by ricardo@optionelements.es | Nov 23, 2021 | Option Levels
There was a relative active futures market overnight, putting in a low of 4655 before recovering to 4680. The S&P starts the day with a modestly positive gamma position which translates to an expected max 1-day move of 0.6%. We’d note that the SPY and QQQ are both... 
by ricardo@optionelements.es | Nov 22, 2021 | Option Levels
Futures are >10 points higher to 4713. As anticipated there was a large reduction in gamma, however the SG Gamma Index remains strongly positive. We’ve discussed how this gamma reduction should lead to an uptick in volatility for this week, and at the moment this... 
by ricardo@optionelements.es | Nov 19, 2021 | Option Levels
Futures put in a high of 4723 before correcting sharply to 4688. This morning marks the first phase of November OPEX, in which the bulk of 11/19 SPX Index options expire at 9:30AM ET. SPX PM index options, along with all other Index/ETF/stock options expire at 4:15PM... 
by ricardo@optionelements.es | Nov 18, 2021 | Option Levels
Futures are once again flat to last nights close: 4695. There was a small reduction in gamma, but overall it remains quite positive. This implies another tight trading range today, with 4700 being the key strike. Resistance lies at 4703 and 4726. Support 4675. We saw... 
by ricardo@optionelements.es | Nov 17, 2021 | Option Levels
Futures are flat to last nights close at 4695. There was an impressive build in gamma overnight mainly due to the higher delta value (ie market up in 4700). With that we look for a very small trading range today (0.58% max SPX move), with support at 4696 then 4680.... 