by ricardo@optionelements.es | Jul 13, 2020 | Sin categoría
Futures are testing 3200 after a fairly quiet session. The data from Friday shows that many calls were close <=3190 in SPX and rolled out however our “High Gamma Strike” did not shift up. As we mentioned on Friday we look for the market to test this... by ricardo@optionelements.es | Jul 10, 2020 | Sin categoría
Updated data attached. Gamma is right above the Zero Gamma area and the Vol Trigger (which has been a key level lately) rests at 3130 (ES). Our Combo Strike shows a large area of resistance at 3183 (SPX) which confirms our view of resistance there. Futures overnight... by ricardo@optionelements.es | Jul 9, 2020 | Sin categoría
Futures are flat to last nights close and we see little change in the SG Index & notional gamma levels. The Vol Trigger did jump to 3165(ES) which is important to note as it has been a support/resistance line for the last two days even though its moved ~40... by ricardo@optionelements.es | Jul 8, 2020 | Sin categoría
Futures are flat after a fairly quiet overnight session. We still have positive gamma levels, but the Zero Gamma level has now jumped to 3115 from 3085. We still think 3100 holds the key to a major volatility expansion, but the Zero Gamma levels shifting up is a sign... by ricardo@optionelements.es | Jul 7, 2020 | Sin categoría
Quite a bit of movement in futures overnight as we tagged a high of 3185 before pulling back to 3140. There were a few interesting developments, the key of which being in our equity data. Even though equities in general had a strong move yesterday we saw a fairly... 