by ricardo@optionelements.es | Jun 5, 2020 | Sin categoría
Futures tested 3150 overnight before retracing a bit to the 3135 area. There is a bit of a conflicting signal in net gammas: our SG Index shifts lower but standard notional gamma measurement is a bit higher. The Tilt indicator had quite a retrace from the large jump... by ricardo@optionelements.es | Jun 4, 2020 | Sin categoría
Futures have pulled back to 3100, which grew quite a bit in “gamma size” overnight and coincides with a large jump in the SG Gamma Index. This is our largest positive gamma reading since Feb. Not only was that largest volume/high put call ratio prevalent... by ricardo@optionelements.es | Jun 3, 2020 | Sin categoría
Futures are set to test the High Gamma Strike of 3100 this morning as the run-up continues. We saw notional gamma levels increase overnight and the 3100 level grow in size. It seems like there was more activity far out of the money yesterday in SPY & SPX with... by ricardo@optionelements.es | Jun 2, 2020 | Sin categoría
Higher we go as futures have been steadily bid and are now around 3070. First I wanted to mentioned something I missed yesterday. A friend of ours posted this chart showing it was the lowest daily range in ES futures since Feb. What I find interesting about that is... by ricardo@optionelements.es | Jun 1, 2020 | Sin categoría
Futures are fairly flat to Fridays close despite a tragic weekend here in the US. It was difficult to filter an emotional bias out of todays data, particularly given the unusual shifts in levels. The OI change charts indicate that there we are lot of calls <3040... 