por ricardo@optionelements.es | Dic 17, 2021 | Option Levels
Futures have pulled back a bit to 4650, just ahead of a large 9:30AM ET SPX options expiration. We registered over 35% of SPX gamma expiring on that AM expiration, with and equivalent amount of SPY, QQQ & IWM expiring at 4:15ET. Additionally we note >50% of...
por ricardo@optionelements.es | Dic 16, 2021 | Option Levels
Futures have pushed higher to 4725. This leads to a strong build in gamma, and what we see as a very tight trading range for today (est: 0.44% max SPX move open/close). The 4750 Call Wall is major resistance, with support at 4715 and 4700. The relief rally obviously...
por ricardo@optionelements.es | Dic 15, 2021 | Option Levels
Futures drifted back to 4625 overnight as markets away the 2PM ET FOMC. Gamma is flat in the S&P, while remaining sharply negative in QQQ & IWM. Combined with large amounts of single stock negative gamma we should be in for a high volatility day. In the...
por ricardo@optionelements.es | Dic 14, 2021 | Option Levels
Futures have pulled back to 4650. Support is at 4615, and resistance at 4683. While the S&P maintains a fair amount of positive gamma, we see both QQQ and IWM holding negative gamma positions. The implication here is that we should see higher relative volatility...
por ricardo@optionelements.es | Dic 13, 2021 | Option Levels
Futures pushed a bit higher to 4717 overnight. Total market gamma remains robustly positive, which should lead to a very tight SPX range for the day (SG est 0.50%). We see support at 4713 and 4700. Resistance lies at 4727 & 4732. Due to the FOMC on Wednesday we...
