by ricardo@optionelements.es | Ago 19, 2021 | Sin categoría
Futures are down sharply to 4360. We open in a negative gamma position, which implies large directional swings until/unless we recover 4400. First resistance today is at 4400, and we mark 4330 as a key inflection point to the downside. Note the sharp change in the... 
by ricardo@optionelements.es | Ago 19, 2021 | Sin categoría
Futures are down sharply to 4360. We open in a negative gamma position, which implies large directional swings until/unless we recover 4400. Model Overview: 4500 top, 4400 support into 8/20 OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price:... 
by ricardo@optionelements.es | Ago 18, 2021 | Sin categoría
Futures are flat to last nights close near 4439. Please note that this morning the VIX expiration takes place before the cash open which could push ES futures around. Today we do not see the fuel for a large move, and anticipate markets maintaining the 4450/445... 
by ricardo@optionelements.es | Ago 17, 2021 | Sin categoría
Futures have consolidated some of those gains from yesterday – back to 4450. The SG gamma index is quite high at 2.2, which leads to a very tight estimated range of 0.56% today. We see resistance at 4477 and support at 4450. The major range should hold as 4450-4500... 
by ricardo@optionelements.es | Ago 16, 2021 | Sin categoría
Futures are off slightly to 4450. Many are on “tail risk” watch with the news out of Afghanistan, however there is little pre-open reaction. The VIX is currently 17, yet our gamma model is anticipating a rather tight trading range of 0.73%. Major resistance lines are... 