NOTE TO FOLLOW PREOPEN
3500-3700 range into DEC OPEX.
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.47||0.59||0.31||0.01||0.03|
|SGI Imp. 1 Day Move:||0.9%,||33.0 pts||Range: 3602.0 | 3668.0|
|SGI Imp. 5 Day Move:||3564||1.96%||Range: 3494.0 | 3634.0|
|Zero Gamma Level(ES Px):||3466||3457||—||0|
|Vol Trigger™(ES Px):||3445||3445||356||11750||293|
|SG Abs. Gamma Strike:||3600||3600||363||10900||300|
|Put Wall Support:||3300||3200||355||11000||265|
|Call Wall Strike:||3700||3700||370||12000||300|
|CP Gam Tilt:||1.38||1.32||1.83||1.21||1.17|
|Delta Neutral Px:||0|
|25D Risk Reversal||-0.06||-0.05||-0.07||-0.05||-0.05|
|Top Absolute Gamma Strikes:|
SPX: [3600, 3550, 3500, 3400]
SPY: [370, 363, 360, 350]
QQQ: [300, 295, 290, 280]
NDX:[12000, 11300, 11000, 10900]
SPX Combo: [3694.0, 3592.0, 3643.0, 3698.0, 3669.0]
NDX Combo: [12399.0, 12192.0, 12083.0]
The PutWall has moved to: 3300 from: 3200
SPX resistance is: 3700. Support is: 3600 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $228.90MM from: $231.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%
Gamma Expiration Tool
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|SPX Ref: Estimated ES Futures price at which data was run.|
VIX Ref: Estimated VIX price at which data was run.
SG Gamma Index: Proprietary gamma modeling index value.
Combo Strike™: A combination of SPY/SPY open interest, then "price normalized" back to the SPX
Gamma Notional: Estimated amount of notional gamma based on traditional gamma modeling.
SG Imp. 1SD Move: For one day ahead it is the projected 1 standard deviation SPX move implied by the SG Gamma Index.
High Gamma Strike: Strike with the highest level of net positive gamma. Seen as a resistance level.
Top Absolute Gamma Strike: Level with most call gamma + put gamma.
Zero Gamma Strike: Estimated level at which gamma flips from positive (above strike) to negative (below strike).
Volatility Trigger™: Similar to Zero Gamma in that its a level at which dealers may shift from positive (above trigger) to negative (below strike).
Click here for a Zero Gamma vs Volatility Trigger Diagram
Put Wall Strike: Strike with largest level of put gamma. Seen as a general support area.
CP Gamma tilt: Call gamma to put gamma ratio. Extreme readings may show skewed investor sentiment.
Delta Neutral Strike: Estimate where the options market may price the delta neutral level. This is NOT model adjusted meaning that we make no assumption on dealer positioning.
25 D Risk Reversal: A measurement of the 25 delta call minus 25 delta put on a ~30 day rolling basis. Used to measure call values relative to puts.