by ricardo@optionelements.es | Abr 22, 2020 | Sin categoría
Futures up a bit this morning and negative gamma moves down. The SG Index shifted into the cusp of the “danger zone” wherein the estimated 1 day SPX return (cash open->close) is now 2%, from 1% yesterday. This simply means that the volatility forecast... by ricardo@optionelements.es | Abr 21, 2020 | Sin categoría
ES futures edge lower in a fairly impressive display of buoyancy. Futures were flat until news that Kim Jong Un has major health issues. I note this because the oil complex is a complete mess, and ES was/is pretty dismissive. We had talked at length in regards to... by ricardo@optionelements.es | Abr 20, 2020 | Sin categoría
Markets today are showing some reversal of Fridays ramp higher with futures quite interestingly at the ~2815 level. I mark this as interesting because this is the delta neutral price from Fridays close. Oil is obviously a big story and while we do not have any... by ricardo@optionelements.es | Abr 17, 2020 | Sin categoría
The COVID drug news sparked a rally in futures up into the 2880 area. Interestingly this is right around where the zero gamma level is, and 2900 does have a fair amount of open interest. This move is also interesting from a timing perspective with a fair amount of OI... by ricardo@optionelements.es | Abr 16, 2020 | Sin categoría
Futures tested 2800 overnight before backing off to the 2775 area. Open interest data shows larger positions built up at 2800, particularly on the call side which may help it hold as resistance. Again we’re looking for tomorrow mornings AM expiration as a... 