06-03 Daily Summary
Welcome to the summer doldrums! RV compression in full effect; approaching levels soon that have HISTORICALLY seen a reaction.
Market Data from @ConvexValue
-Volatility expectations (Term structure) moving up slightly from the lows; yellow = today, red = yesterday
-GX Surface from yesterday shows a more balanced market with gamma peaks up at 7680, gamma flip near 7400
-Overnight straddle is ~30 points giving us an ON straddle range of [7580, 7640]
-Weekly Straddle ~90 pts gives us [7490, 7670]
-Overnight Volumes are average - slightly more puts; 7650 calls, 7600 puts highest volume
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7600
-Targets above are 7615, 7625, 7635, 7650
-Targets below are 7580, 7550, 7525, 7510
Thoughts
-7637 looks like an interesting close but let's see
06-02 Daily Summary
Market Data from @ConvexValue
-Volatility expectations (Term structure) moving up slightly from the lows; yellow = today, red = yesterday
-GX Surface from yesterday shows a more balanced market with gamma peaks up at 7650, gamma flip near 7315
-Overnight straddle is ~32 points giving us an ON straddle range of [7568, 7632]
-Morning straddle is 28 and using spot 7585 gives us a range of [7557,7613]
-Weekly Straddle ~90 pts gives us [7490, 7670]
-Overnight Volumes are average - slightly more calls; 7600 calls, 7550 puts highest volume
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7585
-Targets above are 7600, 7615, 7625, 7645
-Targets below are 7575, 7560, 7550, 7525, 7515
Thoughts
-Globex dip and recovery so far... do flat close lives matter?
-Wonder if 7537 is offered today
Excellent follow through to start today in #ES_F. The range would be 7516-7565 as posted. Ranges Failed Breakdown then rally (Charting 101). I was looking for the trap of 7516, we got it last eve. Today's target slate was 7530 (hit), 7549, 7565. Then, we trend hard.
Sell<7516
$SPX Gamma Roadmap
Look below and fail of the balance low/prior day low overnight
light/neutral gamma environment
7525-30 pivot, clear there targets 7555, 7570
7515 support, failure there can fade towards 7500, 7475