GammaLab

GammaLab

Tesla ended the day just below the level where dealer gamma turns net negative and volatility is likely to increase. At 950, just below the current price there is a major put barrier. One can assume that dealers are fully hedged by now and should the price trend upwards tomorrow, then those hedges need to get unwinded, which could jumpstart a rally. On the other...

GammaLab

The S&P 500 lost 0.8 percent and is now trading just above the gamma inversion level at 4670 points. Below this level we could see more rapid sell offs, so the idea that the market calms down before the Fed and other central banks publish their monetary decisions seems less probable now. The reason behind the sudden risk-off attitude is not entirely clear. Yes,...

GammaLab

Quick Tesla update: Total gamma only at 7.7M now, Gamma inversion at 940. 950 major put barrier. Good luck!

GammaLab

Quick S&P 500 update. The market was not able to hold very well supported levels, which is a negative signal. Gamma inversion moved up ten points to 4650. Below 4675 and 4550 there are no significant markers, the market would be "on his own". The catalyst behind recent weakness are Omnicron and inflation, despite no fundamentally new data. Yes, Omicron is...

GammaLab Updated 

The S&P 500 closed one percent higher at a new record high, despite a red hot inflation reading, while the VIX compressed even more and ended the day 2.8 points lower at 18.7 percent. Let's talk gamma tactics first: Gamma at the 4700 strike increased by over 70M to 90M - this level can now be characterized as a solid support, upon the market could build towards...

GammaLab

Levels stay mainly the same compared to Friday. 4725 should be the pin, 4750 the resistance and 4700 the support. A range bound market continues to be the prefered scenario from a gamma perspective pre-FOMC/OPEX. Good luck!

GammaLab

Quick update. Markets are apparently euphoric about a below-7% inflation print. Here are the new SPX levels. Good luck!

GammaLab

Normalcy bias? Despite inflation accelerating to multi-decade highs year over year Federal Fund Futures are pricing out early Fed hikes. In the case of this chart it is the May contract which is trending downward towards the upper ceiling of the Fed band (0-0,25%). Apparently markets are happy that the headline number missed the street whisper of 7% inflation year...

GammaLab

Net gamma imploded today amidst a collapsing stock price by 65.7M to only 6.5M, which brings Tesla dangerously close to the inversion cliff. Negative gamma was added aggressively around the strike at 1000. Below 1000 the construct is very fragile and 950 is certainly in reach. Remember: Negative gamma equals more vol since dealers have to sell into weakness to get...

GammaLab

Investors took some chips of the table today, but the SPX is still up about 4% from Dec 3rd. The market was trading sideways in a 25 point range as largely expected but at around 14:10 vol suddenly spiked and caused the option markets to deleverage rapidly. It is not entirely obvious what caused the move, but there were some potentially negative headlines...

GammaLab

TSLA was not able to hold above 1050/1060 but is still in positive gamma territory. Please see chart for levels.

GammaLab

Take a portion of quarrel about Ukraine plus a new German government that neither likes gas nor Russia and you get what? Prices that are now 20 percent more expensive than three days ago. Quite a blow for "team temporary"..

GammaLab Updated 

The resistance at 4700 was pretty solid, as we assumed in our last EOD update, but the SPX was able to push through this barrier in the late trade and closed 0,3% higher. Should futures hold out over this level in the overnight session, then the market has a supportive base to aim for 4725. A secondary support is located at 4690 (11M gamma notional) and below...

GammaLab

Futures dropped below 4700 again, which weakens the overall picture a little bit, but the market is still sitting on cushion of positive gamma. Vol should not act up.

GammaLab

Tesla was able to push through a call barrier at 1050/1055 in the afternoon and is now sitting between a tripe-strike support (1050/1055/1060) and a major call barrier at 1100 where 9.7M gamma notional is concentrated. Overall gamma increased by 19.5M to 72.2M which should dampen volatility and be supportive of a liquid market. Fundamentally the stock was...

GammaLab Updated 

Overall the picture stays the same, as we trade sideways, but some rather minor changes occured, see chart.

GammaLab Updated 

Markets rallied higher and ended the day 2.1% up after a furious squeeze like rally that eventually lost steam just below the massive call barrier at 4700 where 81M of gamma notional is located. Vol collapsed by 5.3 points to 21.9% what induced option dealers to unwind their hedge positions and buy back futures which was supportive to the overall squeeze. Dealer...

GammaLab

Levels shifted quite a bit overnight. Please see chart. In short: Resistance at 4700 and support at 4650 weakened, more capital is being committed to higher strikes (4800/4750).