by ricardo@optionelements.es | May 14, 2021 | Sin categoría
Futures have pushed higher to 4130 overnight. We mark SPX, SPY, QQQ and IWM all in negative gamma territory. This level of gamma in the SPX equates to a 1.26% est move on the day. Accordingly we mark 4100 as critical support, a large Combo strike at 4136, and 4165... 
by ricardo@optionelements.es | May 13, 2021 | Sin categoría
Futures checked lower to 4010 overnight, but have rebounded to 4060. Markets are set to open under a large negative gamma regime, and as such we are looking for substantial volatility. Our major support level is 4000, with resistance at 4110. We must lend attention... 
by ricardo@optionelements.es | May 12, 2021 | Sin categoría
Futures are slightly off from last nights close to 4137. They did test lower overnight, with a low of 4110. It seems as there is some mean reversion to this market, with any push under ~4125 being brought back toward the 4150 strike. If 4100 does fail, then we... 
by ricardo@optionelements.es | May 11, 2021 | Sin categoría
Futures moved lower overnight, with the ES at 4150 and NQ 13200. The SPX holds a marginally positive gamma position which implies a one day move of 82bps. 4150 is showing as a major support line, and we look for a test of 4100 should that break. To the upside we mark... 
by ricardo@optionelements.es | May 10, 2021 | Sin categoría
Futures are at 4222 after putting in overnight highs of 4238. We have a fairly clean and well defined setup today, with our models looking for a maximum move of 0.7% (29 pts). 4250 is the major resistance level, and 4200 support. Markets maintain a material amount of... 