What does the SpotGamma Imp 5 Day Move mean?
The SpotGamma Imp 5 Day Move is a proprietary estimate of how much the SPX index may move over the next 5 sessions.
Why does the SpotGamma Imp 5 Day Move matter?
Our gamma derived estimate provides a valuable 5 day estimate of SPX movement.
How to use the SpotGamma Imp 5 Day Move?
To calculate the estimated range for the next 5 days, ± the SG Implied 5 day Move from the SPX cash price. This is our estimated 1 standard deviation range over the next 5 days