por ricardo@optionelements.es | Abr 12, 2022 | Option Levels
Futures are holding yesterdays close, currently near 4405. This is off of overnight lows of 4382, and highs of 4412. This move obviously foists a larger negative gamma position on markets, which expands our SPX volatility estimate to 1.27% (open/close). Note that...
por ricardo@optionelements.es | Abr 11, 2022 | Option Levels
Futures have shifted lower to 4465. We see a light negative gamma reading in the SPX, however SPY & QQQ gamma is materially negative. This suggests that the volatility in todays session could be higher than that of what the SPX Implied Move indicates: 0.84%...
por ricardo@optionelements.es | Abr 8, 2022 | Sin categoría
Futures are up a few points to 4510. Our gamma index is exactly 0, which forecasts a 1% intraday move (open/close) today. Support lies at 4500, then 4475. Resistance lies at 4520 (SPY 450) and then 4550. While the SPX is in a fairly neutral stance, its of note that...
por ricardo@optionelements.es | Abr 7, 2022 | Option Levels
Futures are flat to last nights close, at 4485. Negative gamma shifts higher, which leads to an expanded volatility forecast of 1.08% (open/close). 4500-4520 (SPY450 equivalent) is major resistance, with support at 4475 and 4450. Overall, into Friday we think its just...
por ricardo@optionelements.es | Abr 5, 2022 | Option Levels
Futures have pulled back slightly to 4565. We look for muted volatility today, with an S.G. implied move of 0.65%. Resistance is at 4600, with support at 4550 & 4500. Risk appears to remain “on” based on moves in single stocks & volatility yesterday. Bulls...
