by ricardo@optionelements.es | May 7, 2020 | Sin categoría
Futures are around the 2875 level after touching 2825 overnight. The SG Gamma Index moves a bit more negative which forecasts higher volatility, however 2900 still seems the viable range top. Jobless claims are out this morning and could be a catalyst as an unexpected... by ricardo@optionelements.es | May 6, 2020 | Sin categoría
Futures overnight bounced off the 2845 level which is just at the volatility trigger and a large gamma level of 2850. Despite little volume yesterday there was a few interesting shifts in key levels. First the High Gamma Strike (we see as resistance) moved to 3000,... by ricardo@optionelements.es | May 5, 2020 | Sin categoría
Futures are building on gains from yesterday and there is little change in levels overnight. We remain in this grey gamma neutral area between 2800 & 2900. Yesterdays Open Interest charts showed interesting activity in puts wherein the change in open interest was... by ricardo@optionelements.es | May 4, 2020 | Sin categoría
Futures slid overnight and are currently holding 2800. Call positioning is very weak as can be seen as in the Tilt Index which showed a major drop. Our SG Gamma Index also shifted lower which implies a higher rate of SPX volatility. The 2800 strike is very important... by ricardo@optionelements.es | May 1, 2020 | Sin categoría
There was a sharp move lower in futures overnight as we test the 2850 area. The SG Index reads negative with the market back into this “gamma neutral” zone of 2850-2900. The interesting thing to note about many of these larger moves recently has been that... 