by ricardo@optionelements.es | Jul 21, 2020 | Sin categoría
3270 is the ES high as buyers continue overnight. Whats most interesting about yesterdays data was that calls were net closed at 3250 and added to the 3300 strike. There were also (very) small additions 3260-3290. The net positive gamma added is underwhelming given... by ricardo@optionelements.es | Jul 20, 2020 | Sin categoría
Futures are testing the 3200 level this morning. The setup compared to Friday actually looks pretty similar: 3200 the major area with gamma flipping around 3150. The High Gamma Strike now sets up around 3300 and if you look at August open interest you will see a... by ricardo@optionelements.es | Jul 17, 2020 | Sin categoría
Futures remain flat to last nights close as we expect some volatility into and around the open. During recent monthly expirations there have been several cases of wild opening prints (see here) so its something to be aware of. Also because so much of the SPX expires... by ricardo@optionelements.es | Jul 16, 2020 | Sin categoría
Futures are currently flat to last nights close but did test 3230 again. Notably we saw a large jump in positive gamma yesterday which is related to that high 1.2 PC ratio yesterday (lots of calls traded relative to puts). You can see there was a huge jump in the... by ricardo@optionelements.es | Jul 15, 2020 | Sin categoría
Futures recover the 3200 level after spending the overnight session in a 15 handle range. Our levels are little changed overnight with 3200 being the key pivot area for today. The High Gamma Strike remains at 3250 and we also see a large Combo strike bars at 3216... 