Macro Theme: |
Key Levels: |
| Macro Note TBA | Ref Price: 3839 SG Implied 1-Day Move: 1.28% SG Implied 5-Day Move: 2.89% Volatility Trigger: 3855 Absolute Gamma Strike: 4000 Call Wall: 4000 Put Wall: 3700 |
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3839 | 3839 | 382 | 10939 | 266 |
| SG Implied 1-Day Move:: | 1.28%, | (±pts): 49.0 | VIX 1 Day Impl. Move:1.37% | ||
| SG Implied 5-Day Move: | 2.89% | 3839 (Monday Ref Price) | Range: 3729.0 | 3951.0 | ||
| SpotGamma Gamma Index™: | -0.61 | -0.61 | -0.25 | 0.02 | -0.06 |
| Volatility Trigger™: | 3855 | 3855 | 386 | 11250 | 270 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 380 | 11275 | 265 |
| Gamma Notional(MM): | -366.0 | -366.0 | -1292.0 | 3.0 | -459.0 |
| Put Wall: | 3700 | 3700 | 380 | 10500 | 260 |
| Call Wall : | 4000 | 4000 | 390 | 11275 | 273 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3900 | 3900 | 393.0 | 10613.0 | 303 |
| CP Gam Tilt: | 0.82 | 0.79 | 0.61 | 1.27 | 0.69 |
| Delta Neutral Px: | 3924 | ||||
| Net Delta(MM): | $1,408,688 | $1,408,688 | $146,924 | $37,160 | $77,714 |
| 25D Risk Reversal | -0.04 | -0.04 | -0.04 | -0.04 | -0.04 |
| Call Volume | 512,338 | 512,338 | 1,503,648 | 5,127 | 465,715 |
| Put Volume | 1,000,641 | 1,000,641 | 2,064,478 | 4,424 | 747,194 |
| Call Open Interest | 5,373,115 | 5,373,115 | 6,061,314 | 58,436 | 4,399,961 |
| Put Open Interest | 9,477,592 | 9,477,592 | 10,640,560 | 49,559 | 5,665,509 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3900, 3850, 3800] |
| SPY: [390, 385, 380, 375] |
| QQQ: [280, 270, 265, 260] |
| NDX:[12000, 11500, 11275, 11000] |
| SPX Combo (strike, %ile): [(4001.0, 82.6), (3924.0, 76.68), (3817.0, 85.65), (3801.0, 95.39), (3775.0, 81.53), (3767.0, 79.72), (3752.0, 92.8), (3717.0, 79.13), (3702.0, 95.66), (3652.0, 87.01)] |
| SPY Combo: [368.66, 378.61, 373.63, 363.69, 380.14] |
| NDX Combo: [11279.0, 10677.0, 10885.0] |
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