by ricardo@optionelements.es | Sep 22, 2021 | Sin categoría
Futures tested a low of 4325 before recovering to 4365. This market is wound up, and ready for a large move due to the high implied volatility and negative gamma. 4400 is first resistance, followed by 4430. Support lies at 4315 and 4400. The highlight of today is the... 
by ricardo@optionelements.es | Sep 21, 2021 | Sin categoría
Futures have pushed higher to 4485. Our gamma flip point remains at 4410, which implies that we’re in for high volatility again today. We see resistance in the SPX4400/SPX440 area, with first support 4374, then 4345. We see that 4400-4410 line as pretty solid... 
by ricardo@optionelements.es | Sep 20, 2021 | Sin categoría
Futures are down sharply to 4370, and both gamma and vanna are setup to push volatility today. As we start with a sharply negative gamma position, the SG Implied S&P500 max move for today is a large 2%. This negative gamma position doesn’t flip positive unless... 
by ricardo@optionelements.es | Sep 17, 2021 | Sin categoría
Futures pulled back overnight to 4454. It should be a fairly active day today, with ~30% of SPX gamma expiring at 9:30AM ET. We then have 60% of SPY, 35% of QQQ, and a very large set of stock options expiring on the close. 4500SPX/450SPY is still the biggest overhead... 
by ricardo@optionelements.es | Sep 16, 2021 | Sin categoría
Little happening in futures overnight which are at 4466. There was a pretty decent shift in gamma with yesterdays 85bps market move, which means we forecast less volatility today (SG implied S&P500 move = 87bps). 4500 remains heavy resistance, with 4400 support.... 