Macro Theme: |
Key Levels: |
Macro Note TBA | Reference Price: 3977 SG Implied 1-Day Move: 1.16% SG Implied 5-Day Move: 3.01% Volatility Trigger: 4000 Absolute Gamma Strike: 4000 Call Wall: 4065 Put Wall: 3800 |
Daily Note:
NOTE TO FOLLOW
SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Reference Price: | 3977 | 3977 | 396 | 12670 | 308 |
SG Implied 1-Day Move: | 1.16%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.3% | ||
SG Implied 5-Day Move: | 3.01% | 3970 (Monday Reference Price) | Range: 3851.0 | 4091.0 | ||
SpotGamma Gamma Index™: | -0.35 | -0.35 | -0.32 | 0.03 | -0.02 |
Volatility Trigger™: | 4000 | 3960 | 400 | 11975 | 309 |
SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12525 | 300 |
Gamma Notional (MM): | -228.0 | -171.0 | -1503.0 | 5.0 | -89.0 |
Call Wall: | 4065 | 4065 | 410 | 12525 | 320 |
Put Wall: | 3800 | 3800 | 390 | 11000 | 285 |
Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Zero Gamma Level: | 4014 | 4014 | 404.0 | 11751.0 | 338 |
Gamma Tilt: | 0.91 | 0.9 | 0.64 | 1.54 | 0.94 |
Delta Neutral Px: | 3974 | ||||
Net Delta (MM): | $1,201,851 | $1,215,355 | $174,720 | $44,040 | $95,757 |
25 Day Risk Reversal: | -0.04 | -0.05 | -0.04 | -0.04 | -0.04 |
Call Volume: | 420,939 | 522,887 | 1,783,986 | 6,587 | 590,154 |
Put Volume: | 766,663 | 940,201 | 2,501,421 | 7,963 | 823,349 |
Call Open Interest: | 5,384,891 | 5,296,159 | 6,420,186 | 51,065 | 4,583,399 |
Put Open Interest: | 10,382,458 | 10,315,540 | 13,103,898 | 54,395 | 8,185,202 |
Key Support & Resistance Strikes: |
---|
SPX: [4100, 4000, 3950, 3900] |
SPY: [400, 395, 390, 385] |
QQQ: [320, 310, 305, 300] |
NDX: [14000, 13000, 12525, 12000] |
SPX Combo (Strike, Percentile): [(4149.0, 85.98), (4101.0, 90.83), (4077.0, 88.96), (4065.0, 96.41), (4061.0, 86.16), (4049.0, 92.77), (4029.0, 87.27), (4025.0, 76.86), (4021.0, 79.44), (4001.0, 77.44), (3962.0, 86.63), (3950.0, 90.34), (3942.0, 76.89), (3926.0, 75.06), (3914.0, 90.64), (3902.0, 96.57), (3874.0, 80.96), (3862.0, 79.57), (3850.0, 93.85), (3826.0, 76.64), (3810.0, 85.48), (3799.0, 96.95)] |
SPY Combo: [378.65, 388.96, 405.21, 383.8, 403.63] |
NDX Combo: [12518.0, 13126.0, 12315.0, 12923.0, 12721.0] |
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