by ricardo@optionelements.es | Ene 11, 2021 | Sin categoría
Futures have retraced the late Friday moved from 3825 to 3790. Interestingly our Call Wall metric rolled higher to 3850, but notional gamma levels are down across all indicies. The likely reason for the Call Wall shifting higher was 30k put volume at 3800 and a small... 
by ricardo@optionelements.es | Ene 8, 2021 | Sin categoría
Futures are flat to last nights close to 3806, and off of overnight highs of 3817. Gamma in the S&P500 complex picked up overnight, led by SPY. Our risk levels have shifted slightly, with SPX showing 3700 but SPY indicating 374. While this is a fairly bullish... 
by ricardo@optionelements.es | Ene 7, 2021 | Sin categoría
Futures are flat to last nights close, and are down from overnight highs of 3770. There was not a significant change in gamma levels overnight. This is a bit curious given the large volume yesterday (1.4mm SPX contracts). 3750 is the key pivot area due to large gamma... 
by ricardo@optionelements.es | Ene 6, 2021 | Sin categoría
by ricardo@optionelements.es | Ene 6, 2021 | Sin categoría
Apologies for todays note being a bit late. We had some local connectivity issues. SPX futures 3706 are down vs yesterdays close, but up from overnight lows 3689. The “Democratic Rotation” is on, as Nasdaq is -1.5% from the close, with RTY +3%. The VIX is pushing... 