SG Implied Move Update

November 18th 2021 

Today SpotGamma implemented an adjustment to its model which calculates forward volatility. Previously this metric, called “SpotGamma Imp. 1 Day Move”, referenced historical data which looked at the day to day change in SPX Index prices. Based on this data, we calculate a one standard deviation estimate of S&P500 movement for the next trading day.

The updated metric still produces a one standard deviation estimate, but our models now reference the historical single day open to close prices for the SPX Index.
While this change is small, we believe it is more accurate and allows traders to better implement this data into their trading plan. 

For example, lets say that the SG Implied move for today is 0.75%, with the SPX Index opening at 4700. The SG range on the day would therefore be 4700 (the SPX open) ± 35.25pts (4700 * 0.75%). Its key to note that we expect the S&P500 to close within 35.25 points of the open, and that any intraday high or low that is past 35.25pts would be considered an excessive move. With that we would look for the S&P500 Index to mean revert back inside the 35.25 max move.

The SpotGamma Implied 1 Day Move is a proprietary estimate of how much the SPX index may move the for the next cash session. SpotGamma subscribers can have an estimated of the expected range on the day when determining their trading approach.

Why does the SpotGamma Implied 1 Day Move matter?

Our gamma derived estimate provides a valuable 1 day estimate (9:30ET to 4:30PM) of SPX movement. 

How to use the SpotGamma Implied 1 Day Move?

To calculate the estimated range on the day, ± the SpotGamma Implied Move from the SPX cash opening price. This is our estimated 1 standard deviation range for the day. 

Subscribers can locate each day's Implied 1 Day Move in the Daily Founder's Notes.