SPX Gamma EOD
The SPX declined 0.8% today, but gamma improved from -470M yesterday to -263M and it almost smells like the market is eager for a comeback. However, there seems to be a certain element that is betting on bigger decline since gamma at the 4000 strike decreased by 11M to -53M which is quite a statement.
Looking ahead: Between 4400 and 4600 (green zone) there are no significant gamma markers, which means that not too much "interference" by the dealers is to be expected within that range. Above 4590/4600 the market could establish a base to move higher towards 4700 since dealers would then start to become net liquidity providers, which would bring down vol (bullish).
Apart from the SPX two things stand out and need to be carefully watched next week: Vol stays elevated and closed above 30%, while 10Y yields dropped 10 bps to 1.346%. Both developments are hard to reconcile with a truly bullish economy, but well, do stocks really prefer that over a low yield environment?
More on that maybe later, cheers!
Looking ahead: Between 4400 and 4600 (green zone) there are no significant gamma markers, which means that not too much "interference" by the dealers is to be expected within that range. Above 4590/4600 the market could establish a base to move higher towards 4700 since dealers would then start to become net liquidity providers, which would bring down vol (bullish).
Apart from the SPX two things stand out and need to be carefully watched next week: Vol stays elevated and closed above 30%, while 10Y yields dropped 10 bps to 1.346%. Both developments are hard to reconcile with a truly bullish economy, but well, do stocks really prefer that over a low yield environment?
More on that maybe later, cheers!
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