Macro Theme:
Short Term SPX Resistance: 4,900 (SPX Call Wall)
Short Term SPX Support: 4,850
SPX Risk Pivot Level: 4,800
Major SPX Range High/Resistance: 4,900 (SPX Call Wall)
Major SPX Range Low/Support: 4,700
‣ 4,900 – 4,915 is our target high into 1/31 FOMC.*
‣ A downside break of 4,800 is our interim “risk off” level.*
‣ Traders, and SG models, are pricing in low volatility/risk into 1/31 FOMC*
*updated 1/24
Founder’s Note:
ES Futures are flat to 4,900. Key SG levels for the SPX are:
- Support: 4,865 (SPY 485), 4,850, 4,826, 4,815, 4,800
- Resistance: 4,873, 4,900
- 1 Day Implied Range: 0.67%
For QQQ:
- Support: 424, 420, 400
- Resistance: 425, 430
IWM:
- Support: 195, 190, 187
- Resistance: 197, 200
Traders will be watching PCE data out at 8:30AM ET.
| SpotGamma Proprietary Levels | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Reference Price: | $4894 | $488 | $17516 | $426 | $1975 | $195 |
| SpotGamma Implied 1-Day Move: | 0.67% | 0.67% |
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| SpotGamma Implied 5-Day Move: | 1.87% |
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| SpotGamma Volatility Trigger™: | $4795 | $486 | $16950 | $424 | $1915 | $194 |
| Absolute Gamma Strike: | $5000 | $487 | $17100 | $424 | $2000 | $197 |
| SpotGamma Call Wall: | $4900 | $490 | $17100 | $430 | $1920 | $197 |
| SpotGamma Put Wall: | $4500 | $470 | $15700 | $420 | $1800 | $187 |
| Additional Key Levels | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Zero Gamma Level: | $4829 | $483 | $16451 | $425 | $2001 | $197 |
| Gamma Tilt: | 1.469 | 1.25 | 1.623 | 0.980 | 0.894 | 0.848 |
| SpotGamma Gamma Index™: | 2.354 | 0.253 | 0.054 | -0.009 | -0.008 | -0.029 |
| Gamma Notional (MM): | $642.658M | $573.493M | $6.745M | ‑$200.407M | ‑$7.008M | ‑$277.288M |
| 25 Delta Risk Reversal: | -0.027 | -0.02 | 0.004 | -0.029 | -0.009 | -0.002 |
| Call Volume: | 523.844K | 2.097M | 1.723K | 770.22K | 19.024K | 670.332K |
| Put Volume: | 834.694K | 2.537M | 1.99K | 1.381M | 18.824K | 926.749K |
| Call Open Interest: | 4.814M | 6.337M | 45.00K | 3.707M | 224.118K | 4.251M |
| Put Open Interest: | 10.449M | 13.979M | 57.448K | 7.905M | 406.637K | 7.657M |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [5000, 4900, 4800, 4850] |
| SPY Levels: [487, 488, 490, 486] |
| NDX Levels: [17100, 17000, 17600, 16500] |
| QQQ Levels: [424, 422, 430, 420] |
| SPX Combos: [(5100,97.17), (5075,77.46), (5051,91.29), (5026,90.89), (5017,95.15), (5002,99.32), (4992,74.61), (4982,77.14), (4977,94.38), (4968,84.57), (4963,90.83), (4958,80.21), (4953,85.81), (4948,99.58), (4943,89.75), (4938,88.39), (4933,91.51), (4928,90.85), (4924,98.54), (4919,93.74), (4914,96.76), (4909,95.66), (4904,91.01), (4899,99.78), (4894,91.18), (4889,88.20), (4884,90.88), (4875,97.37), (4850,90.52), (4816,75.53), (4777,81.32), (4762,74.25), (4752,84.32), (4698,72.11)] |
| SPY Combos: [489.51, 499.73, 487.08, 494.87] |
| NDX Combos: [17675, 17097, 17587, 17254] |
| QQQ Combos: [429.63, 415.6, 427.51, 419.42] |
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