Macro Theme:
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3673 | 3673 | 365 | 11265 | 274 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.03%, | (±pts): 38.0 | VIX 1 Day Impl. Move:1.95% | ||
| SpotGamma Imp. 5 Day Move: | 2.8% | 3673 (Monday Ref Px) | Range: 3571.0 | 3776.0 | ||
| SpotGamma Gamma Index™: | -1.58 | -1.58 | -0.27 | 0.00 | -0.09 |
| Volatility Trigger™: | 4075 | 4075 | 385 | 11050 | 300 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 370 | 11150 | 300 |
| Gamma Notional(MM): | -866.0 | -866.18 | -1359.0 | 1.0 | -638.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4064 | 4064 | 0 | 0 | 0 |
| Put Wall Support: | 3600 | 3600 | 350 | 10500 | 270 |
| Call Wall Strike: | 4500 | 4500 | 367 | 11150 | 315 |
| CP Gam Tilt: | 0.43 | 0.43 | 0.44 | 1.08 | 0.53 |
| Delta Neutral Px: | 3987 | ||||
| Net Delta(MM): | $1,346,838 | $1,346,838 | $139,652 | $41,040 | $103,409 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.02 | -0.06 | -0.06 |
| Call Volume | 499,286 | 499,286 | 1,835,885 | 14,979 | 868,510 |
| Put Volume | 955,500 | 955,500 | 2,357,905 | 7,531 | 866,904 |
| Call Open Interest | 5,223,785 | 5,223,785 | 6,704,119 | 55,447 | 4,094,470 |
| Put Open Interest | 8,352,929 | 8,352,929 | 8,225,735 | 44,564 | 6,167,592 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3800, 3700, 3600] |
| SPY: [380, 370, 360, 350] |
| QQQ: [300, 290, 280, 270] |
| NDX:[12500, 12000, 11250, 11150] |
| SPX Combo (strike, %ile): [3600.0, 3699.0, 3648.0, 3619.0, 3747.0] |
| SPY Combo: [358.54, 368.42, 363.3, 360.37, 373.18] |
| NDX Combo: [11074.0, 11153.0, 11277.0, 11480.0] |
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