by ricardo@optionelements.es | May 14, 2020 | Sin categoría
Futures are holding that key 2800 level as we await jobs data this AM. Call gamma, which brings us stability has just been smothered the last 2 sessions as shown in the CP Tilt figure. Backing our “Put Wall” note from yesterday we saw a lot of puts closed... by ricardo@optionelements.es | May 13, 2020 | Sin categoría
Futures hit a low of 2825 overnight before rallying back towards 2875. 2840 seemed to offer support for most of the night which is interestingly the Delta Neutral price. Gamma shifts negative but levels do not change all that much. Zero Gamma and the Vol Trigger are... by ricardo@optionelements.es | May 12, 2020 | Sin categoría
Markets little changed overnight and we have key levels shift a bit more positive than yesterday: 2900 large support with light resistance more in the 2930-2940 SPX area. Should cash markets open >2940 we may see that 2930-2940 become support. Many of you have... by ricardo@optionelements.es | May 11, 2020 | Sin categoría
Futures tested 2950 overnight only to pull back towards 2900, a level which remains support. The SG Index shifted from negative to positive which indicates lower volatility levels (i.e. less SPX movement) for the day. We also see an interesting convergence of the High... by ricardo@optionelements.es | May 8, 2020 | Sin categoría
The overnight session is where market moves have been happening and last night was no different. Futures touched 2925 before pulling back to 2900 ahead of the AM jobs data. The SG Gamma Index remains negative which again implies higher volatility and supports a cash... 