Macro Theme: |
Key Levels: |
| Macro Note TBA | Ref Price: 3944 SG Implied 1-Day Move: 0.91% SG Implied 5-Day Move: 2.7% Volatility Trigger: 3995 Absolute Gamma Strike: 4000 Call Wall: 4200 Put Wall: 3900 |
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3944 | 3969 | 394 | 11929 | 290 |
| SG Implied 1-Day Move:: | 0.91%, | (±pts): 36.0 | VIX 1 Day Impl. Move:1.3% | ||
| SG Implied 5-Day Move: | 2.7% | 3970 (Monday Ref Price) | Range: 3863.0 | 4077.0 | ||
| SpotGamma Gamma Index™: | -0.90 | -0.92 | -0.43 | 0.03 | -0.10 |
| Volatility Trigger™: | 3995 | 3995 | 396 | 11875 | 293 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12300 | 290 |
| Gamma Notional(MM): | -712.0 | -463.0 | -2596.0 | 5.0 | -945.0 |
| Put Wall: | 3900 | 3900 | 390 | 11000 | 290 |
| Call Wall : | 4200 | 4200 | 399 | 12300 | 310 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4016 | 4013 | 405.0 | 11465.0 | 306 |
| CP Gam Tilt: | 0.81 | 0.82 | 0.5 | 1.33 | 0.57 |
| Delta Neutral Px: | 4031 | ||||
| Net Delta(MM): | $1,524,944 | $1,534,497 | $182,216 | $48,206 | $95,098 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.06 | -0.06 | -0.06 |
| Call Volume | 546,550 | 546,550 | 1,817,651 | 7,990 | 595,569 |
| Put Volume | 875,783 | 875,783 | 2,340,397 | 6,894 | 832,625 |
| Call Open Interest | 5,951,626 | 5,951,626 | 6,350,943 | 60,808 | 4,786,014 |
| Put Open Interest | 11,035,950 | 11,035,950 | 13,028,019 | 62,970 | 8,374,298 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4100, 4000, 3950, 3900] |
| SPY: [400, 398, 395, 390] |
| QQQ: [300, 295, 290, 285] |
| NDX:[13000, 12300, 12000, 11500] |
| SPX Combo (strike, %ile): [(4127.0, 83.06), (4080.0, 79.38), (4044.0, 91.22), (4009.0, 79.93), (4005.0, 78.23), (3938.0, 87.11), (3930.0, 94.51), (3926.0, 78.39), (3918.0, 86.72), (3906.0, 93.76), (3898.0, 87.05), (3886.0, 92.51), (3878.0, 98.56), (3867.0, 79.73), (3855.0, 79.76), (3835.0, 84.3), (3831.0, 92.42), (3788.0, 79.89), (3780.0, 96.36)] |
| SPY Combo: [387.12, 377.26, 392.24, 389.88, 387.91] |
| NDX Combo: [12191.0, 11797.0, 11594.0, 11391.0, 11713.0] |
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