by ricardo@optionelements.es | Mar 23, 2021 | Sin categoría
Futures have trended lower overnight, with the ES back to yesterdays opening price of 3915. SG data is little changed with key support at 3900 and resistance 3950. Yesterday there was large OI added to the 3900 strike (~30k calls, ~40k puts) which serves to establish... 
by ricardo@optionelements.es | Mar 22, 2021 | Sin categoría
Futures are flat to Fridays close, near 3905. To start the April OPEX cycle, 390/3900 is the largest gamma strike and key support, with the 395/3950 (SPY Call Wall) is the first overhead target. While these two strikes are the same major levels we had heading into... 
by ricardo@optionelements.es | Mar 19, 2021 | Sin categoría
Futures have recovered a bit to 3927 after a fairly quiet overnight session. Today we estimate roughly 25% of S&P gamma rolling off, with 40% of QQQ and 50% of single stock. The bulk of SPX gamma expires at 9:30AM EST, but note that position is heavily outsized by... 
by ricardo@optionelements.es | Mar 18, 2021 | Sin categoría
Futures have returned to yesterdays session lows of 3936. Total S&P gamma remains robust at >$1.5bn, with 3950 being the largest gamma strike on the board. Going into yesterday 3900 held the largest gamma strike; the shift to 3950 is due to some 35k calls and... 
by ricardo@optionelements.es | Mar 17, 2021 | Sin categoría
Futures have pulled back to 3940 as the market awaits the 2pm EST FOMC. Major SG levels remain unchanged, and while the FOMC always contains the possibility of inducing volatility we give edge to markets “mean reverting” and initial move today, and holding the major... 