by ricardo@optionelements.es | Nov 11, 2020 | Sin categoría
Futures are bid this morning, up to 3571. We’re seeing a general shift in the options “structure” from <=3500 to >=3600 which is what we like to see to confirm higher SPX prices. 3600 is now the largest gamma strike, and ZeroGamma if shifting up under 3500. You... 
by ricardo@optionelements.es | Nov 10, 2020 | Sin categoría
Futures are holding yesterdays close, with gamma levels remaining positive but at a discount to yesterdays. Our flip line still remain down at 3400, with 3500 being the largest gamma strike on the board and therefore major support. 3600 stays as the top of the range... 
by ricardo@optionelements.es | Nov 9, 2020 | Sin categoría
Futures have jumped higher to 3550 presumably from Biden’s victory declaration. The Call Wall has rolled to 3600 indicating the market has more space to move higher. With this shift up the VIX likely falls further which adds to the equity tailwind. There was some... 
by ricardo@optionelements.es | Nov 6, 2020 | Sin categoría
Futures have pulled back a bit to 3485 after testing 3460 overnight. The VIX has bounced too, up to 28.50. The Call Wall did not shift higher indicating the market needs some time to consolidate here. Despite this, positive gamma has spiked meaningfully the last... 
by ricardo@optionelements.es | Nov 5, 2020 | Sin categoría
The chase is on. Futures are surging higher, with ES tagging 3500 (+1.7%) and NQ to 12050 (2.5%). The VIX of course has dropped sharply, too (~26.8, -10%). The bulk of our charts show some pretty amazing rebounds, with our Risk Reversal being one of the most... 