Daily Note:
Futures have re-filled the gap lower, currently down to 4280.
Model Overview:
Large negative gamma position forecasts large, volatility swings. This should continue until/unless the S&P recovers 4400.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4313 | 4336 | 433 | 14553 | 357 |
| SpotGamma Imp. 1 Day Move: | 1.65%, | 71.0 pts | Range: 4242.0 | 4384.0 | ||
| SpotGamma Imp. 5 Day Move: | 6.11% | 4326 (Monday Ref Px) | Range: 4062.0 | 4590.0 | ||
| SpotGamma Gamma Index™: | -0.36 | -1.35 | -0.20 | -0.03 | -0.18 |
| Volatility Trigger™: | 4345 | 4370 | 435 | 14975 | 370 |
| SpotGamma Absolute Gamma Strike: | 4350 | 4200 | 430 | 15500 | 350 |
| Gamma Notional(MM): | $-600 | $-422 | $-889 | $-5 | $-906 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4378 | 4401 | 0 | 0 | 0 |
| Put Wall Support: | 4200 | 4200 | 430 | 14725 | 350 |
| Call Wall Strike: | 4500 | 4500 | 450 | 15375 | 375 |
| CP Gam Tilt: | 0.91 | 0.77 | 0.78 | 0.68 | 0.54 |
| Delta Neutral Px: | 4291 | ||||
| Net Delta(MM): | $1,429,545 | $1,470,503 | $186,359 | $44,572 | $95,360 |
| 25D Risk Reversal | -0.09 | -0.09 | -0.09 | -0.09 | -0.09 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4500, 4450, 4400, 4350] |
| SPY: [440, 435, 430, 425] |
| QQQ: [360, 358, 355, 350] |
| NDX:[15500, 15375, 15000, 14000] |
| SPX Combo: [4325.0, 4265.0, 4316.0, 4217.0, 4415.0] |
| SPY Combo: [434.4, 428.34, 433.53, 423.57, 443.49] |
| NDX Combo: [14255.0, 14459.0, 14590.0, 14386.0, 14663.0] |
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