Macro Theme:
Daily Note:
NOTE TO FOLLOW PREOPEN
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4104 | 4104 | 408 | 12901 | 314 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.22%, | (±pts): 50.0 | VIX 1 Day Impl. Move:1.5% | ||
| SpotGamma Imp. 5 Day Move: | 3.12% | 4130 (Monday Ref Px) | Range: 4002.0 | 4259.0 | ||
| SpotGamma Gamma Index™: | 0.23 | 0.45 | -0.12 | 0.01 | -0.02 |
| Volatility Trigger™: | 4060 | 4000 | 409 | 11750 | 313 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12500 | 310 |
| Gamma Notional(MM): | 30.0 | 32.52 | -653.0 | 2.0 | -147.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4085 | 4085 | 0 | 0 | 0 |
| Put Wall Support: | 3900 | 3900 | 400 | 12500 | 290 |
| Call Wall Strike: | 4200 | 4200 | 415 | 11925 | 320 |
| CP Gam Tilt: | 1.07 | 1.02 | 0.8 | 1.18 | 0.9 |
| Delta Neutral Px: | 4070 | ||||
| Net Delta(MM): | $1,592,561 | $1,609,690 | $190,750 | $62,048 | $100,931 |
| 25D Risk Reversal | -0.08 | -0.07 | -0.07 | -0.08 | -0.08 |
| Call Volume | 382,334 | 375,034 | 2,374,628 | 7,108 | 815,911 |
| Put Volume | 726,177 | 793,173 | 3,571,263 | 6,152 | 1,252,312 |
| Call Open Interest | 5,650,688 | 5,610,587 | 7,173,294 | 61,207 | 4,089,017 |
| Put Open Interest | 10,101,458 | 9,898,369 | 12,550,110 | 64,164 | 6,866,743 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4100, 4000, 3900] |
| SPY: [410, 405, 400, 390] |
| QQQ: [315, 310, 305, 300] |
| NDX:[14000, 13000, 12500, 11925] |
| SPX Combo (strike, %ile): [4162.0, 4216.0, 4113.0, 4019.0, 4023.0] |
| SPY Combo: [413.77, 419.08, 408.88, 399.49, 399.9] |
| NDX Combo: [13134.0, 12927.0] |
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