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% |
|
|
|
|
|
SpotGamma Implied 5-Day Move: |
1.87% |
|
|
|
|
|
|
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] |