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S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

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Founders Note

Dec 13 2022

Founders Note for: 2022-12-13 07:15 AM EST

Bar chart of SPY absolute gamma for puts (teal) and calls (black) across strikes, annotated for 400, >420 and 380.

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Written by SpotGamma · Categorized: Founders Note

Dec 12 2022

Founders Note for: 2022-12-12 15:36 PM EST

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Written by SpotGamma · Categorized: Founders Note

Dec 12 2022

Founders Note for: 2022-12-12 05:13 AM EST

Line chart of SPX implied probability by strike for December 2022 expirations, peaking near 3950 on 12/12.

SpotGamma Beats Banks to the Forecast: Post-CPI Thrust Fails To Hold Macro Theme: Key Levels: > Major, longer term resistance is the 4100 Call Wall> Key Pivot in Dec OPEX: 4000> Max downsize target into Dec OPEX: 3800 Put Wall> Critical Pivot dates next week: 12/13-12/14 CPI/FOMC (see 11/25 note) to12/16 OPEX. Ref Price: 3934SG […]

Written by SpotGamma · Categorized: Report Card

Dec 09 2022

Founders Note for: 2022-12-09 15:36 PM EST

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Written by SpotGamma · Categorized: Founders Note

Dec 09 2022

Founders Note for: 2022-12-09 07:04 AM EST

SPX 5-minute line chart with red gamma levels at 4100, 4000, 3990 and 3900 plus an inset Abs Gamma bar chart.

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Written by SpotGamma · Categorized: Founders Note

Dec 08 2022

Founders Note for: 2022-12-08 15:03 PM EST

Line chart of VIX futures vs days to expiration with blue Dec 7 2022 line slightly above black today line from 22 to 27.

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Written by SpotGamma · Categorized: Founders Note

Dec 08 2022

Founders Note for: 2022-12-08 07:17 AM EST

Line chart of S&P 500 annual volatility from Dec 2022 to Dec 2024 with FOMC spike to 29% then flattening at 22.5%.

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Written by SpotGamma · Categorized: Founders Note

Dec 07 2022

Founders Note for: 2022-12-07 15:34 PM EST

Stacked heatmaps of call and put volume change by strike and date, darkest around 396 on 2022-12-07.

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Written by SpotGamma · Categorized: Founders Note

Dec 07 2022

Founders Note for: 2022-12-07 06:12 AM EST

TradingView 1h chart overlaying ES1!, CL1! and US02Y around Powell, NonFarms and ISM with SPX 4000 and 3950 lines.

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Written by SpotGamma · Categorized: Founders Note

Dec 06 2022

Founders Note for: 2022-12-06 15:35 PM EST

SPY line chart falling from 400 to 392 past red gamma levels at 400 and 395.

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Written by SpotGamma · Categorized: Founders Note

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