Mapping SPX/NDX levels to ES/NQ
Mapping SPX or NDX levels to ES or NQ is the conversion of a price computed on an options underlying (an index or its ETF) into the price scale of the futures contract on the chart. The conversion carries the futures basis, an ETF-to-index ratio when the chain is SPY or QQQ, and tick rounding, so a mapped level is a band rather than a line.
Senzoukria · Glossary · Updated September 2026
Why a mapping is needed at all
Gamma exposure is derived from an options chain, and the chains behind published levels are the index and ETF ones: SPX or SPY for the S&P 500, NDX or QQQ for the Nasdaq-100. ES and NQ track those indices but are quoted at their own price, with their own tick, and are not the underlying of those chains. Any gamma level drawn on a futures chart has been transposed, whether or not the dashboard says so.
The three crossings
The basis is the difference between the futures price and the cash index at the same instant. It reflects financing minus expected dividends, shrinks toward expiry and jumps at the roll. It should be measured from two live quotes, not assumed. The ETF-to-index ratio is likewise not a constant; it drifts with distributions and tracking.
| Chain | Chart | Steps | Main source of error |
|---|---|---|---|
| SPX | ES | Add the futures basis, round to tick | Basis drift and the quarterly roll |
| SPY | ES | ETF-to-index ratio, then basis, then rounding | Two conversions compound; different chain, different positioning |
| NDX | NQ | Add the futures basis, round to tick | Basis drift and the quarterly roll |
| QQQ | NQ | ETF-to-index ratio, then basis, then rounding | One ETF cent spans several index points |
Checking a mapping
- Round-trip it: subtract the basis you used from the mapped futures price and confirm you land on the published index level.
- Re-measure the basis at the open, mid-session and before the close; the spread of those readings is the width of your band.
- Record three timestamps next to the level: the open-interest date, the option-quote delay and the moment the basis was read.
- If a dashboard cannot say which underlying and which conversion produced its line, the round-trip test cannot be run, and that is the finding.
In Senzoukria
When GEX levels are projected onto a futures footprint chart, the desktop resolves the chart symbol to its options underlying (ES and MES to SPY, NQ and MNQ to QQQ; non-index contracts get no projection) and converts strike prices with a ratio of the chart's last close to the underlying spot at the snapshot. The label on each projected level keeps the original underlying, for example a call wall tagged with QQQ, so a converted level is never presented as a native NQ level.
Levels further than twenty percent from spot are dropped as calculation artefacts rather than drawn. The GEX workspace's Calculation assumptions panel shows the chain snapshot time and the spot time, which are the timestamps to read before trusting a projected band. The projection needs an options source; the futures feed alone cannot produce it.
Common mistakes
- Drawing the index level directly on ES; the basis is a systematic offset, not noise.
- Hard-coding an ETF divisor found in a forum post.
- Forgetting that every previously mapped level is wrong after the roll until re-mapped.
- Averaging an SPX-derived and an SPY-derived level as if they were one measurement.
Related
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Frequently asked questions
- Can gamma exposure be computed directly on ES?
- Not from the futures contract itself, because gamma comes from an options chain. CME lists options on ES and NQ futures, but the levels in public circulation are built from the index and ETF chains. A level on an ES chart has been transposed from one of those, under a conversion you should be able to write down.
- How wide should a mapped gamma band be?
- As wide as your basis uncertainty plus one tick, at minimum. Measure the basis several times through the session; if the spread of readings is wider than the stop you intended to use, the level is not precise enough for that use. The width is a property of your measurement, not of the model.
- Why is a QQQ-derived NQ level coarser than an NDX-derived one?
- The Nasdaq-100 trades at a far higher level than QQQ, so one ETF cent corresponds to several index points. A strike grid expressed in ETF cents therefore lands on NQ with less resolution than a strike grid expressed in index points. The mapping method is identical; the arithmetic is not.