Futures are up slightly to 4710. Our updated data shows that gamma shifted just north of zero, but we still model a fair amount of volatility: 1.12% (max move open/close). Resistance lies at 4750, with support at 4700 then 4640.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4714 | 4703 | 470 | 15887 | 385 |
| SpotGamma Imp. 1 Day Move: | 1.12%, | Est 1 StdDev Open to Close Range (±pts): 53.0 | |||
| SpotGamma Imp. 5 Day Move: | 2.83% | 4673 (Monday Ref Px) | Range: 4541.0 | 4805.0 | ||
| SpotGamma Gamma Index™: | 0.25 | -0.36 | -0.00 | 0.04 | -0.07 |
| Volatility Trigger™: | 4640 | 4670 | 467 | 15730 | 385 |
| SpotGamma Absolute Gamma Strike: | 4700 | 4700 | 470 | 15925 | 390 |
| Gamma Notional(MM): | $7 | $-46 | $-27 | $5 | $-348 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4713 | 4703 | 0 | 0 | 0 |
| Put Wall Support: | 4400 | 4600 | 455 | 15000 | 355 |
| Call Wall Strike: | 4800 | 4800 | 480 | 15925 | 400 |
| CP Gam Tilt: | 1.1 | 0.97 | 0.99 | 1.4 | 0.78 |
| Delta Neutral Px: | 4586 | ||||
| Net Delta(MM): | $1,187,204 | $1,464,669 | $177,529 | $37,850 | $98,839 |
| 25D Risk Reversal | -0.07 | -0.08 | -0.07 | -0.08 | -0.08 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4800, 4700, 4650, 4600] |
| SPY: [480, 475, 470, 468] |
| QQQ: [400, 390, 385, 380] |
| NDX:[16250, 16000, 15925, 15800] |
| SPX Combo (strike, %ile): [4798.0, 4850.0, 4827.0, 4751.0, 4756.0] |
| SPY Combo: [478.21, 483.37, 481.02, 473.51, 473.98] |
| NDX Combo: [15956.0, 15638.0, 15432.0, 16130.0, 15765.0] |
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