by ricardo@optionelements.es | Ene 6, 2022 | Option Levels
Futures are holding just under 4700, after overnight lows of 4668. There were a few PM session tests of 4700, but they were rejected. Our models look for a fairly volatile session today, with a max open/close move of 1.0%. We also note that there is a material... 
by ricardo@optionelements.es | Ene 5, 2022 | Sin categoría
by ricardo@optionelements.es | Ene 5, 2022 | Option Levels
Futures were flat overnight, currently holding 4785. The overall options landscape remains similar to yesterday, with our models forecasting a slightly tighter range of 0.51% (open/close). 4800 SPX is still the largest gamma strike on the board, with support showing... 
by ricardo@optionelements.es | Ene 4, 2022 | Option Levels
Futures have pushed higher, indicating the S&P500 should open just above 4800. We saw a slight build in gamma, which leads to reduction in our volatility estimate for today: 0.58% (max move open/close in SPX). The key “pivot” area for today is 4800, with... 
by ricardo@optionelements.es | Ene 3, 2022 | Option Levels
Futures have pushed higher over the weekend to 4785. After the large 12/31 SPX OPEX we see our models looking for moderately higher volatility today. The SG 1 day range is 0.69% (open/close), with first resistance at 4800, then 4818. Support lies at 4775 and 4750.... 