SPX Gamma Wrap
The end-of-month squeeze came to an abrupt halt today, and caused the SPX (-1.4%) to briefly dip into negative gamma territory at the last minute.
Some attributed the drop to the expiring JPM collar that needs to get replaced, but that is debatable, as the impact from previous JPM collar trades was rather muted.
On the market maker side dealer gamma decreased by 332MM to 40MM currently (ref price 4550), which brings the market back to neutral from where price discovery can start afresh in the new quarter.
The big news today was a decree signed by Putin, which forces buyers of russian energy to open up bank accounts with Gazprom to transfer Euro/Dollar payments to the russian unit, which will then get automatically converted to Rubles.
Western leaders seemed heavily confused about that new scheme though, and were not sure how to react on Thursday, so the markets still lack clarity about what that could mean for the global economy.
In other news the US confirmed a record release of crude, which will bring one million bpd to market over a span of six months. It remains to be seen if that desperate measure will have a big effect on the market (likely not). According to RBC this means that the US basically shot "it's last bullet” as the strategic reserves will be almost empty at the end of the release cycle. Let’s just hope that the crisis will not intensify from here..
Some attributed the drop to the expiring JPM collar that needs to get replaced, but that is debatable, as the impact from previous JPM collar trades was rather muted.
On the market maker side dealer gamma decreased by 332MM to 40MM currently (ref price 4550), which brings the market back to neutral from where price discovery can start afresh in the new quarter.
The big news today was a decree signed by Putin, which forces buyers of russian energy to open up bank accounts with Gazprom to transfer Euro/Dollar payments to the russian unit, which will then get automatically converted to Rubles.
Western leaders seemed heavily confused about that new scheme though, and were not sure how to react on Thursday, so the markets still lack clarity about what that could mean for the global economy.
In other news the US confirmed a record release of crude, which will bring one million bpd to market over a span of six months. It remains to be seen if that desperate measure will have a big effect on the market (likely not). According to RBC this means that the US basically shot "it's last bullet” as the strategic reserves will be almost empty at the end of the release cycle. Let’s just hope that the crisis will not intensify from here..
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