by ricardo@optionelements.es | Jun 22, 2020 | Sin categoría
Futures took an initial shot lower to 3027 then immediately trended higher to 3085. You can see we have a concentration of levels around 3100 as that is currently the only area with material size (however its quite light). Our delta indicators have dropped quite a bit... by ricardo@optionelements.es | Jun 19, 2020 | Sin categoría
Futures are up ~1% to yesterdays close at 3125 after a fairly calm overnight session. SPX AM options expire at the cash open and so we may see a bit of volatility into and around 9:30EST. SPX PM, SPY and equities are expiring at the close and the S&P Index... by ricardo@optionelements.es | Jun 18, 2020 | Sin categoría
Markets remain fairly flat overnight with futures around 3100. Gamma notionals are fairly unchanged with levels consolidating at 3100. The most notable move is a shift up in the Vol Trigger to 3110(ES), while our Zero Gamma level remains near 3050(ES). On occassion we... by ricardo@optionelements.es | Jun 17, 2020 | Sin categoría
Futures are testing yesterdays highs after a session that was fairly well bid all night. There were a few intersting changes in open interest from yesterday. For example yesterday saw ~30k calls trade at 3200 & 3150 each, but only a ~1k & ~3k net addition to... by ricardo@optionelements.es | Jun 16, 2020 | Sin categoría
Futures are up testing the 3100 level which is the large gamma strike and key area for today. Overall the situation apppears unchanged from the last few notes. We don’t sense much stability here and its a matter of seeing which side can pick up the momentum... 