Macro Theme: |
Key Levels: |
| Macro Note TBA | Reference Price: 4091 SG Implied 1-Day Move: 1.06% SG Implied 5-Day Move: 2.69% Volatility Trigger: 4005 Absolute Gamma Strike: 4000 Call Wall: 4150 Put Wall: 3800 |
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 4091 | 4124 | 407 | 13100 | 319 |
| SG Implied 1-Day Move: | 1.06%, | (±pts): 43.0 | VIX 1 Day Impl. Move:1.2% | ||
| SG Implied 5-Day Move: | 2.69% | 4109 (Monday Reference Price) | Range: 3999.0 | 4220.0 | ||
| SpotGamma Gamma Index™: | 1.40 | 1.42 | 0.00 | 0.04 | 0.03 |
| Volatility Trigger™: | 4005 | 4005 | 409 | 11975 | 319 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 410 | 12525 | 320 |
| Gamma Notional (MM): | 230.0 | 500.0 | -823.0 | 6.0 | 86.0 |
| Call Wall: | 4150 | 4150 | 420 | 12525 | 330 |
| Put Wall: | 3800 | 3800 | 400 | 11000 | 285 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4067 | 4069 | 410.0 | 0 | 346 |
| Gamma Tilt: | 1.46 | 1.31 | 0.82 | 1.77 | 1.06 |
| Delta Neutral Px: | 3997 | ||||
| Net Delta (MM): | $1,493,090 | $1,505,070 | $191,935 | $50,990 | $101,148 |
| 25 Day Risk Reversal: | -0.05 | -0.05 | -0.04 | -0.05 | -0.05 |
| Call Volume: | 569,416 | 569,416 | 1,997,421 | 9,656 | 598,342 |
| Put Volume: | 906,668 | 906,668 | 3,106,472 | 10,569 | 956,250 |
| Call Open Interest: | 5,685,844 | 5,685,844 | 6,763,753 | 52,222 | 4,483,128 |
| Put Open Interest: | 10,722,556 | 10,722,556 | 13,751,879 | 58,501 | 7,898,120 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [412, 410, 408, 400] |
| QQQ: [320, 315, 310, 300] |
| NDX: [14000, 13500, 13000, 12525] |
| SPX Combo (Strike, Percentile): [(4292.0, 76.24), (4284.0, 88.99), (4268.0, 97.25), (4239.0, 85.53), (4214.0, 94.23), (4190.0, 82.84), (4182.0, 82.13), (4165.0, 98.57), (4157.0, 82.31), (4145.0, 80.44), (4141.0, 94.39), (4137.0, 82.99), (4133.0, 84.75), (4129.0, 87.9), (4124.0, 77.05), (4120.0, 74.9), (4116.0, 98.92), (4112.0, 88.58), (4108.0, 84.95), (4104.0, 87.73), (4096.0, 87.12), (4092.0, 95.42), (4088.0, 83.42), (4067.0, 92.74), (4043.0, 87.59), (3969.0, 79.42), (3920.0, 84.53)] |
| SPY Combo: [411.16, 416.07, 426.28, 408.71, 413.61] |
| NDX Combo: [12485.0, 13507.0, 13297.0, 13101.0, 13704.0] |
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