by ricardo@optionelements.es | Ago 20, 2020 | Sin categoría
Futures put in a low of ~3345 overnight and have recovered to ~3365. Gamma notional levels all declined, but the somewhat shocking reduction was in SPY which is now nearly zero from >$1bn yesterday AM. The Zero Gamma flip point remains around 3275, but we mark 3300... by ricardo@optionelements.es | Ago 19, 2020 | Sin categoría
Futures are testing new highs this morning around 3395. There was not much change in levels overnight, but that could change starting today as August Expiration positions are closed and/or rolled. SPY remains the standout as it continues to hold large gamma size over... by ricardo@optionelements.es | Ago 18, 2020 | Sin categoría
Futures are at the highs of the overnight session: 3386. We saw quite a build in SPY gamma which is back over $1bn. The Call Wall also shifts up to 3450 which is a bit curious as we didnt pick up any significant volume at that level yesterday. We therefore think this... by ricardo@optionelements.es | Ago 14, 2020 | Sin categoría
Futures took another shot at the 3380 level overnight before rejecting and selling off to 3350. There wasnt much change in data levels with the exception of SPY gamma which jumped to $1.1bn overnight. Checkout the slope of that SPY gamma (blue line in SPY chart at... by ricardo@optionelements.es | Ago 13, 2020 | Sin categoría
Futures were quite flat overnight. There was not much change to gamma levels with from yesterday which is interesting given the 1.5% move higher. We now have less positive gamma then when the market was at this level two days ago. If there is an unique aspect to this... 