GammaScope

Sessionseed-spx-2026-04-23

Snapshot12:00:00 PM EDT

Coverage34 rows / 17 strikes

Expiry2026-04-23

Parity forward5,200.36

Forward-minus-spot+0.11

ATM straddle18.75

Expected range5,181.61 - 5,219.11

Expected move0.36%

Quote quality94.0%

Forward panel

Forward and expected move

Source spot5,200.25

Source forward5,200.36

ATM strike5,200.00

TTE years0.000457

Smile diagnostics

Preview

Spline valley5,200.00 / 17.10%

ATM forward IV17.20%

Skew slope-0.080

Curvature0.120

Method disagreement1.10%

Skew and tail asymmetry

Preview

Tail biasLeft-tail rich

Left richness1.18

Right richness0.94

Left tail prob8.00%

Right tail prob6.00%

IV smile methods

Method comparison across strike.

Preview

InfoExperimental fitted methods are diagnostic.

OTM midpoint Black-76 vs spline fit

Clean raw OTM IV against fitted total variance.

Preview

Spline fitATM 17.10%Low 17.10% @ 5,200

Terminal distribution

Risk-neutral terminal density.

Preview

Highest density5195-520568% range5182-521995% range5164-5237Left tail8.00%Right tail6.00%

Risk-neutral probabilities

Preview

Risk-neutral probabilities
Strike	Close above	Close below
5,190.00	67.0%	33.0%
5,200.00	52.0%	48.0%
5,210.00	35.0%	65.0%

InfoProbabilities are risk-neutral, not real-world.

Move-needed map

Move-needed map
Strike	Side	Breakeven	Move needed	Exp move ratio	Label
5,210.00	Call	5,213.20	12.95	69.0%	Within expected move

Time-decay pressure

Preview

Time-decay pressure
Strike	Side	Premium	Points/min
5,210.00	Call	3.20	0.080

InfoStatic pressure assumes no spot or IV change.

Rich/cheap residuals

Preview

Rich/cheap residuals
Strike	Side	Actual mid	Fitted fair	Residual	Label
5,210.00	Call	3.20	3.05	+0.15	Rich

Quote quality

Quote quality flags
Strike	Right	Code	Message
5,120.00	Put	Zero Bid	Bid is zero.

Range compression preview

Insufficient Data

Range compression preview
Strike	Label
No history rows available.

InfoSelect replay frames to compare history.