por ricardo@optionelements.es | Feb 16, 2022 | Option Levels
Futures are trading at 4454, down from overnight highs of 4483. Our models continue to estimate high volatility, with resistance at 4470, then 4500. Support is at 4450 and 4400. We’ve see a shift higher in the gamma tied to 4500, and view that as resistance into...
por ricardo@optionelements.es | Feb 15, 2022 | Option Levels
Futures have rallied sharply to 4456 on news that Russia is returning some troops. While we aren’t qualified to comment on geopolitical events, we would state that headlines “matter more” when gamma is sharply negative. On that, our volatility estimate is in line with...
por ricardo@optionelements.es | Feb 14, 2022 | Option Levels
Futures broke lower overnight, and are currently trading at 4375. Our models see continued volatility, with an S.G. Implied move of 1.45% (1 stdev, open/close). The VIX, currently 30, implies a 1 day S&P500 move of 1.89%. Resistance lies at 4397 & 4410 then...
por ricardo@optionelements.es | Feb 14, 2022 | Sin categoría
por ricardo@optionelements.es | Feb 11, 2022 | Option Levels
Futures had a fairly volatile session, currently near 4475 which is off of 4454 lows. As anticipated our models predict a very volatile day, with an S.G. implied move of 1.9%. Resistance lies at 4500 then 4530. Support is at 4464 and 4404. The updated data shows some...
