipped to dampening but NPD turned negative again at -245.
IN PLAIN LANGUAGE
The 91-point selloff reshuffled the entire positioning landscape. April — the front month that has been amplifying for weeks — flipped to dampening at +0.4B. That means the next 30 days of dealer hedging in the front month now works with the market rather than against it. On a rally, April dealers buy; on a dip, they sell less aggressively. The zero-gamma crossing dropped to 6029 (-9.0%), which is now well below current spot — meaning the front month has already crossed into dampening territory.
But the back months tell a different story. June deepened sharply to −6.5B — the largest single-month amplification we’ve seen in this analysis. May also flipped back to amplifying at −1.0B. Combined GEX+ worsened from −4.9B to −7.2B, driven almost entirely by June’s massive OI (1.8M contracts).
Net Put Delta (NPD) reversed again to -245 — dealers are back to net short puts, losing the safety cushion that was restored just yesterday. The protection was temporary.
April’s disagreement rate spiked to 75.1% — three out of four LOB-classified contracts disagree with naive directional assumptions. This is the highest disagreement we’ve recorded, and it’s what drove the April regime flip. The selloff forced a wholesale repositioning of the front month.
Bottom line: The front month flipped supportive for the first time, but the term structure behind it is the most negative yet. April is helping; May and June are working against. The crash risk machinery moved from the front month to the back — the immediate danger receded but the structural risk deepened and extended.
But the back months tell a different story. June deepened sharply to −6.5B — the largest single-month amplification we’ve seen in this analysis. May also flipped back to amplifying at −1.0B. Combined GEX+ worsened from −4.9B to −7.2B, driven almost entirely by June’s massive OI (1.8M contracts).
Net Put Delta (NPD) reversed again to -245 — dealers are back to net short puts, losing the safety cushion that was restored just yesterday. The protection was temporary.
April’s disagreement rate spiked to 75.1% — three out of four LOB-classified contracts disagree with naive directional assumptions. This is the highest disagreement we’ve recorded, and it’s what drove the April regime flip. The selloff forced a wholesale repositioning of the front month.
Bottom line: The front month flipped supportive for the first time, but the term structure behind it is the most negative yet. April is helping; May and June are working against. The crash risk machinery moved from the front month to the back — the immediate danger receded but the structural risk deepened and extended.
SESSION CHANGES — March 17 → March 18
SPX −91 points (6716 → 6625). The largest single-session decline in this analysis.
April flipped to dampening (−3.2B → +0.4B). Front month now supportive. 75.1% disagreement — the selloff forced massive LOB repositioning.
May flipped back to amplifying (+1.1B → −1.0B). Mid-term cushion lost again.
June deepened sharply (−2.7B → −6.5B). Now the dominant risk — largest single-month amplification recorded.
NPD reversed to −245 (from +1,684). Dealers lost their put cushion in one session.
IV expanded 3.0 points (ATM 18.6% → 21.6%). Skew widened 8.1% → 9.7%. Combined GEX+ worsened −4.9B → −7.2B. Blind spot widened $9.5B → $10.4B.
April flipped to dampening (−3.2B → +0.4B). Front month now supportive. 75.1% disagreement — the selloff forced massive LOB repositioning.
May flipped back to amplifying (+1.1B → −1.0B). Mid-term cushion lost again.
June deepened sharply (−2.7B → −6.5B). Now the dominant risk — largest single-month amplification recorded.
NPD reversed to −245 (from +1,684). Dealers lost their put cushion in one session.
IV expanded 3.0 points (ATM 18.6% → 21.6%). Skew widened 8.1% → 9.7%. Combined GEX+ worsened −4.9B → −7.2B. Blind spot widened $9.5B → $10.4B.
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 6,624.70 · March 18, 2026
THE CHART
The heatmap reflects April expiry positioning (30 DTE). Current spot (6,624.70) sits above the zero-gamma crossing for the first time — April is now in dampening territory. The zero-GEX+ contour lies at -9.0% (6029), well below current spot. However, the combined three-month picture remains deeply amplifying at −7.2B.
PRICE, GEX & VEX
April GEX+ at +0.4B — dampening for the first time. VGR at 1,904×. Naive shows +1.4B. 75.1% of April contracts disagree with naive — the highest recorded.
May is amplifying at −1.0B (40.3% disagreement). June is deeply amplifying at −6.5B with 1.8M OI — the dominant risk in the term structure. Combined −7.2B vs naive +3.3B = $10.4B blind spot.
May is amplifying at −1.0B (40.3% disagreement). June is deeply amplifying at −6.5B with 1.8M OI — the dominant risk in the term structure. Combined −7.2B vs naive +3.3B = $10.4B blind spot.
CHARM — TIME DECAY HEDGING PRESSURE
Net charm is +53.5M delta/day — still supportive but easing from +58.9M.
April: −3.2M/day (30 DTE). Still the largest contributor despite the regime flip.
May: +10.5M/day (58 DTE).
June: +46.2M/day (92 DTE).
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, creating stronger pin risk around high-OI strikes — stickier near key levels, faster when the market breaks away.
April: −3.2M/day (30 DTE). Still the largest contributor despite the regime flip.
May: +10.5M/day (58 DTE).
June: +46.2M/day (92 DTE).
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, creating stronger pin risk around high-OI strikes — stickier near key levels, faster when the market breaks away.
MARKET FRAGILITY
April is dampening but May and June amplify. The risk migrated from the front month to the back. June at −6.5B is the largest single-month amplification recorded.
NPD at -245 — dealers are net short puts again. Yesterday’s +1,684 cushion evaporated in one session. Forced selling hits an exposed book.
75.1% April disagreement. Three in four contracts disagree with naive. The selloff forced wholesale repositioning of the front month.
Crash Risk at −5% (SPX 6293.5): GEX+ at −0.0B. At −10%: +0.0B. The crash risk profile flattened because April is now dampening — near-term drawdowns face less amplification.
Blind spot widened to $10.4B. The largest information asymmetry recorded.
NPD at -245 — dealers are net short puts again. Yesterday’s +1,684 cushion evaporated in one session. Forced selling hits an exposed book.
75.1% April disagreement. Three in four contracts disagree with naive. The selloff forced wholesale repositioning of the front month.
Crash Risk at −5% (SPX 6293.5): GEX+ at −0.0B. At −10%: +0.0B. The crash risk profile flattened because April is now dampening — near-term drawdowns face less amplification.
Blind spot widened to $10.4B. The largest information asymmetry recorded.
THE BEAR CASE
1. Combined GEX+ at −7.2B is the worst yet. Despite April flipping, the aggregate worsened because June deepened massively.
2. June at −6.5B extends the risk horizon through mid-June. With 1.8M OI, this is not a positioning artifact — it’s the largest pool of amplifying exposure in the term structure.
3. NPD at -245 means no cushion. The safety valve that was restored yesterday lasted exactly one session.
4. IV expanded sharply (ATM 18.6% → 21.6%). More vanna fuel for cascades. Skew widened to 9.7%.
The front month improved but the term structure deteriorated. June’s dominance means a sustained selloff would draw amplification from the deepest OI pool. The risk moved from 30 days out to 92 days out.
2. June at −6.5B extends the risk horizon through mid-June. With 1.8M OI, this is not a positioning artifact — it’s the largest pool of amplifying exposure in the term structure.
3. NPD at -245 means no cushion. The safety valve that was restored yesterday lasted exactly one session.
4. IV expanded sharply (ATM 18.6% → 21.6%). More vanna fuel for cascades. Skew widened to 9.7%.
The front month improved but the term structure deteriorated. June’s dominance means a sustained selloff would draw amplification from the deepest OI pool. The risk moved from 30 days out to 92 days out.
THE BULL CASE
1. April flipped to dampening for the first time. The front month — the most gamma-sensitive expiry — is now working with the market. Near-term rallies face less dealer resistance.
2. The zero-gamma crossing is below spot. At 6029 (-9.0%), spot is already above the April regime line. The front month doesn’t need to rally to flip — it already did.
3. The selloff may have been the capitulation. 75.1% April disagreement indicates massive repositioning. The LOB data shows dealers rebuilt their positions at lower strikes, potentially creating a new floor.
4. Charm at +53.5M/day continues to provide a daily supportive bid.
5. Crash risk profile flattened. Near-term drawdowns face dampening from April, unlike prior sessions where the front month accelerated declines.
The front month is the cleanest it’s been. If June’s positioning proves less reliable (51% of its flow is naive-aligned), the combined picture may be less dire than the headline number suggests.
2. The zero-gamma crossing is below spot. At 6029 (-9.0%), spot is already above the April regime line. The front month doesn’t need to rally to flip — it already did.
3. The selloff may have been the capitulation. 75.1% April disagreement indicates massive repositioning. The LOB data shows dealers rebuilt their positions at lower strikes, potentially creating a new floor.
4. Charm at +53.5M/day continues to provide a daily supportive bid.
5. Crash risk profile flattened. Near-term drawdowns face dampening from April, unlike prior sessions where the front month accelerated declines.
The front month is the cleanest it’s been. If June’s positioning proves less reliable (51% of its flow is naive-aligned), the combined picture may be less dire than the headline number suggests.
SPX PROBABILITY FORECAST — 6,624.70 · March 18, 2026
Breeden-Litzenberger risk-neutral density · Cornish-Fisher skew/kurtosis adjustment · GEX+ regime conditioning
1-DAY FORECAST — March 19
5th PCTILE
6,474.3
25th PCTILE
6,568.2
MEDIAN
6,627.6
75th PCTILE
6,685.1
95th PCTILE
6,769.4
1σ MOVE
±90 pts
±1.36%
FORWARD
6,625.5
90% RANGE
6,474 – 6,769
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,350 | 0.1% | 99.9% |
| 6,400 | 0.6% | 99.4% |
| 6,450 | 2.8% | 97.2% |
| 6,500 | 8.9% | 91.1% |
| 6,550 | 20.8% | 79.2% |
| 6,600 | 38.5% | 61.5% |
| 6,650 | 59.4% | 40.6% |
| 6,700 | 78.5% | 21.5% |
| 6,750 | 91.6% | 8.4% |
| 6,800 | 97.9% | 2.1% |
| 6,850 | 99.8% | 0.2% |
1-WEEK FORECAST — March 25
5th PCTILE
6,290.5
25th PCTILE
6,500.4
MEDIAN
6,633.4
75th PCTILE
6,762.0
95th PCTILE
6,950.3
1σ MOVE
±202 pts
±3.04%
FORWARD
6,628.6
90% RANGE
6,290 – 6,950
| SPX Level | P(below) | P(above) |
|---|---|---|
| 6,350 | 9.0% | 91.0% |
| 6,400 | 13.6% | 86.4% |
| 6,450 | 19.5% | 80.5% |
| 6,500 | 26.6% | 73.4% |
| 6,550 | 34.7% | 65.3% |
| 6,600 | 43.7% | 56.3% |
| 6,650 | 53.1% | 46.9% |
| 6,700 | 62.5% | 37.5% |
| 6,750 | 71.3% | 28.7% |
| 6,800 | 79.2% | 20.8% |
| 6,850 | 85.8% | 14.2% |
APRIL EXPIRY DISTRIBUTION — 30 DTE
BL MEAN
6,593.3
BL STD
202.7
SKEWNESS
-0.143
KURTOSIS
3.38
| SPX Level | P(below at expiry) | P(above at expiry) |
|---|---|---|
| 6,100 | 0.8% | 99.2% |
| 6,200 | 2.9% | 97.1% |
| 6,300 | 8.1% | 92.0% |
| 6,400 | 17.8% | 82.2% |
| 6,500 | 32.3% | 67.7% |
| 6,600 | 50.3% | 49.7% |
| 6,700 | 68.7% | 31.3% |
| 6,800 | 83.9% | 16.1% |
| 6,900 | 93.7% | 6.3% |
| 7,000 | 98.3% | 1.7% |
GEX+ REGIME CONDITIONING
Risk-neutral probabilities with a split regime. April is dampening (supportive near-term) but May+Jun amplify. Left tail risk depends on horizon: understated beyond May expiry where June’s −6.5B dominates. Right tail slightly overstated by back-month vanna resistance. NPD at -245 means no put cushion.
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).