Macro Theme: |
Key Levels: |
| Macro Note TBA | Reference Price: 4090 SG Implied 1-Day Move: 0.99% SG Implied 5-Day Move: 2.69% Volatility Trigger: 4095 Absolute Gamma Strike: 4000 Call Wall: 4200 Put Wall: 3800 |
Daily Note:
NOTE TO FOLLOW PREOPEN
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 4090 | 4090 | 407 | 12966 | 315 |
| SG Implied 1-Day Move: | 0.99%, | (±pts): 40.0 | VIX 1 Day Impl. Move:1.21% | ||
| SG Implied 5-Day Move: | 2.69% | 4109 (Monday Reference Price) | Range: 3999.0 | 4220.0 | ||
| SpotGamma Gamma Index™: | 0.35 | 0.86 | -0.09 | 0.04 | -0.00 |
| Volatility Trigger™: | 4095 | 4055 | 406 | 11975 | 317 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 408 | 12525 | 315 |
| Gamma Notional (MM): | 194.0 | 154.0 | -604.0 | 7.0 | -6.0 |
| Call Wall: | 4200 | 4150 | 408 | 12525 | 320 |
| Put Wall: | 3800 | 3800 | 400 | 11000 | 300 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4101 | 4106 | 410.0 | 11851.0 | 350 |
| Gamma Tilt: | 1.1 | 1.08 | 0.88 | 1.73 | 1.0 |
| Delta Neutral Px: | 4025 | ||||
| Net Delta (MM): | $1,534,632 | $1,470,371 | $200,883 | $49,925 | $100,478 |
| 25 Day Risk Reversal: | -0.06 | -0.05 | -0.05 | -0.05 | -0.05 |
| Call Volume: | 427,372 | 527,723 | 1,771,087 | 6,133 | 603,838 |
| Put Volume: | 767,039 | 927,870 | 2,919,321 | 6,138 | 851,823 |
| Call Open Interest: | 5,789,306 | 5,766,110 | 7,096,980 | 52,884 | 4,597,009 |
| Put Open Interest: | 11,133,068 | 10,848,345 | 14,197,820 | 59,617 | 7,999,376 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4150, 4100, 4050, 4000] |
| SPY: [410, 408, 407, 405] |
| QQQ: [320, 315, 310, 300] |
| NDX: [14000, 13000, 12525, 12000] |
| SPX Combo (Strike, Percentile): [(4274.0, 84.49), (4250.0, 92.7), (4225.0, 78.11), (4213.0, 77.89), (4201.0, 97.48), (4176.0, 90.03), (4164.0, 76.1), (4160.0, 77.6), (4152.0, 95.3), (4135.0, 79.02), (4123.0, 90.75), (4115.0, 79.68), (4062.0, 85.21), (4053.0, 76.07), (4013.0, 82.0), (3951.0, 87.94), (3914.0, 79.52), (3898.0, 93.19)] |
| SPY Combo: [418.61, 413.71, 388.44, 423.5, 410.86] |
| NDX Combo: [13135.0, 12526.0, 13550.0, 13343.0] |
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