Macro Theme: |
Key Levels: |
| Macro Note TBA | Reference Price: 4091 SG Implied 1-Day Move: 0.98% SG Implied 5-Day Move: 2.69% Volatility Trigger: 4095 Absolute Gamma Strike: 4000 Call Wall: 4200 Put Wall: 3900 |
Daily Note:
NOTE TO FOLLOW PREOPEN
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 4091 | 4092 | 408 | 12848 | 313 |
| SG Implied 1-Day Move: | 0.98%, | (±pts): 40.0 | 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™: | 0.45 | 0.85 | -0.19 | 0.05 | -0.03 |
| Volatility Trigger™: | 4095 | 4095 | 408 | 12520 | 315 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 410 | 12525 | 315 |
| Gamma Notional (MM): | 83.0 | 68.0 | -873.0 | 8.0 | -109.0 |
| Call Wall: | 4200 | 4200 | 412 | 12525 | 320 |
| Put Wall: | 3900 | 3900 | 400 | 11000 | 300 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4095 | 4095 | 410.0 | 11913.0 | 339 |
| Gamma Tilt: | 1.11 | 1.03 | 0.8 | 1.7 | 0.94 |
| Delta Neutral Px: | 4027 | ||||
| Net Delta (MM): | $1,573,447 | $1,486,336 | $190,117 | $49,878 | $99,197 |
| 25 Day Risk Reversal: | -0.06 | -0.05 | -0.06 | -0.05 | -0.05 |
| Call Volume: | 569,779 | 377,457 | 2,201,991 | 8,686 | 780,023 |
| Put Volume: | 884,839 | 742,945 | 2,825,333 | 8,267 | 956,844 |
| Call Open Interest: | 6,012,107 | 5,935,151 | 6,910,163 | 54,886 | 4,667,656 |
| Put Open Interest: | 11,565,106 | 11,222,517 | 13,864,394 | 62,466 | 8,030,696 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4150, 4100, 4050, 4000] |
| SPY: [410, 408, 405, 400] |
| QQQ: [320, 315, 310, 300] |
| NDX: [14000, 13000, 12525, 12500] |
| SPX Combo (Strike, Percentile): [(4276.0, 83.54), (4252.0, 93.38), (4227.0, 77.79), (4211.0, 85.19), (4198.0, 97.64), (4190.0, 81.68), (4174.0, 93.2), (4170.0, 79.99), (4162.0, 92.15), (4149.0, 97.19), (4141.0, 88.13), (4129.0, 85.31), (4125.0, 90.5), (4121.0, 77.13), (4100.0, 93.63), (4080.0, 80.33), (4076.0, 79.49), (4071.0, 79.06), (4059.0, 85.41), (4051.0, 87.02), (4010.0, 87.11), (4002.0, 93.32), (3961.0, 79.56), (3949.0, 90.48), (3912.0, 80.51), (3900.0, 94.81)] |
| SPY Combo: [418.66, 413.76, 388.87, 408.87, 423.96] |
| NDX Combo: [12527.0, 13131.0, 12309.0, 13337.0, 12810.0] |
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