Futures are down sharply to 4360. We open in a negative gamma position, which implies large directional swings until/unless we recover 4400.
Model Overview:
4500 top, 4400 support into 8/20 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4358 | 4393 | 439 | 14761 | 362 |
| SpotGamma Imp. 1 Day Move: | 1.25%, | 54.0 pts | Range: 4341.0 | 4375.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.38% | 4450 (Monday Ref Px) | Range: 4389.0 | 4512.0 | ||
| SpotGamma Gamma Index™: | -0.10 | 0.83 | -0.09 | 0.02 | -0.12 |
| Volatility Trigger™: | 4420 | 4420 | 440 | 14770 | 366 |
| SpotGamma Absolute Gamma Strike: | 4400 | 4400 | 440 | 14775 | 360 |
| Gamma Notional(MM): | $-579 | $-428 | $-423 | $0 | $-598 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4422 | 4424 | 0 | 0 | 0 |
| Put Wall Support: | 4350 | 4350 | 430 | 14500 | 360 |
| Call Wall Strike: | 4500 | 4500 | 450 | 14775 | 370 |
| CP Gam Tilt: | 0.98 | 0.82 | 0.9 | 1.0 | 0.68 |
| Delta Neutral Px: | 4271 | ||||
| Net Delta(MM): | $1,559,734 | $1,452,082 | $214,448 | $47,564 | $91,264 |
| 25D Risk Reversal | -0.08 | -0.06 | -0.1 | -0.08 | -0.08 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4450, 4425, 4400, 4350] |
| SPY: [445, 442, 440, 435] |
| QQQ: [370, 365, 360, 350] |
| NDX:[15000, 14800, 14775, 14450] |
| SPX Combo: [4464.0, 4411.0, 4437.0, 4315.0, 4485.0] |
| SPY Combo: [449.28, 444.01, 446.65, 434.35, 451.48] |
| NDX Combo: [14674.0, 15088.0, 14467.0, 14748.0, 14556.0] |
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