Monday, March 23rd, 2026

Context & Trades

Wild Monday. We had a gap down overnight even after Friday's sell-off, but I caught longs on the gap fill and a short in the Asia session before the stream (about 150 points total in Globex). Then ceasefire news hit and NQ ripped 500-700 points in roughly two minutes — absolutely insane volatility. By the time I started the stream, we were already above Friday's high.

Before getting into the open, we walked through a new premium feature we've rolled out: historical replays of sessions. We looked at Friday's QQQ session as a case study, showing how the three major gamma walls at 590, 585, and 580 defined the price action fairly well. You could see the straight flush from 590 to 585, where the market tried to eat through the wall and bounced for a few half-hour periods before breaking through to 580. Classic dampening effect from gamma coupling to spot. This feature uses canonical open interest-based exposures (does NOT include attempted realtime OI based on order data) and is now available to all premium subscribers.

We discussed the market structure heading into the open. Friday was a trend-down day, futures rallied to 24,200 overnight, we opened gap down, filled the gap, chopped, dumped in Asia, and then the ceasefire news ripped us above Friday's high. We discussed a potential reverse island day setup — inventory from Friday was mostly short, and if we could stay above Friday's open, all that inventory would be trapped, potentially leading to a gap-and-go. The bear case was that we had already rejected the 24,750 highs on Thursday, failed to get above the excess high on Friday, and the FOMC naked VPOC at 24,900 was still overhead.

The gamma and vanna regime was fully negative on both sides. The key level was 595 on QQQ, the largest strike for both max Gex and max Vex. We discussed some backtesting findings: the max Vex strike alone tends to be hit around 50% of the time, and when max Gex and max Vex share the same strike, that figure rises to around 70-75% (based on first five minutes of the session). We'll probably post a blog about those findings soon! During globex, VIX opened above 30 and even after the ceasefire news, vol stayed bid, settling just below 25 — notable, and not exactly what the bulls wanted to see for follow-through.

We also discussed on the downside the target could be 587 - this was the max VEX strike for the opening period Vanna, as well as the negative to positive gamma flip level. Guys - though this happened much later off stream - 587 did print near afternoon swing lows on QQQ. (We ran all the way to 586s)

The open itself was choppy. One-minute opening range was nearly 100 points wide — barcode price action with a weak lean. We observed lower highs and lower lows outside the initial one-minute reaction, but nothing with any real conviction. We kept probing in and out of the one-minute opening range with huge candles. Price was almost more orderly on Friday when VIX was higher. In a fully negative gamma and negative vanna regime, follow-through can accelerate in both directions, but we just didn't see the momentum — 60 points up, 60 points back down, no edge.

No trades taken on stream. This is the third stream in a row without a trade. The conditions were simply too volatile and choppy for a clean setup, especially after the massive news-driven gap and with the nearly 100 point opening range making risk/reward tough to define.

Summary

An analysis-only stream driven by extraordinary volatility from ceasefire headlines. We focused on reading the regime (fully negative gamma and vanna), walking through the new historical replay feature, and discussing the reverse island day setup. Despite the negative gamma regime theoretically supporting momentum plays, the open lacked conviction in either direction, and the risk/reward was not there. Already green from Globex, so no reason to force anything.