The SpotGamma Implied 1 Day Move is our proprietary estimate of the expected trading range for the day. This range is based on the current options environment and backed by decades of historical data sets. You can easily determine the expected range for the day by adding or subtracting the value of the 1-day move from the current S&P reference price. Our gamma derived estimate provides a valuable 1 day estimate (9:30ET to 4:30PM) of SPX movement.
To calculate the estimated range on the day, ± the SpotGamma Implied Move from the SPX cash opening price. This is our estimated 1 standard deviation range for the day.
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