by ricardo@optionelements.es | Abr 30, 2020 | Sin categoría
Futures tested 2970 overnight before reverting towards yesterdays cash close level. We saw a bunch of interesting shifts in levels overnight. First, it appears that there was a reduction in calls at both the 2900 and 3000 strike. There was also a lot of put activity... by ricardo@optionelements.es | Abr 29, 2020 | Sin categoría
Futures are back retesting the 2900 level which remains our High Gamma strike and implies resistance. 2900 is the first real level of positive gamma we have seen since the crash and you can visualize the buildup in the chart here: “Call Gamma by Strike”.... by ricardo@optionelements.es | Abr 28, 2020 | Sin categoría
Futures extend the rally to 2900 overnight as we extend into positive gamma territory. The High Gamma Strike did shift higher to confirm the move to 2900, which should now act as a pin/magnet level as there is a fairly large amount of interest at this strike. We... by ricardo@optionelements.es | Abr 24, 2020 | Sin categoría
Futures test 2750 before returning to the key 2800 strike. If you review the OI Change charts from last night you can see just how concentrated the 2800 volume was yesterday. As a result our forecast from yesterday remains unchanged with 2800 our anticipated closing... by ricardo@optionelements.es | Abr 23, 2020 | Sin categoría
Futures very quiet overnight and are currently around the 2800 level – a fairly remarkable lack of volatility given the last 2 months. On that note its worth mentioning that many risk systems use a 30 day trailing window to price volatility and other risk... 