by ricardo@optionelements.es | Sep 25, 2020 | Sin categoría
Futures hold the 3250 area with little shift in levels overnight. One of the more interesting developments after Sep OPEX was a fairly significant drop in the Call:Put gamma ratio as seen here. Sept OPEX dropped a lot of calls, and there doesnt seem to be an appetite... by ricardo@optionelements.es | Sep 24, 2020 | Sin categoría
Futures are flat to last nights cash close. Open interest changes yesterday seem to confirm our view that SPX flows were rather benign – we saw puts >=3250 net closed which pushes the Put Wall to 3200. Our levels shifting appear to be more a function of SPX... by ricardo@optionelements.es | Sep 23, 2020 | Sin categoría
Futures are up to 3310, breaking through and holding that key 3300 level. There was big interest changes as 3250 yesterday with 20k calls & 28k puts being added. This may add weight to that level should be break lower. There is fairly light gamma resistance... by ricardo@optionelements.es | Sep 22, 2020 | Sin categoría
Futures are back to cash closing levels after testing 3250 overnight. Obviously with yesterdays volatility we see a bunch of changes in levels, too. Notably it appears puts were net closed at strikes >3280 which supports our notion yesterday that dealers were... by ricardo@optionelements.es | Sep 21, 2020 | Sin categoría
Markets look to a weak open with futures down around 3260. We are now operating with a fair amount of negative gamma which implies that volatility will remain high. It appears the Put Wall shifted from 3250 to 3300 due to a ~15k put increase at 3300. As the SPX goes... 