by ricardo@optionelements.es | Abr 3, 2020 | Sin categoría
Another jobs number may set the tone for today, but note that yesterdays job report seemed to pass with little impact. Overall gamma data remains little changed from yesterday, with 2500 remaining the key strike. We updated a very interesting OPEX chart that is now on... by ricardo@optionelements.es | Abr 2, 2020 | Sin categoría
Yesterday appeared to have done a bit more damage to many of our indicators than I was anticipating. The Tilt indicator dropped rather sharply and some of the realized volatility metrics made fresh highs. There was some sizable volume that showed up yesterday at the... by ricardo@optionelements.es | Abr 1, 2020 | Sin categoría
Anti-gravity didn’t last all that long as we are now just under 2500 in futures. 2500 is now the high gamma strike for the day, with negative gamma building back up a bit overnight. We have pretty light put interest (relative to March) and that could become an... by ricardo@optionelements.es | Mar 31, 2020 | Sin categoría
Overnight readings show gamma moves closer to zero, with a bit more call positioning forming at the 2700 strike. In talking with one of our clients yesterday we came across the perfect analogy to describe our current view. Most of you have probably seen the planes... by ricardo@optionelements.es | Mar 30, 2020 | Sin categoría
Gamma levels little changed over the weekend but the zero gamma level does continue to inch down. Interestingly the SPY zero gamma level seems to be forming close to 265-270. One thing to note about these zero gamma levels: what will likely happen is a move down in... 