by ricardo@optionelements.es | Sep 18, 2020 | Sin categoría
Futures hold 3350 after a fairly quiet overnight. Despite this gamma levels took a negative tone, but its tough to read into much of this data as so much is expiring at the open. We note that roughly 2mm puts and 900k calls roll off in SPX today, the bulk of that at... 
by ricardo@optionelements.es | Sep 17, 2020 | Sin categoría
by ricardo@optionelements.es | Sep 16, 2020 | Sin categoría
Futures have pulled ahead to 3412 this morning ahead of the FOMC. SPX/SPY have a positive gamma position and Q’s are still negative but trending back towards zero gamma. It appears that call positions are building just overhead with SPY in particular. 3400... by ricardo@optionelements.es | Sep 15, 2020 | Sin categoría
Futures are up a bit overnight after a tame overnight session. Gamma levels in SPX are flat to last nights close with 3400 registering as the largest strike. The Combo Strike charts reflect a large area of support at ~3385-3392 which backswday the... by ricardo@optionelements.es | Sep 14, 2020 | Sin categoría
Futures are up a bit which pushes SPX/SPY into positive gamma territory. Q’s are still holding a solidly negative gamma position inferring greater tech volatility. As mentioned late last week the dominate OI position for Sep OPEX (Friday) remains 3350 &... 