How SPX dealer gamma maps onto ES and NQ futures

The same book, at the price futures traders see

ES and NQ gamma levels on FirmTape are the SPX and NDX options books moved to the futures' price by the day's basis, future minus index, measured from put-call parity on the index's AM-settled quarterly options. No CME data is used, and it is not a futures-options book.

A futures trader's chart shows ES or NQ, not SPX or NDX. The two move together but do not trade at the same number: the future sits above or below the index by its basis. A flip at 6,700 on SPX is not at 6,700 on the ES chart. FirmTape shows ES and NQ as views: every SPX (for NQ, NDX) level, from the zero-gamma flip to the call resistance and put support and every strike, moved by the day's basis. The current readings are on /es and /nq, fifteen minutes late.

The basis, and why parity

The future settles to the same opening print the index's AM-settled quarterly options settle to on the same date. So the index forward to that date, read from those options, is what the future should trade at, to within a tick or two. The forward comes from put-call parity: a call minus a put at the same strike and expiry is the forward minus the strike, discounted. Taking the difference between two strikes removes the discount factor, so no interest rate has to be assumed; FirmTape takes the median over the strikes nearest the index and throws out a pass whose strikes disagree.

The basis on screen is the future minus the index, as the day's running median of the collector's passes, rounded to 0.25, the ES and NQ tick. No CME data and no futures feed are used: the numbers come from the index options already recorded for the book itself. The passes are public at /gex/basis.json.

How close it is

Before the views were built the method was checked against real futures prices. Against ES minute prices over 206 sessions, the parity forward's median residual was +0.02 point, and 90% of the stamps were within 0.27 point. Against NQ minute prices over 21 sessions in September 2026, the median residual was +0.4 point, and half the stamps were within 2.7 points.

What differs for NQ

NDX options are quoted wider than SPX options, so the NQ forward scatters more between strikes and the running median has more to absorb. The NDX book itself is also different in cadence: SPX is rebuilt every second from the tape, while NDX is rebuilt from the option chain every five minutes, with the price every second. So in LIVE, ES moves every second from the SPX engine and NQ carries the NDX five-minute book at a per-second price.

The roll and the micros

The view follows the front quarterly and switches 8 days before expiry, which is when traders roll. In the 2 weeks before that the next quarterly is measured too, and the levels API and the integrations can serve either by its dated symbol (for example ESH27 or NQH27). New quarterlies appear by themselves. The micros, MES and MNQ, trade at the same prices as ES and NQ, so the same levels apply.

What it is not

It is not a CME futures-options book. Options on the future are a separate market, and they are not read here. What the view shows is the index options book, the one the SPX terminal measures, placed at the future's price. The levels are measurements of dealer positioning, not buy or sell signals, and on the volume book the side of the flip is a position, not a forecast.

Where to see it: ES gamma levels and NQ gamma levels, free and fifteen minutes late; the terminal with LIVE, every second for ES; the Telegram bot @FirmTapeBot and channel @firmtape; and the platform integrations. Every finished SPX session is free in the archive.