Macro Theme: |
Key Levels: |
| Macro Note TBA | Reference Price: 4048 SG Implied 1-Day Move: 0.87% SG Implied 5-Day Move: 2.55% Volatility Trigger: 4025 Absolute Gamma Strike: 4000 Call Wall: 4200 Put Wall: 3900 |
Daily Note:
Upcoming Market Events
Tuesday, March 07 (10am EST): Fed Chair Powell speech
Wednesday, March 08 (10am EST): Fed Chair Powell hosts Q&A
Friday, March 10 (8:30am EST): Nonfarm Payrolls
Tuesday, March 14 (8:30am EST): CPI
Wednesday, March 15 (8:30am EST): PPI
Friday, March 17: Monthly Opex (Quad Witching)
Wednesday, March 22 (2pm EST): Fed Interest Rate Decision
What’s Happening in the Market
Gamma Spotlight
Largest Catalysts of the Day
Details on the Catalysts
What the Models Are Telling Us
Market Structure
Conclusion
..
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 4048 | 4050 | 404 | 12302 | 300 |
| SG Implied 1-Day Move: | 0.87%, | (±pts): 35.0 | VIX 1 Day Impl. Move:1.18% | ||
| SG Implied 5-Day Move: | 2.55% | 4045 (Monday Reference Price) | Range: 3942.0 | 4149.0 | ||
| SpotGamma Gamma Index™: | 0.08 | 0.26 | -0.31 | 0.05 | -0.08 |
| Volatility Trigger™: | 4025 | 4020 | 404 | 12060 | 301 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12300 | 300 |
| Gamma Notional (MM): | -44.0 | 95.0 | -1321.0 | 8.0 | -428.0 |
| Call Wall: | 4200 | 4200 | 408 | 12300 | 310 |
| Put Wall: | 3900 | 3900 | 390 | 11000 | 290 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4030 | 4032 | 410.0 | 11646.0 | 309 |
| Gamma Tilt: | 1.02 | 1.04 | 0.7 | 1.58 | 0.79 |
| Delta Neutral Px: | 3984 | ||||
| Net Delta (MM): | $1,513,547 | $1,506,888 | $182,802 | $52,364 | $99,635 |
| 25 Day Risk Reversal: | -0.03 | -0.03 | -0.02 | -0.02 | -0.03 |
| Call Volume: | 582,213 | 578,470 | 1,830,158 | 8,178 | 717,805 |
| Put Volume: | 916,035 | 1,013,513 | 2,739,721 | 9,122 | 1,259,849 |
| Call Open Interest: | 6,342,322 | 6,282,218 | 6,503,512 | 64,720 | 4,939,412 |
| Put Open Interest: | 11,075,667 | 10,922,567 | 13,677,566 | 64,015 | 8,568,474 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4100, 4050, 4000, 3950] |
| SPY: [410, 405, 400, 390] |
| QQQ: [305, 300, 295, 290] |
| NDX: [13000, 12500, 12300, 12000] |
| SPX Combo (Strike, Percentile): [(4198.0, 96.3), (4174.0, 86.64), (4150.0, 94.28), (4125.0, 87.43), (4105.0, 76.87), (4101.0, 95.63), (4085.0, 79.11), (4077.0, 90.99), (4065.0, 94.67), (4004.0, 87.06), (4000.0, 95.89), (3976.0, 81.24), (3955.0, 85.17), (3951.0, 95.19), (3927.0, 78.56), (3903.0, 86.78), (3899.0, 96.94), (3874.0, 82.39), (3854.0, 83.74), (3850.0, 90.79)] |
| SPY Combo: [389.5, 419.44, 399.62, 409.73, 394.76] |
| NDX Combo: [12302.0, 11896.0, 12708.0, 12093.0, 12512.0] |
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