by ricardo@optionelements.es | Mar 1, 2021 | Sin categoría
Future are holding gains from Fridays close near the 3850 area. Negative gamma levels decrease, and the Put Wall shifts lower to 3600. These changes are due to puts being closed at all strikes >=3810 (and 310 SPY). Recall on Friday that we saw net puts being closed... 
by ricardo@optionelements.es | Feb 26, 2021 | Sin categoría
Futures are holding 3825 after a putting in a 3800 low and 3850 high. Notional gamma levels in major indicies all hold negative, signaling a volatile day ahead. The SG implied range is 2% today, a figure we have not seen in some time. Key levels for today are 3800... 
by ricardo@optionelements.es | Feb 23, 2021 | Sin categoría
by ricardo@optionelements.es | Feb 23, 2021 | Sin categoría
Futures are weaker this morning to 3860, but a bit off of 3840 lows. The critical line to hold is 3850, if we break that then that should lead to a quick test of 3800. Open interest at 3800 is fairly balanced (meaning put OI = call OI) and we think it would require... 
by ricardo@optionelements.es | Feb 22, 2021 | Sin categoría
Futures are down from Friday near the 3875 level. Notional gamma levels are zero for S&P500, and negative for QQQ/NDX and RUT/IWM. This implies high volatility and a larger directional move today. The Volatility Trigger (our critical risk line) stands at 3865,... 