Macro Theme:
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3789 | 3801 | 377 | 11765 | 286 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.22%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.66% | ||
| SpotGamma Imp. 5 Day Move: | 2.98% | 3899 (Monday Ref Px) | Range: 3783.0 | 4015.0 | ||
| SpotGamma Gamma Index™: | -1.08 | -1.09 | -0.31 | -0.01 | -0.07 |
| Volatility Trigger™: | 3825 | 3825 | 385 | 12000 | 290 |
| SpotGamma Absolute Gamma Strike: | 3800 | 3800 | 380 | 12500 | 280 |
| Gamma Notional(MM): | -747.0 | -691.97 | -1697.0 | -1.0 | -402.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3946 | 3957 | 0 | 0 | 0 |
| Put Wall Support: | 3700 | 3700 | 370 | 11000 | 280 |
| Call Wall Strike: | 4005 | 4005 | 390 | 11150 | 295 |
| CP Gam Tilt: | 0.69 | 0.64 | 0.48 | 0.93 | 0.75 |
| Delta Neutral Px: | 4021 | ||||
| Net Delta(MM): | $1,550,083 | $1,554,713 | $162,652 | $60,306 | $100,091 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.06 | -0.08 | -0.07 |
| Call Volume | 486,870 | 486,870 | 1,699,541 | 6,476 | 744,862 |
| Put Volume | 871,946 | 871,946 | 2,902,061 | 5,985 | 1,002,464 |
| Call Open Interest | 5,799,676 | 5,799,676 | 7,082,086 | 68,280 | 4,578,641 |
| Put Open Interest | 10,048,084 | 10,048,084 | 11,177,310 | 64,739 | 6,516,805 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3900, 3850, 3800] |
| SPY: [385, 380, 375, 370] |
| QQQ: [300, 290, 285, 280] |
| NDX:[12500, 12000, 11800, 11150] |
| SPX Combo (strike, %ile): [3688.0, 3737.0, 3790.0, 3703.0, 3752.0] |
| SPY Combo: [367.76, 372.67, 377.96, 369.27, 374.18] |
| NDX Combo: [11530.0] |
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