Macro Theme: |
Key Levels: |
Macro Note TBA | Reference Price: 4050 SG Implied 1-Day Move: 0.99% 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: | 4050 | 4027 | 403 | 12960 | 315 |
SG Implied 1-Day Move: | 0.99%, | (±pts): 40.0 | VIX 1 Day Impl. Move:1.2% | ||
SG Implied 5-Day Move: | 3.01% | 3970 (Monday Reference Price) | Range: 3851.0 | 4091.0 | ||
SpotGamma Gamma Index™: | 0.78 | 0.77 | -0.20 | 0.04 | 0.02 |
Volatility Trigger™: | 4000 | 4000 | 400 | 11975 | 309 |
SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12525 | 310 |
Gamma Notional (MM): | 532.0 | 275.0 | -368.0 | 6.0 | 380.0 |
Call Wall: | 4065 | 4065 | 405 | 12525 | 320 |
Put Wall: | 3800 | 3800 | 390 | 11000 | 300 |
Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Zero Gamma Level: | 4026 | 4034 | 403.0 | 11752.0 | 340 |
Gamma Tilt: | 1.21 | 1.15 | 0.9 | 1.74 | 1.27 |
Delta Neutral Px: | 3986 | ||||
Net Delta (MM): | $1,250,002 | $1,242,904 | $181,791 | $45,869 | $100,807 |
25 Day Risk Reversal: | -0.04 | -0.04 | -0.04 | -0.04 | -0.04 |
Call Volume: | 565,489 | 565,489 | 1,695,468 | 6,632 | 628,737 |
Put Volume: | 783,502 | 783,502 | 2,816,843 | 7,853 | 1,054,570 |
Call Open Interest: | 5,510,436 | 5,510,436 | 6,678,730 | 50,850 | 4,692,830 |
Put Open Interest: | 10,658,829 | 10,658,829 | 13,839,781 | 54,459 | 8,524,797 |
Key Support & Resistance Strikes: |
---|
SPX: [4100, 4065, 4050, 4000] |
SPY: [405, 402, 400, 398] |
QQQ: [315, 310, 305, 300] |
NDX: [14000, 13000, 12525, 12000] |
SPX Combo (Strike, Percentile): [(4222.0, 93.38), (4170.0, 89.76), (4145.0, 82.24), (4121.0, 95.41), (4105.0, 86.35), (4101.0, 86.21), (4097.0, 97.07), (4089.0, 87.0), (4085.0, 99.76), (4081.0, 93.94), (4077.0, 89.52), (4072.0, 96.62), (4064.0, 77.62), (4060.0, 81.37), (4056.0, 84.8), (4052.0, 90.88), (4044.0, 81.12), (4040.0, 78.3), (4020.0, 84.03), (3983.0, 79.03), (3971.0, 93.09), (3943.0, 80.12), (3935.0, 85.26), (3919.0, 95.01), (3882.0, 76.69), (3870.0, 91.25)] |
SPY Combo: [407.31, 408.52, 406.1, 410.95, 390.76] |
NDX Combo: [13259.0, 12637.0, 13052.0, 13013.0, 12430.0] |
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