by ricardo@optionelements.es | Mar 16, 2021 | Sin categoría
There was little movement in futures overnight, which are currently at 3960. The 400/4000 Call Wall has grown in size which increases its “pull”, however total gamma is little changed in the S&P500. The key levels for today are 3990, 3966, 3950 and 3939. Due to... 
by ricardo@optionelements.es | Mar 15, 2021 | Sin categoría
Futures are flat to Fridays close near 3940. For today we see large Combo bars at 3945 and 3965 with a fairly tight SG implied move of 35pts. QQQ gamma remains negative and so we anticipate larger Nasdaq volatility. 3900 remains the largest gamma strike on the board... 
by ricardo@optionelements.es | Mar 12, 2021 | Sin categoría
Futures have consolidated to the 3900 area overnight. 3900 is the largest gamma strike on the board and should provide support/pinning in todays trading. The SG implied move is just 79bps and therefore we expect a fairly tight trading range today. The gamma flip lines... 
by ricardo@optionelements.es | Mar 11, 2021 | Sin categoría
Futures have pushed higher into 3925. The S&P now holds a fairly robust level of gamma ~$1.5bn which is ~70% SPY. As mentioned in last nights note the data suggested the “center” of options neutrality shifting a bit higher towards 3925, but along with that we... 
by ricardo@optionelements.es | Mar 10, 2021 | Sin categoría
3875 is the current futures price, flat to last nights close. Little has changed in key SG levels. 3900 is the primary gamma strike, with a fairly high estimated SG range of 1.3%. Resistance lines are with Combo bars at 3897 and 3924, and support at 3860. We see... 