Futures have recovered some, currently to 4625. Fridays shortened session brought a large change in levels, and a large increase in implied volatility[IV]. First we note an max estimated move of 71bps for today’s S&P500 session, with key support at 4600 and resistance at 4638 and 4631.
The gamma flip point, which held at 4650 for over a week, has now shifted down to 4600. Its clear that a lot of put open interest that was positioned >= 4630 was removed on Friday, which led to the shift. Accordingly we give markets a bullish edge if the SPX holds 4600.
Model Overview:
4670 critical support, 4750 upside target into Dec OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4629 | 4622 | 462 | 16193 | 391 |
| SpotGamma Imp. 1 Day Move: | 0.71%, | Est 1 StdDev Open to Close Range (±pts): 33.0 | |||
| SpotGamma Imp. 5 Day Move: | 0.57% | 4629 (Monday Ref Px) | Range: 4603.0 | 4656.0 | ||
| SpotGamma Gamma Index™: | -0.12 | 1.38 | -0.06 | 0.03 | -0.07 |
| Volatility Trigger™: | 4595 | 4645 | 460 | 15800 | 398 |
| SpotGamma Absolute Gamma Strike: | 4700 | 4700 | 470 | 16575 | 400 |
| Gamma Notional(MM): | $-96 | $-451 | $126 | $5 | $-338 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4621 | 4649 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4400 | 455 | 15000 | 385 |
| Call Wall Strike: | 4750 | 4750 | 470 | 16575 | 400 |
| CP Gam Tilt: | 0.97 | 0.8 | 1.04 | 1.54 | 0.76 |
| Delta Neutral Px: | 4503 | ||||
| Net Delta(MM): | $1,718,129 | $1,835,976 | $218,505 | $45,648 | $104,495 |
| 25D Risk Reversal | -0.13 | -0.07 | -0.11 | -0.08 | -0.05 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4700, 4600, 4500, 4400] |
| SPY: [470, 465, 460, 450] |
| QQQ: [400, 395, 390, 385] |
| NDX:[16575, 16000, 15500, 15000] |
| SPX Combo: [4738.0, 4761.0, 4743.0, 4710.0, 4687.0] |
| SPY Combo: [471.88, 474.19, 472.34, 469.11, 466.81] |
| NDX Combo: [16550.0, 15935.0, 16145.0, 15724.0] |
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