Markets gave a quick intital test of the 4495 Vol Trigger before drifting back higher to close unch.
Model Overview:
4500 support, 4550 resistance into 9/17 OPEX. VIX Exp 9/15 opens a window of weakness into 9/22 FOMC.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4511 | 4511 | 450 | 15612 | 380 |
| SpotGamma Imp. 1 Day Move: | 0.73%, | 33.0 pts | Range: 4478.0 | 4544.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.29% | 4539 (Monday Ref Px) | Range: 4436.0 | 4644.0 | ||
| SpotGamma Gamma Index™: | 1.00 | 1.00 | 0.27 | 0.04 | -0.01 |
| Volatility Trigger™: | 4495 | 4495 | 449 | 14950 | 381 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 15075 | 380 |
| Gamma Notional(MM): | $146 | $146 | $948 | $5 | $-238 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4504 | 4504 | 0 | 0 | 0 |
| Put Wall Support: | 4510 | 4510 | 448 | 14450 | 365 |
| Call Wall Strike: | 4550 | 4550 | 454 | 15075 | 385 |
| CP Gam Tilt: | 1.25 | 1.07 | 1.22 | 1.45 | 0.85 |
| Delta Neutral Px: | 4323 | ||||
| Net Delta(MM): | $1,632,081 | $1,632,081 | $221,090 | $53,938 | $93,492 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.07 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4550, 4525, 4500, 4450] |
| SPY: [453, 452, 450, 440] |
| QQQ: [385, 382, 380, 375] |
| NDX:[16000, 15500, 15075, 15000] |
| SPX Combo: [4543.0, 4516.0, 4592.0, 4565.0, 4493.0] |
| SPY Combo: [454.07, 451.36, 459.03, 456.32, 449.11] |
| NDX Combo: [15735.0, 15938.0, 15688.0, 15641.0, 15610.0] |
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