GammaLab

GammaLab

..dipped briefly into the negative before in the last days, but this looks like a more sustainable inversion now. Just for the record.

GammaLab

Morning. Please consult the chart above for the current gamma situation. Not much changed. As the market is hovering around the gamma inversion level and iV is low, vanna will play a role - watch the VIX. As fresh OI data shows the new JHQX collar strikes are located at 3620 (short put), 4285 (long put) and 4695 (short call) for those who are interested. Keep a...

GammaLab

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...

GammaLab

Howdy. Check out this intraday-update. I added the level at 4550 with a minor gamma concentration of 17MM.

GammaLab Updated 

Morning. It is going down, as I warned repeatedly over the last couple days: Putin is demanding rubles for energy. Possibly the biggest story since the beginning of the war. Please consult the chart above for important gamma levels. Dealer gamma now at 355MM currently.

GammaLab

As it turned out stocks were once again fooled by yesterday's overly optimistic headlines. Neither is there much hope for a breakthrough in the talks between Moscow and Kiev, nor is Russia willing to de-escalate , but is rather redirecting troops to encircle the Ukrainian army in the east. Too bad that Wall Street coders and quants are mostly too young to...

GammaLab

This is just a snapshot, but since weeks now, investors are relentlessly piling into deep OTM options with a strike of 3600, no matter the direction of the overall market. Put contracts with a strike of 3600 now register the second highest open interest after contracts with a strike of 4000. I find this interesting, though not totally sure how to interpret...

GammaLab

Please consult the chart above for recent gamma weightings. The market is supported at 4600, while 4650 acts as resistance and 4625 seems to be a fair midpoint. Again, we see a large build in put contracts with a strike of 3600. More on that later maybe.

GammaLab

Not doing lots of micro, but this earnings call is insightful to get a sense for the situation in the real economy. I just cut through the BS and put together the macro snippets. CEO Gary Friedman goes full mad max. Enjoy! "While first quarter sales and margin trends remain healthy due to the ongoing relief of our backlog, we have experienced softening demand in...

GammaLab

The SPX rallied 1.2 percent today based on reports that Russia is reducing military operations around Kiev , even though it is highly uncertain if that really is a sign of de-escalation, or rather a harbinger of restructuring for future escalation. Speaking of harbingers.. The spread between 10-year and 2-year Treasury Notes briefly turned negative today ,...

GammaLab

..is collapsing in a dramatic fashion, while retail investors pile into meme stocks. Something has to give eventually.

GammaLab

Trust them or not, but Russia has announced to reduce military activities around Kiew in order to de-escalate the conflict. Major news, if true, and not just another effort to buy time. At 4600 a massive amount of gamma is located, but the level failed to serve as a pin, which possibly means that investors have to cover their short calls. Also, investors were...

GammaLab

The SPX moved 0.7 percent higher on Monday due to media reports, that Russia is prepared to allow Ukraine to join the EU as long as it doesn't join Nato and that discussions on territory could pushed to a later date. Growth concerns attributed to Shanghai announcing a two-phase Covid lockdown intensified meanwhile and caused WTI to fall over six percent,...

GammaLab

Good morning. Please check out the chart above for recent gamma levels/weightings. Most prominent gamma strike is located at 4600 (not in chart) with a total net gamma of 75MM, which means that big investors probably assume upward potential maxes out at this level. Dealer gamma now inverts at 4490 (down from 4495 Friday). Total gamma = 175MM.

GammaLab

The SPX gained 0.4% in a bumpy session today while rate hike expectations dramatically moved higher after a research note released by Citigroup called for four consecutive 50 bps rate hikes, followed by two 25 bps hikes . It is absolutely remarkable, how investors now seem to look at the stock market as an inflation hedge, while a most brutal rate hike cycle is...

GammaLab

..markets are selling off. Rate hike expectations are exploding, suggesting that the Fed is still way behind the curve. The other aspect is the dangerous geopolitical situation that is still highly underestimated by markets (Ukraine/Yemen).

GammaLab

Good morning! Please consult the chart above for the most recent gamma levels. Total dealer gamma currently registers at 139MM, gamma "flips" at 4.485 (above = muted volatility, below = expect increased volatility). I mentioned the strikes at 4510/4520 which are part of a JPM collar. The negative gamma at both strikes diminished overnight due to heavy call...

GammaLab

..but please rally "right" :). The current rally is largely driven by the so called "growth complex" - companies that sell dreams instead earning cash. In a perfect text book world this should not happen at all, particularly given the explosive rise in inflation expectations. Yes, the market is always right, and far too big to argue with, but still.. meme stock...