Macro Theme: |
Key Levels: |
| Macro Note TBA | Ref Price: 4027 SG Implied 1-Day Move: 1.06% SG Implied 5-Day Move: 2.95% Volatility Trigger: 4000 Absolute Gamma Strike: 4000 Call Wall: 4200 Put Wall: 3600 |
Daily Note:
NOTE TO FOLLOW PREOPEN
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4027 | 4027 | 402 | 11838 | 288 |
| SG Implied 1-Day Move:: | 1.06%, | (±pts): 43.0 | VIX 1 Day Impl. Move:1.29% | ||
| SG Implied 5-Day Move: | 2.95% | 3967 (Monday Ref Price) | Range: 3850.0 | 4084.0 | ||
| SpotGamma Gamma Index™: | 0.07 | 0.81 | 0.08 | 0.04 | 0.01 |
| Volatility Trigger™: | 4000 | 3945 | 399 | 11475 | 287 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12000 | 290 |
| Gamma Notional(MM): | -5.0 | 292.0 | 307.0 | 6.0 | 41.0 |
| Put Wall: | 3600 | 3600 | 380 | 11000 | 265 |
| Call Wall : | 4200 | 4050 | 405 | 11650 | 290 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4012 | 3982 | 398.0 | 10796.0 | 296 |
| CP Gam Tilt: | 1.06 | 1.16 | 1.09 | 1.48 | 1.02 |
| Delta Neutral Px: | 3934 | ||||
| Net Delta(MM): | $834,456 | $1,756,120 | $184,472 | $52,561 | $97,041 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.05 | -0.05 | -0.05 |
| Call Volume | 450,729 | 450,729 | 2,375,532 | 9,159 | 834,212 |
| Put Volume | 941,657 | 941,657 | 2,968,776 | 6,222 | 967,583 |
| Call Open Interest | 3,304,929 | 6,549,297 | 7,836,445 | 67,214 | 5,131,080 |
| Put Open Interest | 5,735,820 | 11,421,209 | 13,228,948 | 60,495 | 6,922,290 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4000, 3900, 3800] |
| SPY: [405, 403, 402, 400] |
| QQQ: [300, 290, 285, 280] |
| NDX:[12500, 12000, 11650, 11500] |
| SPX Combo (strike, %ile): [(4201.0, 84.18), (4056.0, 78.8), (4004.0, 74.24)] |
| SPY Combo: [419.72, 405.24, 400.01] |
| NDX Combo: [11649.0, 11886.0, 11969.0, 11472.0, 12300.0] |
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