Futures have pushed back to yesterdays highs of 4255. Forecasts are similar to yesterday. Gamma comes in flat, which implies a max move of 35pts for the day. 4275 remains the key overhead level (Call Wall) with 4225 support.
Shown below is the gamma layout for each strike and you can see how large that 4250 strike is, and why its functioning as a sticking point for markets. 4300 is close to taking over 4275 as the “Call Wall”, which would be considered a bullish signal.
4200 remains the critical support line. Any break of that level should lead to a quick test of 4170.
Model Overview:
4300 top, 4000 support into July OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4240 | 4233 | 422 | 14298 | 347 |
| SpotGamma Imp. 1 Day Move: | 0.83%, | 35.0 pts | Range: 4205.0 | 4275.0 | ||
| SpotGamma Imp. 5 Day Move: | 4147 | 2.97% | Range: 4024.0 | 4270.0 | ||
| SpotGamma Gamma Index™: | 0.68 | 1.16 | -0.01 | 0.04 | 0.06 |
| Volatility Trigger™: | 4215 | 4215 | 423 | 13725 | 344 |
| SpotGamma Absolute Gamma Strike: | 4250 | 4250 | 425 | 14100 | 350 |
| Gamma Notional(MM): | $179 | $177 | $486 | $6 | $315 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4209 | 4202 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 420 | 12000 | 333 |
| Call Wall Strike: | 4275 | 4275 | 425 | 14100 | 350 |
| CP Gam Tilt: | 1.21 | 1.1 | 1.13 | 2.15 | 1.25 |
| Delta Neutral Px: | 4094 | ||||
| Net Delta(MM): | $1,144,843 | $1,141,234 | $150,917 | $25,709 | $69,932 |
| 25D Risk Reversal | -0.06 | -0.07 | -0.05 | -0.05 | -0.05 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4250, 4225, 4200, 4000] |
| SPY: [425, 423, 422, 420] |
| QQQ: [350, 347, 345, 340] |
| NDX:[15000, 14500, 14100, 14000] |
| SPX Combo: [4275.0, 4300.0, 4249.0, 4258.0, 4279.0] |
| NDX Combo: [14401.0, 14130.0, 14602.0, 14316.0, 14201.0] |
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