by ricardo@optionelements.es | Oct 2, 2020 | Sin categoría
Futures were down sharply testing the 3300 level which pushes us through the Zero Gamma level. While technically this places us in a negative gamma position we still consider 3300 critical support. As you can see here a break of 3300 could “turn on” large... by ricardo@optionelements.es | Oct 1, 2020 | Sin categoría
Futures are back testing yesterdays 3380 highs with gamma notional levels positive in the S&P. There is a divergence here though as our SG Gamma Index is slightly negative which implies a fairly volatile day. If you review the Combo Strike setup you can see that... by ricardo@optionelements.es | Sep 30, 2020 | Sin categoría
Futures are around 3310, recovering a bit after testing the 3290(ES)/3300(SPX) area overnight. Its notable that futures dropped 65 handles from peak to trough following last nights spectacle. Official gamma flip points remain in the 3325 area but we mark 3300 as the... by ricardo@optionelements.es | Sep 29, 2020 | Sin categoría
Futures are fairly flat to last nights cash close, with S&P gamma levels positive. One of the things that caught our eye this AM was the Risk Reversal which shows calls rising in price relative to puts. This is a bit unexpected give the election, but because it... by ricardo@optionelements.es | Sep 28, 2020 | Sin categoría
Futures are up a bit to the 3310 area. Gamma levels recovered to near 0 after Fridays large rally. There is a lot of open interest at 3300 which now sits as the key pivot line for markets. In addition to Zero Gamma residing at 3300, the Call Wall sits there too.... 