SpotGamma Report for: 07/20/2021 AM

Daily Note:

Volatility was back today, with the S&P dropping 70pts to close at 4258. The low on the day was 4233, just breaching the major support line of 4240 outlined in the AM report. We received several inquiries on where we derived this level, and its shown below in our EquityHub chart.

Model Overview:

July OPEX today, new ranges setup next week.

SpotGamma Proprietary Levels	Latest Data	Previous	SPY	NDX	QQQ
Ref Price:	4261	4260	424	14577	354
SpotGamma Imp. 1 Day Move:	1.13%,	48.0 pts	Range: 4213.0 \| 4309.0
SpotGamma Imp. 5 Day Move:	4303	2.02%	Range: 4217.0 \| 4390.0
SpotGamma Gamma Index™:	-0.29	-0.29	-0.08	0.02	-0.05
Volatility Trigger™:	4340	4340	432	14175	358
SpotGamma Absolute Gamma Strike:	4350	4350	430	14450	360
Gamma Notional(MM):	$-627	$-631	$-1,335	$2	$-446

Additional Key Levels	Latest Data	Previous	SPY	NDX	QQQ
Zero Gamma Level:	4356	4343	0	0	0
Put Wall Support:	4335	4335	430	13000	355
Call Wall Strike:	4400	4400	440	14775	361
CP Gam Tilt:	0.92	0.66	0.61	1.21	0.7
Delta Neutral Px:	4176
Net Delta(MM):	$1,293,472	$1,293,169	$165,326	$34,867	$77,452
25D Risk Reversal	-0.07	-0.07	-0.08	-0.07	-0.07

Top Absolute Gamma Strikes:
SPX: [4350, 4300, 4250, 4200]
SPY: [436, 435, 433, 430]
QQQ: [360, 358, 355, 350]
NDX:[15000, 14775, 14450, 14000]
SPX Combo: [4333.0, 4308.0, 4380.0, 4235.0, 4270.0]
NDX Combo: [14490.0, 14738.0, 14680.0, 14286.0, 14899.0]

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