Today’s session gave a pretty clean example of the exact type of setup I’m trying to trade every day:
vol surface + GEX levels lining up with price action in ES.
In this post I’ll walk through what happened, why it mattered, and how you could build a similar trade in real time.
The basic framework
Before we zoom into today’s action, let’s define a couple of terms so we’re on the same page.
The smile and the “wings”
The IV smile is implied volatility plotted across different option deltas or moneyness.
The put wing is the far left side of the smile (low-delta puts: P10, P15, P20, etc.).
The call wing is the far right side (low-delta calls: C20, C15, C10, etc.).
ATM sits in the middle.
When traders aggressively buy downside protection, the put wing gets bid up and the smile steepens. When they stop buying protection (or start selling it back), that put wing gets crushed: IV drops sharply on those far-OTM puts.
On the call side, calls getting bid shows up as IV rising on the C20–C10 buckets.
GEX levels and “discounted” price
On the right side of the below image you’ve got a GEX chart:
Each bar represents net gamma at a “discounted” underlying level (spot adjusted for carry / yield).
Big positive gamma areas tend to act like support/resistance zones where dealer hedging flows dampen price movement.
When price trades into a large positive GEX band, it’s often harder to break through; when it trades down into a big level from above, that area often behaves like support.
Options Flows Move The Needle
2. What the smile was telling us
On the left of the first image is the Smile Grid for the SPX December expiry:
Blue curve – smile at ~07:04 PT (first test of support).
Red curve – smile at ~08:01 PT (second test / just after).
Orange dashed curve – expected smile if IV moved “normally” with spot (sticky-strike / surface projection).
Two key things happened between those time stamps:
2.1 The put wing got crushed
On the first test of support (blue curve):
The put wing is elevated: P10–P25 IV is high and the curve is steep.
That tells you downside protection is in demand. Traders are paying up for tail risk after the initial selloff.
By the second test (red curve):
Those same buckets are marked substantially lower.
Not only did IV drop, but the actual smile is now below the expected curve on the left side.
That divergence vs. the orange “expected” curve matters:
Expected curve: “If nothing special happens and spot just moves around, IV should look like this.”
Actual curve: “Traders actively sold or stopped paying for downside. The market is now less worried about a crash than the model would have implied.”
In other words, the market’s fear of more downside was being priced out right at the level where price was finding support.
That’s a pretty good tell.
2.2 Calls were getting bid at the same time
Look at the right side of the smile:
The call buckets (C20–C10) on the red curve are higher than both the blue curve and the expected orange curve.
That’s call wing IV getting bid up: traders are either buying upside calls outright or closing short call positions.
So in one time window you have:
Downside vol supply / buyer exhaustion (put wing crush).
Upside vol demand (call wing bid).
That’s the classic transition from panic hedging to positioning for a rebound.
3. How GEX framed the trade
Now look at the right panel (GEX) and then the second image (ES futures chart).
3.1 Support: “last major GEX in the range”
The GEX bar chart shows a final cluster of significant positive gamma down in the low 6600s (your green support zone on the ES chart).
What actually happened:
ES sold off into that zone.
Each time price traded into that band, we saw responsive buying.
On your lower indicator (CVD / delta style), the sell pressure started to subside:
New lows in price weren’t matched by new extremes in net selling.
That’s a classic momentum divergence right at a major GEX support band.
Combine that with the smile action:
First touch: puts bid, fear elevated, smile steep.
Second touch: puts crushed, calls bid, GEX support holding, selling pressure fading.
That is a very strong information cluster.
3.2 Resistance: “largest GEX levels of the day”
Above spot, the GEX chart highlights major resistance levels overhead – a big positive gamma cluster near the mid-to-upper 6600s.
On the ES chart:
After bouncing off support, ES traded straight up into that overhead GEX band.
Price stalled and chopped at those levels – exactly what you’d expect where dealer hedging flows are strongest and option positioning is “heaviest”.
So the day essentially played out as:
Tag support at last major put-side GEX.
Vol surface flips from “panic puts” to “chasing calls”.
Price runs from support to overhead GEX resistance.
That’s your ideal intraday range trade framed entirely by options flows.
Today’s structure more or less gave:
Long near the last big put-side GEX zone.
Exit / scale out into the largest overhead GEX levels of the day.
Clean, mechanical, and rooted in the actual options positioning rather than just candlestick patterns.
Key takeaways from today
Support and resistance came from GEX, not arbitrary lines:
Price respected the last big put-side GEX area and then capped at the largest overhead cluster.The smile told the story of positioning:
First touch: downside fear high, not a great long.
Second touch: put wing crushed, call wing bid – ideal inflection point.
Order flow confirmed the turn:
Selling pressure faded right when options traders stopped paying up for puts.
Together, that gave a high-confidence long in ES from support to resistance, with clear invalidation and targets.
This isn’t magic; it’s just reading how option hedging flows shape the intraday environment and letting that structure your futures trades.
As always, this is for educational purposes only, not a recommendation to buy or sell anything. But if you’re a beginning to intermediate trader trying to move beyond simple price action, today’s setup is a strong template for how to let the vol surface and GEX do most of the heavy lifting for you.
Want more setups like this?
I break down these vol + GEX structures a few times a week and walk through how I’m thinking about the next day’s trade.
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