Futures pushed higher to 4794 indicating the S&P500 will open at its Call Wall resistance line. This move higher adds to the positive gamma position in the S&P which leads our model to look for a low volatility day, with a pin near the 4800 SPX / 480 SPY area. Around this 4800 “pivot” we look for resistance at 4821 and support at 4773.
Model Overview:
4600 gamma flip level, 4550 critical support. 4700 overhead target.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4794 | 4795 | 478 | 16646 | 403 |
| SpotGamma Imp. 1 Day Move: | 0.48%, | Est 1 StdDev Open to Close Range (±pts): 23.0 | |||
| SpotGamma Imp. 5 Day Move: | 1.91% | 4728 (Monday Ref Px) | Range: 4638.0 | 4819.0 | ||
| SpotGamma Gamma Index™: | 2.21 | 2.21 | 0.28 | 0.04 | 0.04 |
| Volatility Trigger™: | 4645 | 4645 | 467 | 15725 | 391 |
| SpotGamma Absolute Gamma Strike: | 4800 | 4800 | 480 | 15925 | 400 |
| Gamma Notional(MM): | $718 | $725 | $1,515 | $5 | $186 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4687 | 4676 | 0 | 0 | 0 |
| Put Wall Support: | 4400 | 4400 | 455 | 13500 | 355 |
| Call Wall Strike: | 4800 | 4800 | 480 | 15925 | 410 |
| CP Gam Tilt: | 1.94 | 1.65 | 1.68 | 1.79 | 1.19 |
| Delta Neutral Px: | 4525 | ||||
| Net Delta(MM): | $1,443,123 | $1,443,499 | $176,867 | $37,525 | $88,876 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.05 | -0.05 | -0.05 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4800, 4750, 4700, 4650] |
| SPY: [480, 476, 475, 470] |
| QQQ: [410, 405, 400, 390] |
| NDX:[17000, 16250, 16000, 15925] |
| SPX Combo (strike, %ile): [(4898.0, 94.82), (4869.0, 85.02), (4864.0, 82.11), (4855.0, 77.54), (4850.0, 88.55), (4845.0, 97.9), (4840.0, 77.88), (4836.0, 84.66), (4831.0, 86.76), (4826.0, 86.79), (4821.0, 94.25), (4816.0, 96.3), (4807.0, 89.49), (4802.0, 81.95), (4797.0, 99.77), (4793.0, 76.41), (4788.0, 92.0), (4783.0, 79.44), (4778.0, 91.05), (4773.0, 95.06), (4769.0, 75.76), (4764.0, 81.6), (4754.0, 80.72), (4749.0, 80.87), (4745.0, 94.64), (4721.0, 82.52), (4697.0, 83.79)] |
| SPY Combo: [478.21, 482.99, 480.12, 475.83, 488.24] |
| NDX Combo: [16864.0, 16449.0, 16664.0, 17079.0, 16698.0] |
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