Futures are off slightly to 4050 following Fridays OPEX. Following OPEX, the 4100 level has lost a good deal of its gamma weighting, but remains primary resistance for today. Support below lies at 4050, then 4000. We have been on the lookout for some price...
Sin categoría
Informe Option Levels
Futures have popped higher to 4165. Jobless claims are at 8:30AM ET, which may cause some initial volatility. Yesterday we saw the SPY Call Wall shift to 415 (4165 SPX), which reinforces the strength of this level as first resistance. The 4200 SPX Call Wall remains...
Informe Option Levels
Futures are flat to 3920 ahead of todays expirations. Key SG Levels have nearly all shifted lower (Call Wall, Vol Trigger, Abs Gamma), centering around the 3915(390SPY) – 3900SPX area. This is the initial support area, with another band of support near 3870....
Informe Option Levels
Futures are holding steady overnight, near 3985. This morning we have the highly anticipated CPI, with todays ATM SPX straddle priced at $84 (ref 3970, IV=75%). On the initial CPI reaction the two major levels we in play are 4063-4076 (combo strikes) to the upside and...
Informe Option Levels
Daily Note: Futures are flat, trading near 3890. 3900 is first resistance, followed by 3960. Support is at 3835, then 3800. Our volatility estimate continues to remain fairly low at 0.89%. Based on the current positioning, our assessment is that this is lining up to...
Nuevo ajuste
Informe Option Levels
Futures are lower to 3945, down from overnight highs of 3990. SG levels remain largely unchanged, with resistance above at 3960, then 4000. Support below is at 3904. For today we do favor markets staging a rally today back into 4000, and with our volatility estimate...
Informe Option Levels
Futures are higher to 3800. Key SG levels are largely unchanged. Support shows at 3780 (Vol Trigger), then 3755 (SPY 375). Resistance lies at 3833 & 3850. Last week, we were on the lookout for the market to extend its post-FOMC downside trajectory to 3600, but put...
Informe Option Levels
Futures were flat overnight, holding 3860. We anticipate a quiet morning ahead of the 2pm ET FOMC. Resistance is at 3900, then 3950. Support shows at 3850, then 3800. Short dated IV for the S&P is near 40% suggesting traders are looking for a 2% move today (video...
Nuevo ajuste
Informe Option Levels
Futures are flat to Fridays close after a quiet overnight session. We see support at 3611 (SPY 360) and 3600. Resistance shows at 3651 and 3700. From our view, Fridays large decline simply unwound the short cover from earlier in the week. Rallies in this put-heavy...
