Macro Theme: |
Key Levels: |
| Macro Note TBA | Reference Price: 4105 SG Implied 1-Day Move: 1.04% SG Implied 5-Day Move: 2.69% Volatility Trigger: 4055 Absolute Gamma Strike: 4000 Call Wall: 4200 Put Wall: 3800 |
Daily Note:
NOTE TO FOLLOW
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 4105 | 4105 | 409 | 13062 | 318 |
| SG Implied 1-Day Move: | 1.04%, | (±pts): 43.0 | VIX 1 Day Impl. Move:1.16% | ||
| SG Implied 5-Day Move: | 2.69% | 4109 (Monday Reference Price) | Range: 3999.0 | 4220.0 | ||
| SpotGamma Gamma Index™: | 0.93 | 0.93 | -0.10 | 0.04 | 0.03 |
| Volatility Trigger™: | 4055 | 4055 | 408 | 12480 | 315 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 410 | 12525 | 320 |
| Gamma Notional (MM): | 329.0 | 329.0 | -475.0 | 6.0 | 176.0 |
| Call Wall: | 4200 | 4200 | 420 | 12525 | 320 |
| Put Wall: | 3800 | 3800 | 400 | 11000 | 300 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4077 | 4077 | 411.0 | 0 | 342 |
| Gamma Tilt: | 1.27 | 1.19 | 0.88 | 1.72 | 1.12 |
| Delta Neutral Px: | 4040 | ||||
| Net Delta (MM): | $1,555,221 | $1,555,221 | $186,876 | $52,553 | $99,583 |
| 25 Day Risk Reversal: | -0.06 | -0.06 | -0.05 | -0.05 | -0.05 |
| Call Volume: | 393,096 | 393,096 | 1,331,795 | 5,931 | 563,958 |
| Put Volume: | 928,306 | 928,306 | 2,132,178 | 5,181 | 756,029 |
| Call Open Interest: | 5,810,367 | 5,810,367 | 6,558,760 | 53,361 | 4,467,034 |
| Put Open Interest: | 11,157,778 | 11,157,778 | 13,343,194 | 61,195 | 7,803,602 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [412, 410, 405, 400] |
| QQQ: [320, 315, 310, 300] |
| NDX: [14000, 13500, 13000, 12525] |
| SPX Combo (Strike, Percentile): [(4298.0, 96.63), (4273.0, 86.2), (4249.0, 93.38), (4224.0, 82.19), (4212.0, 87.45), (4199.0, 98.15), (4191.0, 78.38), (4175.0, 93.91), (4171.0, 76.62), (4158.0, 85.59), (4154.0, 78.71), (4150.0, 97.15), (4142.0, 86.78), (4134.0, 83.23), (4130.0, 76.34), (4126.0, 91.3), (4121.0, 84.62), (4113.0, 82.65), (4109.0, 80.16), (4105.0, 77.61), (4101.0, 94.78), (4076.0, 86.42), (4015.0, 78.62), (3998.0, 86.17), (3949.0, 88.29), (3912.0, 75.61)] |
| SPY Combo: [418.6, 413.69, 428.42, 408.78, 416.15] |
| NDX Combo: [13141.0, 12527.0, 13559.0, 13350.0, 13219.0] |
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