by ricardo@optionelements.es | Jun 15, 2020 | Sin categoría
Futures were very active overnight touching 2920 at the lows and recovered some to the 2970 area. Our Gamma Index shifts lower with all the put action from Friday. Looking at the open interest change we saw a rather large strip of puts closed >=3040. Quite... by ricardo@optionelements.es | Jun 12, 2020 | Sin categoría
Markets are staging a rally this morning with futures around 3050. 3000 now comes up as the major support level and largest gamma area. Surprisingly there wasnt much movement in the zero gamma/vol trigger strikes, with ~3065 showing as the flip zone. Probably the most... by ricardo@optionelements.es | Jun 11, 2020 | Sin categoría
Futures are down sharply this morning, having started to sell after the cash close and are now around 3135. Our key levels did not shift as much as I expected with ZeroGamma around 3085 little change in the SG Index. Notional gamma levels did reduce but mainly due to... by ricardo@optionelements.es | Jun 9, 2020 | Sin categoría
Futures have been fairly volatilie overnight touching ~3230 before selling to 3185 and recovering to 3200. Notional gamma reduces again, this is the second day of reduction after large call volume days. As a reminder we want to see call gamma build at strikes overhead... by ricardo@optionelements.es | Jun 8, 2020 | Sin categoría
Futures held a pretty tight range overnight and are at 3200 currently, which is highlighted as our key strike today. The SG Index is higher which suggests a tighter trading range today, but not quite that much considering how high call volume was Friday. Its notable... 