by ricardo@optionelements.es | Abr 30, 2021 | Sin categoría
Futures are down slightly to 4180. There was a build in S&P gamma as it appears traders bought yesterdays dip. 420/4200 now stands as the largest gamma line and “magnet line”, with 4175 support and 4225 resistance. The Call Wall did bump to 4250, but due to that... 
by ricardo@optionelements.es | Abr 29, 2021 | Sin categoría
Futures have popped to new highs at 4205. The Call Wall did not shift higher for the SPX, but did bump to 422 for the SPY. If we combine all of the S&P gamma, this gives us a “blended” Call Wall of 4216. You can see this total S&P gamma in the chart below,... 
by ricardo@optionelements.es | Abr 28, 2021 | Sin categoría
Futures are holding 4180 ahead of todays FOMC. 4150 support and 4200 resistance are the two large strikes on the board, with an SG implied move of 1%. While we are up against the Call Wall (4200) positive gamma has remained fairly light and you can see from the... 
by ricardo@optionelements.es | Abr 27, 2021 | Sin categoría
A rather dull day in the SPX which closed +18bps, QQQ +87bps and RUT +115. The major 4194 Combo Strike quoted this morning served to cap things on a day with light SPX options volume. The VIX actually closed higher on the day to 17.64. Model Overview: 4000 – 4200... 
by ricardo@optionelements.es | Abr 26, 2021 | Sin categoría
Futures were quiet overnight, holding Fridays close at 4170. The S&P maintains a “mild” long gamma position which equates to an estimated 1 day move of 80bps. QQQ starts in a negative gamma position which implies higher relative volatility. Today we look for... 