by ricardo@optionelements.es | Nov 18, 2020 | Sin categoría
Futures are flat to the cash close, with key SG levels unchanged. The Call Wall which is our resistance point remains at 3600. Yesterday we mentioned three indicators that made fresh “call tilted” highs: the SG Index, risk reversal, and Gamma Tilt. All three reversed... 
by ricardo@optionelements.es | Nov 17, 2020 | Sin categoría
Futures have pressed back to just over 3600 overnight. The Call Wall did not shift higher, so we again mark 3600 as the resistance/pin area. Yesterday we mentioned the different tone to markets after the Moderna news, and todays options data is surprisingly skewed to... 
by ricardo@optionelements.es | Nov 16, 2020 | Sin categoría
Our 3600 target appears to have been achieved as futures are markedly higher at 3615. 3600 remains the largest gamma strike and is a level that should remain into play through 11/20. As it is expiration week we generally look for low volatility levels as SPX dealer... 
by ricardo@optionelements.es | Nov 13, 2020 | Sin categoría
Futures have pushed higher to 3560 with gamma levels unchanged. Once again due to large S&P gamma we anticipate a lower volatility day. We are seeing the ZeroGamma line steadily shift toward 3500 as call interest seems to be concentrating around 3600. For today... 
by ricardo@optionelements.es | Nov 12, 2020 | Sin categoría
Little change in both futures and SG levels overnight. This is an interesting point in markets because as SPX price is at the previous Sept record high gamma has seemed to stalled at its previous highs, too. You can this reflected in the gamma returns scatter but also... 