by ricardo@optionelements.es | Dic 14, 2020 | Sin categoría
Futures have bounced higher to 3685 as we enter what should be a busy week. Gamma levels remain fairly large at ~$1.2bn S&P notional. This should increase, and provide “buoyancy”, if markets pull closer to our 3700 Call Wall resistance point. 3650 remains key... 
by ricardo@optionelements.es | Dic 11, 2020 | Sin categoría
Futures have shifted down to 3630 overnight, breaking through our key 3650 level. The Volatility Trigger is our most important risk indicator and has jumped higher to 3645. This implies that downside risk is high as dealer selling may increase if markets shift... 
by ricardo@optionelements.es | Dic 10, 2020 | Sin categoría
Futures are at 3675 after a quiet overnight session. Key levels remain the same as yesterday, but we note a large drawdown in S&P positive gamma ($2.5bn->$$1.5bn). This quick deterioration is the result of most of the SPX call positions being >=3700. Because... 
by ricardo@optionelements.es | Dic 9, 2020 | Sin categoría
Futures had a fairly quiet overnight session and are holding just north of 3700. There was a fairly large jump in positive gamma levels in the SPX, which when combined with the SPY nets around $2.5bn – the largest figure “post-Covid”. You can see in the chart below... 
by ricardo@optionelements.es | Dic 8, 2020 | Sin categoría
Futures are off last nights close, down to 3670. Gamma levels have not shifted much, with 3650 key support and 3700 resistance. There was little activity at strikes >3700 which to us indicates the appetite for markets to shift higher isn’t yet there. Realized... 