por ricardo@optionelements.es | Dic 23, 2021 | Sin categoría
por ricardo@optionelements.es | Dic 23, 2021 | Option Levels
Futures are indicating the SPX will open near 4710, which places the S&P in fairly high gamma position. With that we are looking for a low volatility session, with a open/close range of just 0.56%. Resistance is at 4720 (SPY 470 equivalent) and support is at...
por ricardo@optionelements.es | Dic 22, 2021 | Option Levels
Futures are flat to last nights close. Our volatility estimate declined sharply today, with an estimated open/close range of just 0.63%. We see large resistance at 4694, with 4650 as the “pivot”. Support lands at 4642 and 4624. As mentioned in last nights note, we...
por ricardo@optionelements.es | Dic 21, 2021 | Option Levels
Futures have extended gains toward 4600, which is now our gamma flip level. It looks like there was a build in negative gamma overnight, which leads our models to forecast a higher level of volatility for todays cash session (1.31% max open/close move). 4600...
por ricardo@optionelements.es | Dic 20, 2021 | Option Levels
Futures are down sharply to 4525 this morning, the VIX shows near 27. Pundits are citing the weakness as due to Covid increases & the rejection of the Build Back Better stimulus plan on Sunday – and we’d remind readers that “news matters more when gamma is...
