by ricardo@optionelements.es | Ago 12, 2020 | Sin categoría
Futures recover a bit overnight to the 3350 area but there are some big changes in levels. First we saw the Zero Gamma level shift to 3290 which reinforces our thought that 3300 has to hold. You’ll see that notional gamma values were all heavily slashed with... by ricardo@optionelements.es | Ago 11, 2020 | Sin categoría
ES futures hit an all time high this morning of 3379. SPY has the notable gamma build and is now >$1bn leading SPX by $250mm. Recall this SPX gamma bubble chart where you can see how the positive gamma position is lighter than it was in Feb ’20. Equities... by ricardo@optionelements.es | Ago 10, 2020 | Sin categoría
Futures are flat to Fridays close with little change in data over the weekend. The thing that catches my eye today is a continued lack of size overhead. The top 3 strikes by call OI are <=3300 which is likely Futures are flat to Fridays close with little change in... by ricardo@optionelements.es | Ago 6, 2020 | Sin categoría
Futures made a few runs to 3330 overnight but were rejected both times, currently ~3315. Notional gamma levels in SPX & SPY declined presenting some interesting shifts. The High Gamma Strike jumped to 3400, with 3000 the Top Absolute strike. This is because puts... by ricardo@optionelements.es | Ago 5, 2020 | Sin categoría
Futures push higher to ~3315 and we show the VIX testing 23. The other day we mentioned the breakdown in realized volatility, and that seems to have picked up steam given the “pin” type movement of the last few days (chart). This may of course impact... 