by ricardo@optionelements.es | Nov 4, 2020 | Sin categoría
Futures have shifted higher testing the 3400 area. There was obviously a lot of volatility overnight with a high of 3420 and a low of 3320. It seems as it will be few days at best for this election to officially resolve. The VIX is being crushed down to 31.50 which... 
by ricardo@optionelements.es | Nov 3, 2020 | Sin categoría
We’re finally at election day as futures have jumped higher to the 3340 area. That establishes us in a positive gamma position and we do anticipate lower volatility today. Our general post election scenarios are noted below. We fully expect a very volatile week as... 
by ricardo@optionelements.es | Nov 2, 2020 | Sin categoría
Futures have broken higher, tagging 3310 after an overnight low near 3350. Recall we were anticipating a bit more of a positive skew to data this morning given the heavy call trading on Friday. However, it was not call additions but put closures that pushes the gamma... 
by ricardo@optionelements.es | Oct 30, 2020 | Sin categoría
Futures are near last nights close, but did test 3225 earlier overnight. As mentioned last night we think the default move here is lower based on the negative gamma position and likely addition of election hedges. The selling here (despite whatever the prevailing... by ricardo@optionelements.es | Oct 29, 2020 | Sin categoría
Futures are at 3285 with an overnight high of 3310. From yesterdays flows its clear that some ITM puts were monetized as 2-5k contracts were closed at nearly every strike >=3285. Nearly 40k net calls were added to the 3515 strike, and 10-20k added to select strikes... 