by ricardo@optionelements.es | Feb 10, 2022 | Option Levels
Futures are flat ahead of the 8:30AM ET CPI report. Our volatility forecast declined sharply to 0.67% today (1 stdev move, open/close) vs 1.2% y’day. We see large support at 4520, with resistance remaining at 4600 and 4620 (SPY 460 equivalent). While many traders are... 
by ricardo@optionelements.es | Feb 9, 2022 | Sin categoría
by ricardo@optionelements.es | Feb 9, 2022 | Option Levels
Futures have pushed higher to 4545. Our models still show a fair amount of volatility potential today, with a 1 day implied move of 1.26%. Resistance is at 4600. Support lies at 4534 and 4475. The S&P500 spent the back half of yesterdays session pinned to that... 
by ricardo@optionelements.es | Feb 8, 2022 | Option Levels
Futures are near overnight lows of 4470 after a quiet overnight session. Our gamma index registers at -0.7 which implies high volatility for today. Resistance is at 4500, then 4530. To the downside we see support at 4458, 4445, then 4400. While this drift lower... 
by ricardo@optionelements.es | Feb 7, 2022 | Option Levels
Markets stabilize despite re-entry into negative-gamma, an environment characterized by heightened two-way volatility as a result of options-based hedging pressures. So long as there is trade below our Volatility Triggers, two-way volatility ought to persist. Decay in... 