Macro Theme:
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4114 | 4159 | 411 | 12615 | 307 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
0.98%, | (±pts): 40.0 | VIX 1 Day Impl. Move:1.51% | ||
| SpotGamma Imp. 5 Day Move: | 2.48% | 4108 (Monday Ref Px) | Range: 4006.0 | 4210.0 | ||
| SpotGamma Gamma Index™: | -0.14 | -0.14 | -0.09 | 0.01 | -0.04 |
| Volatility Trigger™: | 4110 | 4110 | 413 | 11775 | 307 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 415 | 12500 | 300 |
| Gamma Notional(MM): | -507.0 | -243.14 | -1019.0 | 1.0 | -430.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4190 | 4204 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 400 | 12000 | 300 |
| Call Wall Strike: | 4200 | 4200 | 418 | 11800 | 310 |
| CP Gam Tilt: | 0.97 | 0.89 | 0.68 | 1.06 | 0.74 |
| Delta Neutral Px: | 4236 | ||||
| Net Delta(MM): | $1,774,282 | $1,793,761 | $176,951 | $67,323 | $115,177 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| Call Volume | 376,370 | 376,370 | 2,309,705 | 9,415 | 817,732 |
| Put Volume | 747,116 | 747,116 | 3,004,631 | 13,757 | 1,087,701 |
| Call Open Interest | 6,081,900 | 6,081,900 | 7,016,226 | 70,700 | 4,745,858 |
| Put Open Interest | 10,968,735 | 10,968,735 | 11,634,043 | 69,424 | 7,262,690 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [320, 315, 310, 300] |
| NDX:[13000, 12500, 12000, 11800] |
| SPX Combo (strike, %ile): [4153.0, 4005.0, 4103.0, 4202.0, 4120.0] |
| SPY Combo: [414.98, 400.18, 410.05, 419.92, 411.69] |
| NDX Combo: [12613.0, 12411.0, 12827.0] |
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