by ricardo@optionelements.es | Oct 13, 2020 | Sin categoría
Overnight futures consolidated to 3510 before popping back to 3525. The SG Gamma Index pushes up to new recent highs with the Call Wall shifting to 3550. There were some large jumps in both Gamma Tilt and Delta Tilt. Both of these metrics are a ratio of calls:puts and... by ricardo@optionelements.es | Oct 12, 2020 | Sin categoría
The S&P appears to be looking for 3500 today on what should be a quiet session (US banks & bond markets are closed for a holiday). There was little shifted in levels over the weekend with 3500SPX & 350SPY still the largest gamma level and resistance for... by ricardo@optionelements.es | Oct 9, 2020 | Sin categoría
Futures are flat to last nights close at 3350. We saw a slight build in gamma levels, with a notable jump in the Call Wall to 3500. As discussed recently we look for the Call Wall to roll higher to confirm higher prices in the SPX. Our gamma flip levels are also lined... by ricardo@optionelements.es | Oct 7, 2020 | Sin categoría
Futures initially pushed lower to 3330 overnight before recovering to 3375, squarely between the large 3350/3400 interest areas. The overnight update to our SG Gamma Index shows both SPX & NQ are sitting with very flat gamma positions. It appears Trump took to... by ricardo@optionelements.es | Oct 5, 2020 | Sin categoría
Futures are flat to Fridays close and gamma levels are positive in S&P. We note 3350 again as the largest area of gamma interest with very little set to expire today. Markets obviously have to contend with the uncertainty around Trumps condition, and it will be... 