Notice: To learn more about SpotGamma references, click here to view the glossary. Alternatively, take our Options Primer, comprised of three clear videos on why options matter to the movement of assets they are tied to. Executive Summary Straight down, yesterday. Straight up, today. That’s the result of trade below our $4,615.00 Volatility Trigger; participants […]
Daily Note
SpotGamma Report for: 12/02/2021 AM
Daily Note: Futures have been volatile overnight – staging a rally to 4550 before pulling back to 4525. We look for an estimated 1 day move of 1.21% today, with major support at 4500 and resistance at 4562 and 4600. Total negative gamma decreased overnight, and we note our Put Wall shifted lower. This is […]
Early Data Release for Pro/Adv Subs: 12/02/2021 AM
Daily Note: Model Overview:4600 gamma flip level, 4550 critical support. 4700 overhead target. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4509 4623 450 15872 387 SpotGamma Imp. 1 Day Move: 1.92%, Est 1 StdDev Open to Close Range (±pts): 87.0 SpotGamma Imp. 5 Day Move: 0.57% 4629 (Monday Ref Px) Range: […]
SpotGamma Report for: 12/01/2021 PM
Notice: To learn more about SpotGamma references, click here to view the glossary. Alternatively, take our Options Primer, comprised of three clear videos on why options matter to the movement of assets they are tied to. Executive Summary The tone was bearish, with implied volatility finishing in a backwardated stance, indicating “crash mode”. After a […]
SpotGamma Report for: 12/01/2021 AM
Daily Note: Good morning – we apologize for the delay in this AM’s note we had an issue with our raw data feed.Futures are up this morning and back above key support at 4600. Gamma starts in a slightly negative position, and does not flip until 4640 which is considered first resistance. Our estimated max […]
Early Data Release for Pro/Adv Subs: 12/01/2021 AM
Daily Note: 0 Model Overview:4600 critical support, 4750 upside target into Dec OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4578 4608 456 16154 393 SpotGamma Imp. 1 Day Move: 0.7%, Est 1 StdDev Open to Close Range (±pts): 32.0 SpotGamma Imp. 5 Day Move: 0.57% 4629 (Monday Ref Px) Range: […]
SpotGamma Report for: 11/30/2021 PM
Notice: To learn more about SpotGamma references, click here to view the glossary. Alternatively, take our Options Primer, comprised of three clear videos on why options matter to the movement of assets they are tied to. Executive Summary After a gap down open, per our morning note, the $4,645.00 Volatility Trigger was resisted and the […]
SpotGamma Report for: 11/30/2021 AM
Daily Note: Futures are down sharply to 4600. Our models suggest that 4600 is major support, with resistance at 4640 (ZeroGamma/VolTrigger). The volatility estimate is similar to yesterday, with a max estimated move (open to close) of 0.70% (32pts). There were only small positioned added to the S&P yesterday, with the largest change being 10k […]
SpotGamma Report for: 11/29/2021 PM
Notice: To learn more about SpotGamma references, click here to view the glossary. Alternatively, take our Options Primer, comprised of three clear videos on why options matter to the movement of assets they are tied to. Executive Summary Alongside weakness in yields, the Nasdaq 100 Index (CASH: NDX) (ETF: QQQ) (FUTURE: /NQ) traded strong, relative […]
SpotGamma Report for: 11/29/2021 AM
Daily Note: Futures have recovered some, currently to 4625. Fridays shortened session brought a large change in levels, and a large increase in implied volatility[IV]. First we note an max estimated move of 71bps for today’s S&P500 session, with key support at 4600 and resistance at 4638 and 4687. The critical metric today will be […]