NoVo Analyst · Pre-Market Primer

BOTTOM LINE: The SPY enters the cash open with a clear tactical bullish bias as back-to-back disinflationary catalysts trigger structural short covering and gap the index above near-term resistance. THE SETUP The macro narrative received another supportive boost this morning as the June Producer Price Index unexpectedly declined by 0.3% month-over-month, bringing the annual wholesale inflation rate down to 5.5%. This cooling wholesale print, coupled with yesterday's soft CPI data, provides strong fundamental confirmation that broad-based price pressures are receding, heavily diluting near-term interest rate anxieties. While ongoing military friction in the Strait of Hormuz continues to support energy prices, equity futures have maintained premium pricing, setting up the cash market for an active, expansionary opening range as buyers target higher-tier liquidity pools. DEALER POSITIONING The options market is operating in a supportive positive gamma regime with net GEX estimated at +$1.9B. Under this structural layout, dealers actively buy intraday weakness and sell strength, a mechanical process that dampens overall volatility and encourages price reversion toward the gravity magnet of $752.75. The critical threshold is the Zero-Gamma flip level at $751.59; as long as the index sustains acceptance above this pivot, the dealer buffer remains active and shields the tape against sharp downside moves. Under the hood, the options chain shows a net-long delta posture and a put/call skew of +2.4 volume points, signaling that while downside hedging demand remains present, near-term market maker positioning is comfortably structured to absorb normal selling. LEVELS TO WATCH For buyers to maintain control and transition this pre-market gap into a sustained bullish expansion, they must establish price acceptance above the pre-market high of $754.50, which opens a direct path toward yesterday's high of $753.34 and the major call wall at $757.00. Conversely, if early cash trading rejects at the open and drives price back below the gravity magnet of $752.75, it will signal a failure to absorb the gap. A sustained break below the Zero-Gamma flip level of $751.59 will invalidate today's bullish setup, removing the dealer buffer and exposing the pre-market low of $752.20, followed by the major put wall at $745.00. DEALER POSITIONING MAP · SPY / QQQ / SPX Vol environment: VIX 16.1 — 29th percentile of the past year (low vol). SPY $753.73 Net GEX: +$1.9B · positive — dealers dampen moves (grind / mean-revert) Zero-Gamma (flip): $751.59 Gravity (magnet): $752.75 Call Wall: $757.00 Put Wall: $745.00 Expected move: ±$5.38 (±0.7%) today · ±$17.15 (±2.3%) this week Put/Call skew: +2.4 vol pts · puts bid — downside hedging demand MM skew · fast +2.4 / slow +2.9 vol pts · near-term complacency vs the baseline ATM IV: 11.3% QQQ $723.62 Net GEX: +$420M · positive — dealers dampen moves (grind / mean-revert) Zero-Gamma (flip): $720.76 Gravity (magnet): $719.14 Call Wall: $725.00 Put Wall: $715.00 Expected move: ±$9.50 (±1.3%) today · ±$26.79 (±3.7%) this week Put/Call skew: +6.0 vol pts · puts bid — downside hedging demand MM skew · fast +6.0 / slow +5.2 vol pts · near-term fear building vs the baseline ATM IV: 20.8% SPX $7,540.68 Net GEX: +$2.1B · positive — dealers dampen moves (grind / mean-revert) Zero-Gamma (flip): $7,534.83 Gravity (magnet): $7,540.04 Call Wall: $7,600.00 Put Wall: $7,500.00 Expected move: ±$57.10 (±0.8%) today · ±$171.54 (±2.3%) this week Put/Call skew: +2.2 vol pts · puts bid — downside hedging demand MM skew · fast +2.2 / slow +2.4 vol pts · term structure flat ATM IV: 12.0% Zero-Gamma = where dealer hedging flips from dampening to amplifying moves. Call/Put Walls = the largest call/put gamma strikes (pin / resistance above, support below). Expected move = the ±1σ range priced into at-the-money options. Public options data — analysis, not signals. FLOW DYNAMICS Charm — as today's options decay, dealer delta drifts toward the walls: a mild pull into the close (the pin). Vanna — a further rise in vol would erode the dealers' long-gamma cushion and add hedging pressure. Second-order dealer flow — context, not a signal.