by ricardo@optionelements.es | Ene 19, 2021 | Sin categoría
Futures have recovered from Friday lows to 3790. We had given edge to a lower market due to OPEX but 2AM and EU opening brought dip buyers. The window for volatility remains open into tomorrow due to the large reduction in options positions. Despite a really large... 
by ricardo@optionelements.es | Ene 15, 2021 | Sin categoría
Markets were weak overnight, putting in a 3765 low before catching a small bid back up to 3775. This places markets in a weak position, going into a post OPEX timeframe that is historically associated with volatility. There was again very large trading at the 3800... 
by ricardo@optionelements.es | Ene 14, 2021 | Sin categoría
Futures are up slightly to 3807 after a quiet overnight session. Key levels remain the same: 3800 the large OPEX magnet, critical support at 3750. The SPX Call Wall holds 3850, with SPY 380. For this reason we are looking at the large Combo Strike levels for a range... 
by ricardo@optionelements.es | Ene 13, 2021 | Sin categoría
Futures held a tight range around 3800 in the overnight session. Gamma levels drop slightly which was anticipated given the high PutCall ratio yesterday. Despite SPX being fairly flat ($175mm), we note SPY gamma remains quite strong at $900mm. The major range to watch... 
by ricardo@optionelements.es | Ene 12, 2021 | Sin categoría
Futures are flat to last nights close, holding 3800. As anticipated we saw a small reduction in notional gamma in the S&P. 3800 remains the key level and is likely in play through Friday. The overall range holds as 3750 (gamma flip zone) to 3850 (Call Wall). We... 