by ricardo@optionelements.es | Jun 10, 2021 | Sin categoría
Futures are once again showing little movement, currently holding 4220. There was little change in SpotGamma metrics overnight, which syncs with the price action of late (ie no action!). With that our estimated max one day move is 39pts, with resistance once again at... 
by ricardo@optionelements.es | Jun 9, 2021 | Sin categoría
Little change in futures overnight. Today we look for a bit more movement in markets, but still quiet with a maximum move of 37 handles. 4200-4250 is the main range still in play. Current data estimates we shed 10% of gamma for tonights expiration, so that may be... 
by ricardo@optionelements.es | Jun 8, 2021 | Sin categoría
Futures are flat to last nights close of ~4225. There was very little change in key SG strikes overnight, and so we still hold the range as 4200-4250. Positive gamma increased sharply and so our forecast is for a very tight 58bps (25pt) maximum SPX move today. With... 
by ricardo@optionelements.es | Jun 7, 2021 | Sin categoría
The overnight session opened higher at 4234, but those gains have consolidated back to 4220. For today we note a large Combo strike at 4242 which we mark as resistance, with 4200 support. Our volatility estimate (SG implied max move) is 0.95%. The Volatility Trigger... 
by ricardo@optionelements.es | Jun 4, 2021 | Sin categoría
Futures had a quiet overnight session and are sitting at 4190. The 420/4200 strike picked up in position size overnight yet overall gamma decreased. WIth lower gamma, our models are starting to anticipate increased volatility with an estimated 1.19% max move today.... 