Futures dropped from the open to pin the large 4200 level.
Model Overview:
While markets hold 4200 we look for a low volatility grind higher, with 4250 the overhead target. 4160 is the gamma flip line, and therefore critical support.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4199 | 4206 | 419 | 13652 | 332 |
| SpotGamma Imp. 1 Day Move: | 0.86%, | 36.0 pts | Range: 4163.0 | 4235.0 | ||
| SpotGamma Imp. 5 Day Move: | 4206 | 0.96% | Range: 4166.0 | 4246.0 | ||
| SpotGamma Gamma Index™: | 0.67 | 0.67 | 0.03 | 0.01 | -0.01 |
| Volatility Trigger™: | 4195 | 4195 | 419 | 13475 | 333 |
| SpotGamma Absolute Gamma Strike: | 4200 | 4200 | 420 | 12850 | 330 |
| Gamma Notional(MM): | $199 | $283 | $-2 | $1 | $-138 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4161 | 4168 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 410 | 12500 | 320 |
| Call Wall Strike: | 4250 | 4250 | 425 | 13500 | 340 |
| CP Gam Tilt: | 1.2 | 1.17 | 1.0 | 1.11 | 0.9 |
| Delta Neutral Px: | 3994 | ||||
| Net Delta(MM): | $1,422,736 | $1,424,938 | $190,479 | $39,513 | $73,918 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.07 | -0.06 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4200, 4175, 4150, 4000] |
| SPY: [425, 421, 420, 415] |
| QQQ: [340, 335, 330, 325] |
| NDX:[14000, 13500, 13000, 12850] |
| SPX Combo: [4244.0, 4269.0, 4295.0, 4219.0, 4194.0] |
| NDX Combo: [13889.0, 13684.0, 13452.0, 13807.0, 13275.0] |
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