by ricardo@optionelements.es | May 21, 2020 | Sin categoría
Futures pulled back some overnight to the 2950 level but held a pretty tight range. We see (and have been seeing) both the Zero Gamma level and Vol Trigger shift higher over the last several days, and the Vol Trigger actually above moved above SPX to 2970. This is... by ricardo@optionelements.es | May 20, 2020 | Sin categoría
Markets rebounded to the 2950 level after testing 2910 (zero gamma level) in ES overnight. The SG Gamma Index moves back toward zero in what seems like a game of ping-pong. Positive gamma just cannot find a footing. One of the more interesting data points from... by ricardo@optionelements.es | May 19, 2020 | Sin categoría
All that call volume yesterday shifted gamma numbers positive despite a bit of consolidation in futures. Our SG Index makes a major move to positive 0.6 which forecasts a ~1% move today (y’day was ~2%). The other levels are filling in where expected with support... by ricardo@optionelements.es | May 18, 2020 | Sin categoría
There was an issue with our email server today and apparently many messages werent delivered. As a result we are resending the AM note. Apologies for the problem | Markets are rallying to start the week and testing 2900. We see a big shift higher in the Zero Gamma... by ricardo@optionelements.es | May 15, 2020 | Sin categoría
Futures holding 2850 overnight. Whats quite interesting about the latest data is a convergence of indicators at that same 2850 level (Zero Gamma, Vol Trigger, Delta Neutral). The Put Wall shifts lower to 2750, and the Call Wall is picking up no positive strikes for... 