by ricardo@optionelements.es | Ene 5, 2021 | Sin categoría
Futures were flat overnight and are holding 3695. Gamma now registers as essentially flat for SPX/SPY/QQQ, with SPX/SPY gamma flip levels now in sync at ~3700 and QQQ 310. Due to this zero gamma position we are anticipating another volatile day. From a position... 
by ricardo@optionelements.es | Ene 4, 2021 | Sin categoría
by ricardo@optionelements.es | Ene 4, 2021 | Sin categoría
Futures have pushed higher to start the New Year, currently 3765. The Call Wall did shift higher to 3800 which is a function of both a reduction in gamma at 3750 and calls added to 3800. Despite this shift higher the VIX appears to be holding steady at 23. We... 
by ricardo@optionelements.es | Dic 31, 2020 | Sin categoría
Futures are flat to last nights close: 3725. The only notable change in data was a drawdown in SPY gamma from ~$900mm to $600mm – we mark SPX with only $200m. That leaves total S&P (SPX+SPY) having a decent cushion and we still view SPX holding the 3700-3750 range... 
by ricardo@optionelements.es | Dic 30, 2020 | Sin categoría
