by ricardo@optionelements.es | Dic 10, 2021 | Option Levels
Futures are at 4675, bouncing from overnight lows of 4657. Combining yesterdays options flows with the shift down in SPX price, we see a large reduction in gamma. Despite gamma now being flat to slightly negative our models looks for a max open/close move of 0.50%... 
by ricardo@optionelements.es | Dic 9, 2021 | Sin categoría
by ricardo@optionelements.es | Dic 9, 2021 | Option Levels
Futures are a bit off of overnight highs of 4705, currently trading near 4682. Our volatility estimate remains in line with yesterday, with a max open/close move of 0.54%. Key resistance is at 4704, then 4728. Support lies at 4681 and 4650. We continue to think the... 
by ricardo@optionelements.es | Dic 8, 2021 | Option Levels
Futures are holding steady overnight, basing just under 4700. With the big shift higher in SPX prices we see a build in positive gamma, which shifts our volatility expectations much lower. With that we look for a tight 0.57% range on the day in the S&P (open to... 
by ricardo@optionelements.es | Dic 7, 2021 | Sin categoría
