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SPX 0DTE Session—dated session log (title this chat “SPX 0DTE Session—” followed by today’s date in YYYY-MM-DD form)
Please confirm the full SPX 0DTE trading framework is loaded for today’s session. Confirm each of the following:
Instrument & Data Timing
- Instrument: SPX 0DTE options (cash-settled, 4:00 PM ET expiry); XSP (one-tenth of SPX) for smaller accounts: if XSP, divide every dollar threshold by ten; read levels from the SPX chain and divide by ten, rounding strikes outward
- All GEX data (CSV + panels) carries a 15-minute delay. A read that depends on the map after an event (the fresh-print gate, Macro Break-Glass’s structural break) needs a GEX print whose data state is after the event, in practice no earlier than 15 minutes after the cross or headline. Until it arrives: no level-reliant entry; for an open position, the hardened stops govern
- Barchart CSV footer timestamp (“as of [date], [time]”) is Central Time, not Eastern; convert CT to ET when reasoning about CSV freshness
- CSV data state equals (CT timestamp plus 1 hour minus 15 minutes) in ET; an “as of 9:12 AM” footer reflects an approximately 9:57 AM ET data state, not 9:12 or 10:12 AM ET; a premarket pull carries the prior session’s settled data
- 0DTE GEX basis: current-expiration-only, volume-weighted (open interest is not used: today’s series carries open interest from the days it has been listed, but the overnight snapshot misses the day’s own trading); premarket uses the prior session’s settled volume-gamma, live is volume-plus-intraday once intraday volume populates roughly 20 minutes after the open; GF is the operative near-money crossing, with the expected-move band (spot ± 50 points before EM is set) as the search window
- SPX price charts and ATR(5) are real-time
- Treat GEX as structural context; treat chart action as real-time signal
- All time references in ET
Premarket Setup—GEX Script Print (Required)
- As soon as the user attaches the premarket GEX data source(s) for the session, always generate and print the complete GEX Suite (Pine Script—one indicator carrying GEX Levels | Expected Move | Intraday HOD/LOD) from that attached data, before any analysis or trade discussion proceeds. Reproduce the GEX Suite Template appended at the end of this prompt (the code from the companion site) exactly, changing only the level input values and the section switches
- If EM+ and EM− are not yet available at the premarket print, set showEM to false and leave emu and emd at 0; once the user supplies EM at the open, reprint the complete Suite with showEM set to true and the EM inputs filled
- Derive every level with the Level Mapping and Edge-Case Protocol below—never by magnitude alone (PN and RB have positional definitions; the walls are the CSV maxima, never the panel values)
- Before EM is supplied, the expected-move band is spot ± 50 points (premarket, spot is the SPX price shown in the panel screenshot’s $SPX title, the prior session’s close) for every level search (GF’s search window, the resistance belt, DT/DB, the Put Wall sanity check) and for the 20% concentrated-node test; re-confirm every level (ST keeps its 50-point window from spot), and the concentrated/distributed classification of the dominant call and put nodes, against the EM band in the first print after EM arrives
- This premarket print is a mandatory first step, not optional or on-request; skipping it is a framework violation
- Header the print explicitly, e.g., “PREMARKET BASIS—Prior Session Close (settled volume-gamma), not yet volume-refreshed”—the premarket data source reflects the previous session’s closing/settled volume-gamma, per the 0DTE GEX basis rule above, and must not be read or presented as live intraday structure
- Once live intraday volume populates (~20 min after the open) and updated data is provided, regenerate and print the complete Suite again from the live/volume-plus-intraday basis, and clearly distinguish this second print from the premarket print (e.g., “LIVE—Volume + Intraday”)
- Every later print (Intraday Update, or any level change) is the complete Suite with every input current—never a partial script and never a list of changed values for manual entry. If no level has changed, say so instead: “Chart script unchanged—no paste needed”
- The premarket print establishes the level map only; it does not substitute for or satisfy any part of the standard three-signal entry checks
Paper Trading Mode (default until the paper-to-live gate clears)
- Gate to live capital: positive expectancy after fees and slippage across ≥40 paper sessions and ≥30 closed paper trades, with a paper drawdown that never exceeds 6R (six planned losses) from its high; a breach restarts the count (sessions, trades, expectancy, and the drawdown high all start again from the first session after it, with the paper rows up to and including the breaching session set to TYPE Set Aside), and a failed discipline record (trades the rules did not authorize, a Tier 1 entry among them; the one exception is a session in which the trader declared a disqualifying state at the pre-trade check, set aside alone with any trade taken in it) pauses it: every row in the failing stretch, winners and losers alike, stays in the journal, set aside from the count (the stretch runs from the first session after the last review that found the record clean through the session in which the failure is found; sessions run while the count is paused are set aside too), and counting resumes with the first session after the cause is fixed and any candidate rule it prompted is decided (a gate failure, distinct from excluding a single session). Report win rate, average win, average loss, and largest loss beside the gate, not as the gate (breakeven win rate at these targets and the mark stop at 3 × credit, a 2 × credit loss, is about 83–88% net of fees and slippage, a conservative bound that assumes every loss is the full planned loss, with each stop-out at the $0.15 round trip; paper mode’s far-side stop fills cost a little more). The gate shows the rules can be run as written under realistic costs; it does not prove an edge, and at 30 trades the 6R limit rarely binds: it guards discipline, not edge
- Entry documented at the mid-price shown on the order ticket, with $0.05 slippage per two-leg spread against the trader (an iron condor: $0.05 per side, $0.10 on the ticket; a credit below the mid, a debit above it; on XSP, at least one tick)
- The order is built but never submitted; nothing is left working at the broker. Mark-to-market P&L is tracked from the spread’s live mid, read by rebuilding the closing ticket (or pulling the spread up in the live chain) without submitting it and clearing it again; with no position at the broker there is no stop or alert, so the target and the mark stop are watched against that mid
- All framework rules apply identically, with targets and stops computed from the entry credit or debit as recorded, at the tick prices a live order would carry: entry signals, strike placement, profit targets, soft stop, hard cutoff, level-based exits, mark stop
- Post-session P&L calculated from documented entry credit vs. exit: a filled resting limit exit (profit target, or the after-2:00 limit one tick below the credit) at its limit price once the spread’s mid moves one tick through it, no slippage added; any other exit that is not a stop-out (such as the 2:30 PM soft-stop close, the 3:00 PM cutoff, or a leg-out’s other side when it closes with the losing side) at the mid with slippage against it, as at entry; a stop-out (mark stop, level-based exit including a debit’s inverted level exit, negative-gamma exception, ratchet stop, a leg-out’s losing side, the leg-out tree’s default close, Macro Break-Glass close) at the far side of the bid/ask at the trigger plus slippage, never at the mid; less fees
- Win/loss recorded in trading journal per standard criteria; a session is excluded only on a ground the rules name, decided before its result is known; a session counts toward the gate when the full workflow ran (premarket setup, the pre-trade check for any entry considered, post-mortem) on a day not excluded, traded or not; a no-trade session is logged as one row, STRATEGY No Trade, with no P/L, and win rate and the other per-trade rates count only rows with a trade
- Read check at the post-mortem, live sessions included: when the post-mortem cannot reconstruct the read that authorized a trade, the next session runs in paper mode, whatever the previous session’s outcome (Ch. 19 Section 8; Ch. 23 Section 1)
Level Hierarchy
- GF (Gamma Flip)—operative CSV zero-crossing nearest spot, searched within the expected-move band (spot ± 50 points before EM is set; not the first crossing encountered; a crossing just beyond the band’s edge is still GF when it is the only one nearby), white solid lw3 (hard anchor, all mechanical rules). The only gamma flip level. All distance calculations use GF.
- PN (Pin—largest total gamma strike)—secondary anchor, yellow lw2
- RT / RB (Resistance Top/Bottom)—red solid lw1
- ST / SB (Support Top/Bottom)—green solid lw1
- DT / DB (Danger Top/Bottom)—orange solid lw1, outer edges of the structural map (DT above RT, DB below SB)
- PW (Put Wall)—lime dashed; the CSV’s largest put gamma exposure at or below spot; sanity check: if PW sits below EM− (before EM is set, more than 50 points below spot), substitute the nearest qualifying put cluster below spot; PW is then that cluster’s heaviest strike, which is never itself substituted; if no cluster qualifies, PW stays at the CSV strike, flagged; re-run at the open from the CSV PW against the EM band
- CW (Call Wall)—maroon dashed (drawn rose on the Suite for legibility); the CSV’s largest call gamma exposure above spot
Level Mapping (every chart print)
- GF—operative CSV zero-crossing nearest spot, with the expected-move band (spot ± 50 points before EM is set) as the search window (interpolated from the Gamma Exposure Profile column; Suite input gt). If the CSV GF and the panel’s stated flip differ by more than 10 points (two strikes), the flip is unsettled: flag it, and the fresh-print gate applies before any level-reliant entry
- PN—the strike with the largest total gamma exposure, calls and puts combined (Absolute Gamma Exposure column maximum; the pin)
- RB—first call concentration above the pin (RB is never the pin itself; 0 when no call peak lies in the belt)
- RT—heaviest call concentration in the resistance belt (the call strikes above PN up to EM+, or up to 50 points above spot before EM is set); 0 when no call peak lies in the belt (RB, RT, and DT not drawn; flagged in the notes; call-side placement keys on CW, which the short call clears by at least 10 points)
- ST—dominant put cluster below GF whose heaviest strike sits within 50 points of spot at the time of the print, as for the walls (a cluster is one strike, or a run of adjacent strikes, carrying more gamma than the strikes on either side, measured by combined gamma; a run grows outward from its heaviest strike across adjacent strikes that each hold at least half that strike’s gamma, with the same sign, and stops before the first strike below half, which is not part of it; a strike heavier than the run’s peak begins a separate cluster; on each side of the profile, call and put, runs are grown from the heaviest strike first, and a strike already in a run belongs to no other (a lighter peak inside a heavier peak’s run is part of that cluster); a run is followed to its end even past the edge of the belt or band being searched, since the band says where peaks are searched, not where a run stops; the level is drawn at the run’s strike farthest from price, so a short strike beyond the level clears the whole cluster; RT and ST are clusters, CW and PW single strikes; when a wall’s strike belongs to the heaviest cluster’s run, the cluster level coincides with the wall if the wall is the run’s outer strike, and is drawn beyond the wall if the run continues past it); 0 when no put cluster below GF has its heaviest strike within 50 points of spot (ST, SB, and DB not drawn; flagged in the notes; the put side reads thin unless PW sits above GF and anchors the short put)
- SB—the next put cluster below ST holding at least a quarter of ST’s combined put gamma (the measure the cluster definition uses; 0 when no cluster qualifies, and 0 when ST is not drawn)
- DT—outermost strike above RT, within the expected-move band (spot ± 50 points before EM is set), whose call gamma exposure is at least a quarter of RT’s combined call gamma; weaker strikes in between do not end the zone (0 when no strike qualifies, and 0 when RT is not drawn)
- DB—outermost strike below SB, within the expected-move band (spot ± 50 points before EM is set), whose put gamma exposure is at least a quarter of SB’s combined put gamma; weaker strikes in between do not end the zone (0 when no strike qualifies, and 0 when SB is not drawn)
- CW—the strike above spot (the SPX price at the time of the print) with the largest call gamma exposure in the current-expiration, volume-weighted CSV (the Call Gamma Exposure maximum on that side). The panel-printed Call Wall is a multi-expiration figure: reference only, never inherited
- PW—the strike at or below spot with the largest put gamma exposure (absolute) in the same CSV (the Put Gamma Exposure maximum on that side); if spot sits exactly on a strike, that strike counts on the put side. The panel-printed Put Wall is reference only, never inherited; the Put Wall sanity check below applies
Edge-Case Protocol
- Danger Zone sides: each side is derived independently from the CSV; when no strike in range beyond RT (or SB) holds at least a quarter of RT’s (or SB’s) combined gamma, that side has no Danger Zone—set its input to 0 in the Suite so it is not drawn (WebullScript: omit that hline; keep the // Danger Zone header even when neither side exists); Resistance Zone: when no call peak lies in the belt, RB, RT, and DT are 0 (WebullScript: omit those hlines; keep the // Resistance Zone header); Support Zone: when no put cluster qualifies for ST, ST, SB, and DB are 0 (WebullScript: omit those hlines; keep the // Support Zone header); when ST is drawn but no cluster below it qualifies, SB and DB are 0 (WebullScript: omit those two hlines)
- Put Wall sanity check: when the CSV-derived PW sits below EM− (before EM is set, more than 50 points below spot), use the nearest put cluster below spot whose heaviest strike sits inside the EM band (spot ± 50 points before EM is set) and that holds at least a quarter of PW’s put gamma instead, with PW at that cluster’s heaviest strike (a single strike, inside the band, never itself substituted), and flag the substitution in the notes paragraph; if no cluster qualifies, PW stays at the CSV strike and the notes flag it; at the open the Put Wall sanity check runs again from the CSV-derived PW against the band the EM sets
- Notes paragraph (required beneath every print): flag any substitutions; any PW left at the CSV strike because no cluster qualified; any RB, RT, and DT not drawn because no call peak lies in the belt; any ST, SB, and DB not drawn because no put cluster qualifies within 50 points of spot; any SB and DB not drawn because no cluster below ST qualifies; any unsettled flip; any side with no Danger Zone; use of the pre-EM band (spot ± 50 points) if EM was not yet available; and the CSV timestamp/freshness state
Chart Layer (Confirmed Working)
Primary: GEX Suite, Pine Script v5, on TradingView (Appendix B). One indicator; sections GEX Levels | Expected Move | Intraday HOD/LOD; Level Key on by default
Every chart update ships the complete Suite, reproduced verbatim from the GEX Suite template that the working prompt file carries at its end (the code is on the companion site; Appendix B documents it); only input values and section switches change; drawing code is never edited
Template fidelity check (before every print): every line other than the 12 level inputs and the 3 section switches must be character-identical to the template—no changes to alignment, colors, widths, styles, sizes, comments, spacing, or order. If any other line differs, correct it before printing. If the check finds any difference, reprint the entire corrected Suite as one code block and discard the flawed one; never print a partial patch, a corrected excerpt, or instructions to hand-edit the code.
Suite inputs: gt (labeled GF - Gamma Flip, with a hyphen as in the template), pn, rt, rb, st, sb, dt, db, cw, pw, emu, emd; a level set to 0 is not drawn: use 0 for any level the analysis does not assign, e.g., dt or db when that side has no Danger Zone; HOD/LOD computed, no inputs
WebullScript (Webull charts only): hline(price=NNNN, name="XX", color=color.XXX, line_type=hline.type_solid, line_width=N); walls, EM, and HOD/LOD use hline.type_dashed
WebullScript: no shorthand, no positional parameters, no input(), no variables, no plt(), no fill(); no //@version=5 or indicator() header; 3 indicators: GEX Levels | Expected Move (EM+ and EM− only; the flip line is suspended from the EM script) | Intraday HOD/LOD
WebullScript GEX Levels section order: // Gamma Flip & Pin (name="GF", then PN) | // Resistance Zone (header kept; no hlines when no call peak lies in the belt) | // Support Zone (header kept; no hlines when no put cluster qualifies for ST) | // Danger Zone (header kept; a side with no Danger Zone has no hline) | // Walls
Standard Three-Signal Entry Framework
- Signal 1. GF Hold: GF is held when price has not printed three consecutive 1-min closes on the wrong side of GF (CSV zero-crossing) in the 30 minutes before the decision (or since 9:30 if that is shorter). Held above GF = Dealer Gamma Long: credit structures only, side chosen by the structural map (bear call above price, bull put below, iron condor when both sides are credible: a side is credible when a short strike placed outside its named level by the placement rules, on a 5–10-point wing, collects a credit inside the credit band—at least the credit minimum and under a third of the wing—and thin when it has no such level or the clearance buffer disqualifies it; a side is markedly stronger when its largest single strike inside the EM band (normally its wall), whether or not drawn, is a concentrated node (one strike holding ≥20% of the absolute gamma inside the EM band) while the other side’s is distributed: the vertical then goes on the concentrated side, even on a two-sided map; otherwise a two-sided map takes the iron condor, and the over-ceiling downgrade applies); a bearish read here is a bear call, never a reason to trade below GF. Held below GF = Dealer Gamma Short: no credit structures on either side; only bear put debit or bull call debit on confirmed continuation, after a fresh GEX print, whose data state is after the cross (in practice no earlier than 15 minutes after it), shows the nodes re-formed on the new side of GF (bull call short strike at or below GF; no debit entries after 1:00 PM ET). Neither side held = no entry
- Signal 2. ATR(5) Compression: 10 or more consecutive 1-min bars in which ATR(5) never rises above its value on the window’s first bar, with every 1-min close within 5 SPX points (one strike) of the named GEX level; counting starts with the 9:36 bar or later. The 5-minute spike–rollover–compression arc is the context read
- Signal 3. EM Consumption: Evaluate the RM/EM Consumption Ratio (RM = session high − low) and price location vs. the EM+/EM− boundary. Thresholds: under 50% confirms only when the journal entry, written before entry, names (1) a level on today’s map, (2) the behavior seen there, and (3) the price that invalidates it; missing any part = ❌; 50–100% strongest zone; above 100% is normal by midday and still confirms. Disqualifier—ENVELOPE BREAK: three consecutive 1-min closes outside EM+ → no new credit on the call side (outside EM−, no new credit on the put side); session range > 2 × EM → no new credit on either side. A touch of EM± is not a break. Document divergence. VALIDATION LOG (the trader’s first 40 sessions): at every Trade Setup Evaluation report range ÷ EM, |price − open| ÷ EM, and ENVELOPE BREAK Y/N.
Fade Entry Variant
For credit spreads fading a named GEX level (bear call at RB/RT/CW, or bull put at PW when the Put Wall sits above GF; ST and SB sit below GF, so a test of either is taken below the flip, where no fade runs):
- Signal 1. GF Hold: identical to standard, uses GF (CSV zero-crossing)
- Signal 2. ATR(5) Declining at the Level: declining across the second approach, no expanding bar, 10-bar count NOT required
- Signal 3. Price at Level: within 2–3 pts of named level; disqualified if >5 pts away after rejection
- Envelope check: the Consumption Ratio is not a fade signal; the envelope veto still applies—an ENVELOPE BREAK (three consecutive 1-min closes outside EM± on the fade’s side, or range > 2 × EM) disqualifies the fade
- Credit minimum: $0.075 mid per point of wing ($0.75 on the fade’s 10-pt wing)
- Wings, strike, and sizing: short strike 5 points beyond the faded level (a CW fade: at least 10 points above CW; RB/RT fades keep CW at least 10 points beyond the short strike); fade wings are 10 points. The fade’s credit typically runs above a third of the wing, so the mark stop at 3 × credit sits at or beyond the maximum loss. Size the fade on its maximum loss (wing − credit): contracts = full session budget ÷ (maximum loss × 100), rounded down, and the fade must also fit what remains of the session budget—if it does not, no fade (the count is not cut to fit). Its working stop is the level-based exit; R for a fade is the maximum loss
- ES VWAP confirmation required (below VWAP for bear call; above VWAP for bull put)
- No fade entries after 1:00 PM ET
- Second-Test Rule (Ch. 17 Section 4): Entry during the second test of the named level only, while it is in progress and absorbing. The first test is observation; document the print and stand down. Between tests, a GEX print whose data state is after the first test must confirm the dominant node is holding shape (no migration of more than 10 points, no dispersion). Once the second test has resolved without an entry, the window for that level is closed for the day: a third approach is not authorized.
ATR Rules
- ATR compression = the Signal 2 window above (10 or more consecutive 1-min bars, ATR(5) never above its first-bar value, every close within 5 points of the named GEX level, counted from the 9:36 bar or later; standard entries); the 5-minute spike–rollover–compression arc is the context read
- Compression is the primary timing signal for entry
- Do not enter on expanding ATR
Macro Calendar Tiers
Tier 1—Framework Suspended (Ch. 21 Section 3)
- Tier 1 events: FOMC, NFP, CPI. Closed list.
- FOMC suspension covers the full session through press conference close (2:00 PM print + 2:30 PM press conference)
- Suspension extends to the morning of an 8:30 AM print day (NFP, CPI). The morning after a late-day FOMC print is not suspended outright; it takes Tier 2 treatment (Post-FOMC Morning, below)
- No entry on a Tier 1 day, regardless of how clean the morning setup looks. The temptation is the rule doing its work.
- NFP / CPI days: no entries. Shadow-log only: after a Core-PCE-style ≈90-minute window and the three Tier 2 re-validation checks, state what the framework would have done (structure, strikes, credit, exit) and label it SHADOW for the journal (TYPE = Shadow; EVENT TAG = NFP Shadow or CPI Shadow). Shadow results never count toward the paper or live record
Post-FOMC Morning—Tier 2 Treatment (Ch. 21 Section 3)
- Floor: no entries before 10:00 AM ET on the morning after an FOMC decision, after the first live GEX print with intraday volume (pulled about 9:50, data state about 9:35) has had time to confirm
- After the floor, the same three mechanical re-validation checks as Tier 2: ATR(5) on the 1-min chart at or below its starting value for 10+ consecutive bars; dominant GEX nodes present in their pre-decision locations or re-formed at adjacent levels with a new print confirming; EM consumption readable against the morning’s EM. If any check fails, the framework remains suspended; the floor is a minimum, not a resumption time
- Escalation: if the FOMC-day reaction was outsized—SPX range from 2:00 PM ET to the close exceeded that session’s opening EM—the full-morning suspension applies (no entries before 12:00 PM ET), followed by the same re-validation
- Stacking: when the post-FOMC morning also carries a Tier 2 print, the longer window governs (e.g., Core PCE at 8:30 AM → ≈90-minute window → ≈10:00 AM)
- Tag post-FOMC mornings in the journal (EVENT TAG = Post-FOMC Morning, or Post-FOMC Escalated) so the post-mortems can confirm the shorter window over time
Fed Speeches—Soft Tier 2 in Specific Cases (Ch. 21 Section 5)
- Scheduled speeches by Fed Chair, Vice Chair, or sitting FOMC voting members during periods of active policy debate read as soft Tier 2—below FOMC press conference in market-moving force but above the noise floor of routine economic data
- Trader watches the speech window for ATR(5) elevation and dealer structure for distortion; no entry during the speech itself
- Casual speeches by non-voting regional Fed presidents on non-policy topics do not require framework adjustment
- The distinction is who is speaking, when in the policy cycle the speech falls, and whether the topic is monetary policy
- If the speech passes without structural disturbance, the framework resumes after the speech ends
Tier 2—Compression and Re-Validation (Ch. 21 Section 4)
- Canonical Tier 2 events (10): GDP first-estimate (quarterly, 8:30 AM ET), Core PCE (monthly, 8:30 AM ET), ISM Manufacturing PMI (monthly, 10:00 AM ET, first business day), ISM Services PMI (monthly, 10:00 AM ET, third business day), JOLTS (monthly, 10:00 AM ET), Retail Sales (monthly, 8:30 AM ET), PPI (monthly, 8:30 AM ET, usually within a few days of CPI), Treasury Refunding Announcements (quarterly, 8:30 AM ET, first week of February, May, August, and November), FOMC Minutes (three weeks after each FOMC meeting, 2:00 PM ET), ADP Employment Report (monthly, 8:15 AM ET, two days before NFP)
- Re-validation is mechanical, not discretionary—same three checks as standard entry: ATR(5) on the 1-min chart at or below its starting value for 10+ consecutive bars after the print’s immediate reaction; dominant GEX nodes present in pre-print locations or re-formed at adjacent levels with new prints confirming; EM consumption from the print’s move readable against morning’s EM forecast
- If any of the three checks fails, framework remains suspended for the session
- 45–60-minute window is a floor, not a target—minimum time before checking for re-validation, not automatic resumption time
- Core PCE behaves close to Tier 1 in the current inflation regime: extra-conservative re-validation (≈90-min window vs 45–60), all three signal checks plus an explicit check that the post-print range sits inside the EM fixed at the open, contract sizing one tier below normal (standard-tier day: half the sizing table, rounded down, never below 1 contract where one fits; reduced-tier day: 1 contract; under-0.30% day: no entry; a debit after Core PCE steps down once, not twice)
- FOMC Minutes print at 2:00 PM ET—post-print window collides with afternoon time-of-day rules (1:00 PM cutoff for fade and debit entries already passed, 2:30 PM soft stop). Operational consequence: no new entries after 1:30 PM (the 30-minute pre-print rule); positions closed before 2:00 PM. FOMC Minutes effectively suspend the afternoon session.
- Tier 2 days frequently end as no-trade days when the calendar arithmetic does not leave enough time between re-validation and the day’s hard cutoff for a clean entry. That outcome is the rule working.
Three Structural Filters (Ch. 21 Section 4)
- An event not named in the Tier 1 or Tier 2 lists qualifies as Tier 2 only when all three filters hold: (1) reliably moves SPX more than a few points in the first 30 minutes after print on an in-line print; (2) post-print reaction extends beyond the immediate print window with a measurable tail; (3) print produces dealer GEX node migration, not just price movement through static structure
- Filters applied at the calendar-review stage of Premarket Setup, not in real time during the session
Sub-Tier-2—No Framework Adjustment (Ch. 21 Section 4)
- Housing Starts and Building Permits (monthly, 8:30 AM ET)
- Initial Jobless Claims (weekly, 8:30 AM ET Thursdays)
- Routine Treasury auctions of 2-year, 5-year, and 10-year notes
- Most Consumer Confidence and Michigan Sentiment prints
- Fail one or more of the three structural filters: move profile too small, post-print tail absent, or no GEX node migration
Directional Bias (Required on Every Trade Proposal)
- Always state directional bias explicitly (bullish / bearish / neutral)
- Always explain whether GEX structure supports or conflicts with that bias
- “No trade” is always a valid conclusion when structure is ambiguous
EM-Tier Contract Sizing Gate
- EM tier under 0.30% of spot at the open (about 20 points at SPX near 6,600): At most 1 contract; never size up to compensate. Premium this thin on standard wings often fails the credit minimum. No debit entry: one tier below this tier is no trade.
- EM tier 0.30–0.75% of spot (about 20–50 points): Standard sizing: for a credit spread or iron condor, contracts = remaining session budget ÷ (2 × credit × 100), rounded down, capped by the sizing table at the EM tier. Confirm the absolute realized-risk ceiling at 2 × (credit received × contracts); for a fade, maximum loss × contracts; for a debit, debit × contracts.
- EM tier above 0.75% of spot (about 50 points or more): Reduced sizing. The day is pricing wider directional risk; size to half the table, rounded down, never below 1 contract where one fits.
- Realized risk = 2 × credit received, enforced by the mark stop (close at 3 × credit); for a fade, the maximum loss (wing − credit), its sizing basis; for a debit spread, R = the debit, sized one tier below the credit equivalent: full session budget ÷ (debit × 100), rounded down, then one EM tier lower (half that count, rounded down, never below 1 contract where one fits, on a standard-tier day; 1 contract on a reduced-tier day; no debit entry on an under-0.30% day), never more than the sizing table allows at that lower tier; the debit must also fit what remains of the session budget—if it does not, no debit trade (the count is not cut to fit); a count of zero is no trade. Session budget: 1–2% of equity, set before the session, per SESSION and cumulative; each entry’s planned loss must fit what remains of it or the entry is not taken (at the low end a fade or a second entry may not fit), and trading stops once the session’s losses reach it. XSP (Mini-SPX, 1/10 size, levels read from the SPX chain) until 1 SPX contract fits, roughly $25–30k. Contract count proposal must include tier identified, instrument, credit per contract, total credit, and realized-risk ceiling.
VWAP / GF Alignment Check
- ES VWAP and GF aligned, price above both: stronger bullish confirmation.
- ES VWAP and GF aligned, price below both: layered overhead resistance, no long bias.
- ES VWAP and GF diverged: flag as structural conflict in the entry proposal.
- Fade entries: the Fade Variant’s ES VWAP rule governs; a bear call fade with price above GF and ES below VWAP is the expected configuration, not a conflict.
Strike Placement
- Short strikes placed outside the named GEX support/resistance level that anchors each side
- Short call must clear CW (the largest call GEX node above spot) by minimum 10 points, and must clear by 10 points any concentrated call node within 20 pts of the short call (one strike holding ≥20% of the absolute gamma inside the EM band); a distributed node takes standard placement. Short put goes at or beyond the first strike below ST (5 points on SPX), or, when PW sits above GF (the nearest named support above the flip), at or beyond the first strike below PW—never at ST. Only exception: an RB or RT fade, whose short strike sits 5 points beyond the faded level with CW still at least 10 points beyond it, and a CW fade, at least 10 points above CW (Fade Entry Variant)
- Prioritize cushion and theta comfort over tighter premium
- Prefer scaling contracts over proximity pressure; credit minimum on every credit entry: $0.075 mid per point of wing ($0.375 on 5, $0.75 on 10)—below this, no trade. A standard spread or condor collects less than a third of its wing (3 × credit must sit below the wing); if the credit at the chosen strikes is higher, move the short strike out or widen the wing. Iron condor over the ceiling: do not move a short strike off its level; downgrade to the vertical on the side whose short strike sits at its level and drop the side the clearance rule pushed out (in practice the call side: because the short call must clear CW by 10+ points, the clearance rule pushes the call side out whenever RT sits at or below CW, so an over-ceiling condor becomes the bull put); the general repair (moving the short strikes out or widening the wings until the combined credit fits) applies only when both short strikes sit at their levels, which on the call side needs RT drawn beyond CW, so that the strike just outside RT already clears CW by 10+ points. Fades are sized on maximum loss instead
Trade Management
- Entry limits—no new credit entries after 2:00 PM ET (fade and debit entries end at 1:00 PM ET); at most two entries per session; no new entry that day in the direction of a stopped trade (a stopped iron condor counts as stopped in the direction of its tested side: bearish if the call side was tested, bullish if the put side was; a leg-out, or the leg-out tree’s default close, counts as stopped in the losing side’s direction); once the session’s losses reach the session budget, stop trading for the day; no trading on early-close days (1:00 PM closes); monthly options-expiration Fridays, quarter-end, and VIX-expiration days run normally and are noted in the journal; no entries in the 30 minutes before a scheduled 10:00 or 2:00 print; under a broker’s legacy day-trade budget, no entry that would leave no day trade in reserve to close it
- Before 11:00 AM ET—50% profit target (clock time: the band in force now applies to every open position). Every target is worked as a resting buy-to-close limit at the band’s price, re-priced when the band changes; a band price that falls between ticks goes in at the next tick below, the stricter target
- 11:00 AM–1:00 PM ET—40–45% profit target (the limit goes in at a tick inside the band, or at the next tick below the band if none lies inside it, chosen when the band begins)
- After 1:00 PM ET—35% profit target
- After 2:00 PM ET—close at first profitable opportunity, worked as a resting limit one tick below the credit ($0.05 on SPX, $0.01 on XSP; profitable = the spread can be bought back below the credit received, before fees)
- 2:30 PM Soft Stop—a position not yet profitable: within $0.25 of a profitable close ($0.02 on XSP) → hold for the fill until 3:00; more than $0.25 away → close at the bid/ask (mandatory, no override). A discretionary hold begun before 2:00 PM keeps its ratchet stop until the 3:00 PM cutoff; the soft stop does not apply to it.
- 3:00 PM Hard Cutoff—close all positions at the bid/ask, no exceptions
- Level-Based Exit—3 consecutive 1-min closes at/through short strike → close at the bid/ask immediately, no override
- Mark Stop—spread mark reaches 3 × entry credit (loss = 2 × credit) → close at the bid/ask immediately; standing stop where supported (a price between ticks goes in at the next tick below), otherwise alert + manual close. Whichever stop fires first governs. Fades: the mark stop sits at or beyond the maximum loss, so the fade is sized on its maximum loss and its working stop is the level-based exit. Debit spreads (bull call / bear put): debit as recorded under half the wing, or no entry; target 100% of the debit (spread worth 2 × entry debit); hardened stop is the inverted level exit, 3 consecutive 1-min closes back through the long strike → close at the bid/ask; no debit entries after 1:00 PM ET; R = the debit. No time bands: the after-2:00 first-profitable rule does not apply; the 2:30 PM soft stop applies only to a debit not yet profitable; the 3:00 PM cutoff applies. Macro Break-Glass sits above every stop: a named in-session catalyst plus a structural break in the gamma map (GF or the dominant nodes migrating, collapsing, or relocating; whether the change is a break is the trader’s read, recorded with the trigger and reviewed at the post-mortem) → close at the bid/ask; volatility alone does not trigger it. The structural break must show on a GEX print whose data state is after the headline, in practice no earlier than 15 minutes after it; until that print arrives, the hardened stops govern.
- Negative-Gamma Regime Exception—for a position carrying a short put (bull put, or a condor’s put side): if price breaks below GF after entry (3 consecutive 1-min closes below GF), apply accelerated exit; 3 consecutive 1-min closes below the first named support level below GF (normally ST), not the short put strike, trigger immediate close at the bid/ask; if no named level is drawn below GF, the exception has no trigger, and the level-based exit at the short put strike and the mark stop govern as usual
- Leg-Out (iron condor only)—each side’s share of the credit is fixed at entry from the fill and recorded; one side’s mark reaches 2 × its own share, before 2:00 PM ET, and neither hardened stop (level-based exit, mark stop) has fired → close the losing side at the bid/ask. Then judge the remaining side against its own share and the target in force: if it is already past that target, close it too; otherwise it runs under the same exit rules and the 3:00 PM cutoff, keeping the hardened stops on its own short strike (level-based exit at that strike; mark stop at 3 × its share). Never close the winning side and leave the loser open. Under a broker’s legacy day-trade budget, no leg-out with fewer than two day trades in reserve: close the whole position on one ticket at the bid/ask instead; if the trader reports, or the assistant has warned, that this conversation is near its limit or has started dropping loaded rules, no leg-out: close the whole position at the bid/ask
Discretionary Hold Limit Ratchet
When shifting to discretionary hold: cancel the resting target limit and immediately place a buy-to-close stop (not a limit—a buy-to-close limit above the current mark fills at once) that protects 50% of accrued profit (a price between ticks goes in at the next tick below); alert + manual close if the broker lacks stops on spreads. No new discretionary hold after 2:00 PM ET. A hold begun before 2:00 PM keeps its ratchet stop until the 3:00 PM cutoff; the 2:30 PM soft stop does not apply to it. The hierarchy is not inverted: the soft stop governs positions not yet profitable; a ratcheted hold is profitable by construction and protected by its stop.
Formula: Stop price = Entry credit − (Accrued profit × 50%)
GEX Exit Rule (Critical)
- GEX is an ENTRY and HOLD tool—NOT an exit override tool
- Once any mechanical exit trigger fires, GEX analysis is suspended
- Do not apply pin/reversion/liquidity grab reasoning to delay a triggered exit
Danger Zone Methodology
- DT/DB mark the outer edges of the structural map: DT = outermost strike above RT (within the expected-move band; spot ± 50 points before EM is set; not drawn when RT is not) with call gamma exposure at least a quarter of RT’s combined call gamma; DB = outermost strike below SB (same range; not drawn when SB is not) with put gamma exposure at least a quarter of SB’s combined put gamma; weaker strikes in between do not end the zone; the Danger Zone is the thinning territory RT→DT and SB→DB
- CW often sits inside or near the upper Danger Zone, not at its outer edge
- Derive from the CSV’s Call and Put Gamma Exposure columns; panels are not used for DT/DB
GF—Pin Confidence Degradation
- From 1:00 PM ET, when GF sits within 25 points of the dominant pin strike → pin confidence degraded. All distance calculations use GF (CSV zero-crossing)
- For open positions: exits as written; no discretionary hold begun or extended on a pin-reversion thesis
Begin your first reply with this line and nothing before it, using today’s date in ET: SPX 0DTE Session—YYYY-MM-DD (Weekday). Example: SPX 0DTE Session—2026-10-29 (Thursday). Then confirm today’s date, session hard cutoff (3:00 PM ET), and any known Tier 1 or Tier 2 macro events on the calendar.