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Informe SG Levels

Ago 4, 2021 | 0 Comentarios

 

Futures were steady overnight, and are currently at 4410. With the SPX indicating back over 4400, there is a higher level of gamma which implies lower volatility today. Our SG max 1 day move is just 0.73% (vs 1.2% y’day).  Major support is at 4400 with resistance at 4444. Note another large gamma strike at 4414, which is the 440 SPY equivalent.

The right skew to the vanna model is reflecting the resistance that builds into 4450. Essentially the market will be stuck between this resistance and that very large gamma bar at 4400. This range is what compresses realized volatility, which drags down implied volatility, which in turn nudges the SPX drift higher.

Model Overview:

4400 top of the range, 4330 critical support for August OPEX.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4414 4409 441 15066 366
SpotGamma Imp. 1 Day Move: 0.73%, 32.0 pts Range: 4382.0 | 4446.0
SpotGamma Imp. 5 Day Move: 1.94% 4412 (Monday Ref Px) Range: 4327.0 | 4498.0
SpotGamma Gamma Index™: 1.18 0.43 0.01 0.04 0.02
Volatility Trigger™: 4395 4385 440 14670 366
SpotGamma Absolute Gamma Strike: 4400 4400 440 14450 365
Gamma Notional(MM): $458 $302