Daily Note: Futures have popped back near last weeks highs of 4415. As noted last week we held 440SPY/4400SPX as the “Call Wall” top, and the market was unable to push through that level. The Call Wall has now jumped to the 4500 strike, which “validates” the market trading over 4400. With that we see […]
SpotGamma Report for: 08/02/2021 AM
SpotGamma Report for: 08/02/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:4400 top of the range, 4330 critical support for August OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4412 4395 438 15036 364 SpotGamma Imp. 1 Day Move: 0.83%, 37.0 pts Range: 4375.0 | 4449.0 SpotGamma Imp. 5 Day Move: 1.94% 4412 (Monday Ref […]
Friday YouTube Live
4400 pinning despite FED, China, AMZN et al Intraday volatility & vanna charts Markets into Sep: contango, Aug vs Sep vol Playing AMZN
SpotGamma Report for: 07/30/2021 AM
Daily Note: Today should be quite interesting. Futures are down to 4380, but up off of 4372(4378 SPX) which is our main support line for today. 4330 remains a major downside inflection point, and we think that would be todays low should larger selling ensue. To the upside we note resistance at 4405 and 4425. […]
SpotGamma Report for: 07/30/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:4400 top of the range, 4330 critical support for August OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4377 4399 440 14846 366 SpotGamma Imp. 1 Day Move: 0.91%, 40.0 pts Range: 4337.0 | 4417.0 SpotGamma Imp. 5 Day Move: 2.03% 4389 (Monday Ref […]
SpotGamma Report for: 07/29/2021 PM
Daily Note: The market started off hot out of the gate right into the 4225 area, before succumbing into a close of 4410. We note futures dropped sharply after hours to 4400 on the back of poor AMZN earnings. You can also see that our intraday options indicator (subgraph) was initially bullish, but once the […]
Trading Futures Using SpotGamma Levels and The HIRO Indicator
The following is a guest post from Doug Pless. When I plan to trade ES futures during the day, I begin my morning preparation by reading the SpotGamma AM Report (which looks like this). The report provides commentary on overnight shifts in gamma levels for SPX as well as many key metrics including the following: […]
SpotGamma Report for: 07/29/2021 AM
Daily Note: Futures are on 4400 after a quiet overnight session. There are a cluster of large combo strikes around 4425 which we view as the top for today. SPY notional gamma is roughly 3x that of SPX, and so Call Wall gamma resistance is more of a “band” in between 4400 SPX and ~4415 […]
SpotGamma Report for: 07/29/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:4400 top of the range, 4330 critical support for August OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4392 4392 439 14982 365 SpotGamma Imp. 1 Day Move: 1.33%, 58.0 pts Range: 4334.0 | 4450.0 SpotGamma Imp. 5 Day Move: 2.03% 4389 (Monday Ref […]
SpotGamma Report for: 07/28/2021 PM
Daily Note: A big nothing from the markets on FOMC day. The SPX closed -0.82 pts to 4400. SPX options volume was average at 1.1mm contracts. The VIX closed down 1pt to 18.50. While we arent sure how markets will digest the FOMC overnight, our models are pretty clear. The upside is capped until/unless the […]