Macro Theme: |
Key Levels: |
| Macro Note TBA | Reference Price: 4080 SG Implied 1-Day Move: 0.95% SG Implied 5-Day Move: 3.01% Volatility Trigger: 4000 Absolute Gamma Strike: 4000 Call Wall: 4065 Put Wall: 3800 |
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 4080 | 4048 | 405 | 13050 | 318 |
| SG Implied 1-Day Move: | 0.95%, | (±pts): 39.0 | VIX 1 Day Impl. Move:1.17% | ||
| SG Implied 5-Day Move: | 3.01% | 3970 (Monday Reference Price) | Range: 3851.0 | 4091.0 | ||
| SpotGamma Gamma Index™: | 1.35 | 1.33 | -0.09 | 0.03 | 0.02 |
| Volatility Trigger™: | 4000 | 4000 | 402 | 11975 | 315 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12525 | 310 |
| Gamma Notional (MM): | 631.0 | 333.0 | -137.0 | 5.0 | 332.0 |
| Call Wall: | 4065 | 4065 | 407 | 12525 | 320 |
| Put Wall: | 3800 | 3800 | 390 | 11000 | 300 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4036 | 4017 | 404.0 | 11844.0 | 353 |
| Gamma Tilt: | 1.36 | 1.18 | 0.97 | 1.69 | 1.22 |
| Delta Neutral Px: | 3986 | ||||
| Net Delta (MM): | $1,284,636 | $1,274,520 | $186,646 | $46,901 | $105,316 |
| 25 Day Risk Reversal: | -0.04 | -0.04 | -0.04 | -0.04 | -0.04 |
| Call Volume: | 534,072 | 534,072 | 2,007,582 | 8,229 | 848,965 |
| Put Volume: | 836,482 | 836,482 | 2,922,290 | 6,908 | 1,332,276 |
| Call Open Interest: | 5,575,305 | 5,575,305 | 6,884,645 | 50,702 | 4,823,407 |
| Put Open Interest: | 10,794,809 | 10,794,809 | 14,145,409 | 55,501 | 8,867,162 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4100, 4065, 4050, 4000] |
| SPY: [405, 403, 402, 400] |
| QQQ: [320, 315, 310, 300] |
| NDX: [14000, 13000, 12525, 12000] |
| SPX Combo (Strike, Percentile): [(4286.0, 86.02), (4237.0, 94.41), (4212.0, 78.76), (4183.0, 91.74), (4159.0, 86.57), (4151.0, 80.69), (4147.0, 77.61), (4134.0, 96.93), (4130.0, 86.02), (4126.0, 80.6), (4118.0, 93.21), (4114.0, 91.99), (4110.0, 98.19), (4106.0, 90.52), (4098.0, 99.98), (4094.0, 95.05), (4089.0, 93.08), (4085.0, 96.5), (4065.0, 84.57), (4032.0, 84.01), (3996.0, 80.44), (3983.0, 89.6), (3946.0, 83.11), (3934.0, 94.22), (3897.0, 78.4)] |
| SPY Combo: [408.53, 409.75, 412.19, 407.3, 408.12] |
| NDX Combo: [13248.0, 13156.0, 12621.0, 13457.0, 13653.0] |
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