SpotGamma™

S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

SpotGamma Report for: 11/30/2020 AM

Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:3500-3700 range into DEC OPEX. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 3613 3637 361 12226 299 VIX Ref: 14 20.84 SG Gamma Index™: 0.91 0.95 0.27 0.01 0.02 Gamma Notional(MM): $291.00 $519.00 $1,138.00 $2.00 $135.00 SGI Imp. 1 Day Move: 1.0%, 36.0 pts Range: […]

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