Macro Theme: A break of $4,200 invokes our “lower bound” conceptTrading below $4,000 invokes “capitulation” risk5/20 is a critical date for markets due to a large expirationRallies into OPEX should be categorized as “short covering” as subject to large reversals Daily Note: Futures are markedly higher to 4075. Volatility estimates remain the same as the […]
Founder's Note
Founders Note for: 2022-05-17 03:30 EDT
Macro Theme: Daily Theme: Daily Note: NOTE TO FOLLOW SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4003 4021 400 12249 298 SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range 1.22%, (±pts): 49.0 VIX 1 Day Impl. Move:1.74% SpotGamma Imp. 5 Day Move: 2.94% 4021 (Monday Ref Px) […]
Founders Note for: 2022-05-16 18:22 EDT
Macro Theme: A break of $4,200 invokes our “lower bound” conceptTrading below $4,000 invokes a “capitulation” risk5/20 is a critical date for markets due to a large expiration Daily Note: Synopsis: Action, today, was lacking inspiration. An open inside of the prior range was followed by a probe into our $4,000.00 SPX pivot quoted this […]
Founders Note for: 2022-05-16 06:45 EDT
Macro Theme: A break of $4,200 invokes our “lower bound” conceptTrading below $4,000 invokes a “capitulation” risk5/20 is a critical date for markets due to a large expiration Daily Note: Futures are trading near 4000 after a fairly quiet overnight session. SG’s volatility estimates comes in again at 1.22% (open/close) with the VIX pricing in […]
Founders Note for: 2022-05-13 15:59 EDT
Macro Theme: A break of $4,200 invokes our “lower bound” conceptTrading below $4,000 invokes a “capitulation” risk5/20 is a critical date for markets due to a large expiration Daily Note: Synopsis: Markets were higher, bolstered by a covering of shorts and volatility selling. At the index level, our HIRO indicator was neutral-to-negative suggesting participants sold […]
Founders Note for: 2022-05-13 08:35 EDT
Macro Theme: A break of $4,200 invokes our “lower bound” conceptTrading below $4,000 invokes a “capitulation” risk5/20 is a critical date for markets due to a large expiration Daily Note: Futures are markedly higher, trading to 3984. Our volatility estimates, and the markets vol pricing, remain unchanged with SG implied move at 1.2%, and VIX […]
Founders Note for: 2022-05-12 18:08 EDT
Theme: A break of $4,000 invokes “capitulation” risk.5/20 is a critical date for markets due to a large expiration Note: Synopsis: Markets were higher from open to close, inside of our implied move reading this morning. Our HIRO indicator suggested liquidity providers did little to upset the balance of trade. Instead, in response to customer […]
Founders Note for: 2022-05-12 08:17 EDT
Macro Theme: A break of $4,200 invokes our “lower bound” conceptWe see substantial, longer-term support at $4,050 due to large open interest at $4,000.A break of $4,000 invokes a “capitulation” risk5/20 is a critical date for markets due to a large expiration Daily Note: Futures are at 3900, down nearly 1% from the cash close. […]
Founders Note for: 2022-05-11 17:36 EDT
Macro Theme: A break of $4,200 invokes our “lower bound” conceptWe see substantial, longer-term support at $4,050 due to large open interest at $4,000.A break of $4,000 invokes a “capitulation” risk5/20 is a critical date for markets due to a large expiration Daily Note: Synopsis: Markets were lower after inflation data disappointments. At the index […]
Founders Note for: 2022-05-11 07:05 EDT
Macro Theme: A break of $4,200 invokes our “lower bound” conceptWe see substantial, longer-term support at $4,050 due to large open interest at $4,000.A break of $4,000 invokes a “capitulation” risk5/20 is a critical date for markets due to a large expiration Daily Note: Futures are at overnight highs of 4040 ahead of this mornings […]