Macro Theme: |
Key Levels: |
Macro Note TBA | Reference Price: 3956 SG Implied 1-Day Move: 0.91% SG Implied 5-Day Move: 2.54% Volatility Trigger: 3950 Absolute Gamma Strike: 3900 Call Wall: 4065 Put Wall: 3800 |
Daily Note:
NOTE TO FOLLOW
SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Reference Price: | 3956 | 3893 | 395 | 12560 | 306 |
SG Implied 1-Day Move: | 0.91%, | (±pts): 36.0 | VIX 1 Day Impl. Move:1.46% | ||
SG Implied 5-Day Move: | 2.54% | 3861 (Monday Reference Price) | Range: 3764.0 | 3960.0 | ||
SpotGamma Gamma Index™: | -1.51 | -1.46 | -0.55 | 0.10 | -0.05 |
Volatility Trigger™: | 3950 | 3950 | 395 | 12090 | 297 |
SpotGamma Absolute Gamma Strike: | 3900 | 3900 | 390 | 12300 | 300 |
Gamma Notional (MM): | -684.0 | -699.0 | -1345.0 | 16.0 | 300.0 |
Call Wall: | 4065 | 4065 | 430 | 12300 | 310 |
Put Wall: | 3800 | 3800 | 380 | 11000 | 285 |
Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Zero Gamma Level: | 4054 | 4049 | 404.0 | 11826.0 | 331 |
Gamma Tilt: | 0.73 | 0.75 | 0.7 | 2.19 | 1.18 |
Delta Neutral Px: | 3953 | ||||
Net Delta (MM): | $1,713,499 | $1,685,824 | $222,588 | $56,750 | $112,697 |
25 Day Risk Reversal: | -0.07 | -0.07 | -0.08 | -0.06 | -0.07 |
Call Volume: | 646,666 | 646,666 | 2,398,383 | 10,475 | 1,017,907 |
Put Volume: | 1,170,311 | 1,170,311 | 3,940,131 | 8,927 | 1,427,951 |
Call Open Interest: | 6,750,680 | 6,750,680 | 7,198,670 | 71,287 | 5,528,663 |
Put Open Interest: | 12,026,468 | 12,026,468 | 14,440,513 | 71,392 | 8,943,405 |
Key Support & Resistance Strikes: |
---|
SPX: [4000, 3950, 3900, 3850] |
SPY: [400, 390, 385, 380] |
QQQ: [305, 300, 295, 290] |
NDX: [12500, 12300, 12200, 12000] |
SPX Combo (Strike, Percentile): [(4134.0, 87.18), (4122.0, 75.03), (4019.0, 85.86), (3968.0, 98.96), (3960.0, 86.56), (3948.0, 75.29), (3944.0, 84.45), (3936.0, 89.84), (3928.0, 81.86), (3916.0, 97.87), (3892.0, 89.94), (3877.0, 76.02), (3865.0, 99.29), (3857.0, 82.14), (3845.0, 79.33), (3841.0, 84.42), (3817.0, 94.54), (3813.0, 76.94), (3766.0, 96.92)] |
SPY Combo: [386.53, 396.82, 391.67, 376.62, 381.77] |
NDX Combo: [12630.0, 12832.0, 11989.0, 12203.0, 13045.0] |
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