by ricardo@optionelements.es | Dic 1, 2021 | Option Levels
Good morning – we apologize for the delay in this AM’s note we had an issue with our raw data feed. Futures are up this morning and back above key support at 4600. Gamma starts in a slightly negative position, and does not flip until 4640 which is considered first... 
by ricardo@optionelements.es | Nov 30, 2021 | Option Levels
Futures are down sharply to 4600. Our models suggest that 4600 is major support, with resistance at 4640 (ZeroGamma/VolTrigger). The volatility estimate is similar to yesterday, with a max estimated move (open to close) of 0.70% (32pts). There were only small... 
by ricardo@optionelements.es | Nov 29, 2021 | Option Levels
Futures have recovered some, currently to 4625. Fridays shortened session brought a large change in levels, and a large increase in implied volatility[IV]. First we note an max estimated move of 71bps for today’s S&P500 session, with key support at 4600 and... 
by ricardo@optionelements.es | Nov 26, 2021 | Option Levels
Futures are down sharply, near overnight lows of 4620. While we are not qualified to comment on headlines – we’d simply note that headlines matter more when gamma is negative. Our main levels remain similar to that of Wednesday: support at 4600 and resistance at that... 
by ricardo@optionelements.es | Nov 24, 2021 | Option Levels
Futures were active overnight with a high of 4691 and low of 4667. There was a small decline in the SG Gamma Index, but our estimated 1 day range remains similar to yesterday at 0.62%. Key resistance is at 4700, with support at 4670. Below 4670 gamma flips to... 