by ricardo@optionelements.es | Mar 13, 2020 | Sin categoría
Overnight we touched 2400 in ES only to currently be limit up around 2575. Negative gamma is now back to its recent lows which may provide plenty of momentum for whichever way the market heads next. The VIX is currently off about 10% and if it can continue to break... by ricardo@optionelements.es | Mar 12, 2020 | Sin categoría
Trumps speech last night caused an immediate and deep drop in markets causing ES to lock limit during the night. What is quite interesting from an options perspective here is that negative gamma starts to reduce if the market selloff deepens. This is because the bulk... by ricardo@optionelements.es | Mar 11, 2020 | Sin categoría
We are back revisiting 2800 this AM unwinding that move higher into the close yesterday. 2800 seems to keep coming up as a large volume/open interest strike and that may be why the market seems to be pivoting around that level this week. Revisiting why we think next... by ricardo@optionelements.es | Mar 10, 2020 | Sin categoría
From limit down yesterday to limit up today. Whats interesting here is that negative gamma did not drop much overnight and despite the rally. This would indicate to me that not much “put fuel” (i.e. puts closing causing dealer short covering) was used up... by ricardo@optionelements.es | Mar 9, 2020 | Sin categoría
Futures locked limit down for most of the early morning as we test 2800. A quick note from Aug 2015 when the market opened limit down. To calculate the S&P500 index price all S&P500 component stocks need to open – and that is generally delayed during... 