0DTE Market Map: SPY, QQQ, IWM & AMZN — September 4, 2026

The 0DTE tape

The September 3, 2026, session exhibited divergent intraday behaviors across the major indices and AMZN. SPY (+0.68% from open), QQQ (+0.95% from open), and AMZN (+1.05% from open) logged positive progress relative to their opening prints. Conversely, IWM closed down (-0.21% from open).

The Whalor 0DTE setup ledger for September 3rd reflected this mixed environment, with all four executed setups ending in time stops. Bullish setups included a SPY failed_breakout_breakdown_trap (via a support trap reclaim) and a QQQ zero_dte_ema13_reclaim. Bearish setups featured an IWM failed_breakout_breakdown_trap (via a resistance trap rejection) and a QQQ opening_drive_reversal. These setups highlight the importance of defining key session boundaries and VWAP levels to map out the next session's directional scenarios.

SPY levels

During the September 3rd session, SPY opened at 767.90, traded to a low of 767.45, established a high of 774.03, and closed at 773.16. The session volume-weighted average price (VWAP) rested at 771.67, while the opening 30-minute range was defined between 767.85 and 770.04.

• Bullish confirmation: A sustained hold above the session VWAP of 771.67, followed by a breakout above the prior high of 774.03.
• Bearish confirmation: A breakdown below the opening 30-minute range low of 767.85 and the session low of 767.45.

QQQ levels

QQQ opened at 710.85 on September 3rd, hitting a session low of 709.69 and a session high of 718.91 before closing at 717.61. The session VWAP concluded at 715.66, with the opening 30-minute range spanning 709.69 to 713.85.

• Bullish confirmation: A clean reclaim and hold of the session VWAP at 715.66, leading to an expansion past the prior high of 718.91.
• Bearish confirmation: Rejection at VWAP (715.66) followed by a loss of the opening 30-minute low and session low at 709.69.

IWM levels

IWM showed relative weakness, opening at 295.79, reaching a high of 296.18, dropping to a low of 293.43, and closing at 295.18. The session VWAP was 294.88. Notably, IWM's opening 30-minute range of 294.66 to 296.18 locked in the session high during the first half-hour of trading.

• Bullish confirmation: Acceptance above VWAP at 294.88, leading to a break above the shared 30-minute and session high of 296.18.
• Bearish confirmation: A breakdown below the opening 30-minute low of 294.66, leading to a breach of the session low of 293.43.

AMZN levels

AMZN opened at 256.20, recorded a low of 256.00, peaked at a high of 259.50, and closed at 258.90. The session VWAP sat at 258.31. Its opening 30-minute range of 256.00 to 259.43 meant the session low was established during the opening 30 minutes.

• Bullish confirmation: Trading constructively above the session VWAP of 258.31, leading to a breakout above the prior high of 259.50.
• Bearish confirmation: A failure to hold VWAP at 258.31, followed by a loss of the opening 30-minute and session low of 256.00.

Scenarios for the next session

• Scenario A (Bullish Reclaim & Continuation): If the market opens and maintains value above the prior session VWAPs (SPY 771.67, QQQ 715.66, IWM 294.88, AMZN 258.31), look for bullish setups. Traders might watch for a zero_dte_ema13_reclaim or a failed_breakout_breakdown_trap (support trap reclaim) above these levels, targeting yesterday's highs (SPY 774.03, QQQ 718.91, IWM 296.18, AMZN 259.50) as potential expansion points.
• Scenario B (Bearish Rejection & Breakdown): If the market fails to hold the prior session VWAPs or rejects the prior highs (SPY 774.03, QQQ 718.91, IWM 296.18, AMZN 259.50), look for bearish setups. This scenario is confirmed if prices break below the prior session lows (SPY 767.45, QQQ 709.69, IWM 293.43, AMZN 256.00), potentially triggering an opening_drive_reversal or a failed_breakout_breakdown_trap (resistance trap rejection) targeting lower liquidity.

This analysis is for educational purposes only and does not constitute financial advice.

Verified prior-session levels

• $SPY: open 767.90, high 774.03, low 767.45, close 773.16 (+0.68% from open), VWAP 771.67, opening 30m range 767.85-770.04.
• $QQQ: open 710.85, high 718.91, low 709.69, close 717.61 (+0.95% from open), VWAP 715.66, opening 30m range 709.69-713.85.
• $IWM: open 295.79, high 296.18, low 293.43, close 295.18 (-0.21% from open), VWAP 294.88, opening 30m range 294.66-296.18.
• $AMZN: open 256.20, high 259.50, low 256.00, close 258.90 (+1.05% from open), VWAP 258.31, opening 30m range 256.00-259.43.