by ricardo@optionelements.es | Abr 23, 2021 | Sin categoría
It was a quiet session overnight with futures currently at 4135. The Vol Trigger, our critical risk metric, slid up to 4145 overnight. This implies that yesterdays trading was put heavy and that all of our indices start in a negative gamma position. Although we start... 
by ricardo@optionelements.es | Abr 22, 2021 | Sin categoría
Futures were flat overnight, holding 4160. There is now a large amount of gamma at the 4150SPX/415SPY strike which we think “locks in” this price area for today, and could give a base for the S&P to push higher. 4187 and 4200 show as the major resistance lines.... 
by ricardo@optionelements.es | Abr 21, 2021 | Sin categoría
Futures are flat to last nights close, currently 4125. SPX gamma reduces and as a result we’re pricing in a bit more volatility today with an SG implied move of 87bps (vs 68 y’day). SPY & QQQ are both in a negative gamma position which can induce more volatility.... 
by ricardo@optionelements.es | Abr 20, 2021 | Sin categoría
Futures are off to 4139 after overnight highs of 4167. Positive gamma has reduced significantly across the S&P500, with QQQ and IWM holding a flat to negative gamma position. We anticipate a bit more volatility today than yesterday, with an SG implied move of... 
by ricardo@optionelements.es | Abr 19, 2021 | Sin categoría
4165 is the current ES price, after very little movement overnight. The SG Implied range is only 60bps today, which is quite a small range given the large expiration on Friday. 4200 is major resistance. We do read the path of least resistance as lower, with initial... 