by ricardo@optionelements.es | Feb 4, 2022 | Option Levels
Futures have broken lower to 4480. This pushed our gamma index to the negative side, and with that our volatility estimate shifts to a high 1.92%. We see resistance at 4525 and 4556. Support is at 4450 then 4397. Negative gamma is poised for high volatility, as is the... 
by ricardo@optionelements.es | Feb 3, 2022 | Option Levels
Futures are down from last nights close, to 4527. Despite the reduction in S&P prices, there was a build in our gamma index, which equates at a reduced volatility estimate for today: 0.67%. Key support is at 4520 and 4500. Resistance is at 4542 and 4564.... 
by ricardo@optionelements.es | Feb 2, 2022 | Sin categoría
by ricardo@optionelements.es | Feb 2, 2022 | Option Levels
Futures have surged higher to 4575, sparked by positive earnings sentiment. Gamma has now flipped positive, and with that we see a sharp reduction in our volatility forecast to 0.71% (max move open/close). Resistance is at 4600, with support at 4550 and 4520. Our... 
by ricardo@optionelements.es | Feb 1, 2022 | Option Levels
Futures are holding 4491 after a quiet overnight session. Our models produced a similar output to yesterday: 1.17% max move (open/close) with resistance at 4500 and 4528. Support lies at 4480 and 4425. 4500 is a critical level for the S&P. As you can see in the... 