by ricardo@optionelements.es | Mar 27, 2020 | Sin categoría
by ricardo@optionelements.es | Mar 26, 2020 | Sin categoría
Gamma edges a bit higher today as we await the jobs data and possible stimulus package. Overnight futures tested both the 2500 and 2400 level which is interesting given the largest options OI lines up at both of those strikes. I do not anticipate those levels holding... by ricardo@optionelements.es | Mar 25, 2020 | Sin categoría
Gamma registered a decent drop overnight to the lowest level in some time. Futures overnight tested close to 2500 before pulling back. From our perspective there is a lot of open interest in and around the 2400-2500 area and if this were a “normal” market... by ricardo@optionelements.es | Mar 24, 2020 | Sin categoría
Futures are limit up this morning and implied volatility (VIX) continues to get crushed. This vol crush is a big story in options land, and while many complex theories abound I continue to stick with the “inventory” theory. As a refresher on volatility as... by ricardo@optionelements.es | Mar 23, 2020 | Sin categoría
A bit of a welcomed surprise today in that gamma comes in a bit lower despite lower futures. Purely from our data we see signs of a bottom – the Tilt indicator has stabilized (use “Strike Chart” link at bottom), high put deltas have been wiped off... 