loader image

Informe SG Levels

Sep 9, 2021 | 0 Comentarios

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]
Sub Login
Support
Follow @SpotGamma
Strike Charts
Historical Chart
Gamma Expiration Tool

2021-09-08_CBOE_gammagraph_PMSPX.png2021-09-08_CBOE_gammagraph_PMSPY.png2021-09-08_CBOE_gammagraph_PMQQQ.png
2021-09-08_CBOE_gammagraph_PMNDX.png
2021-09-08_CBOE_gammagraph_PMIWM.png
2021-09-08_CBOE_gammagraph_PMRUT.png
2021-09-08_CBOE_gammagraph_PMDIA.png