GammaLab

GammaLab

Net gamma increased by 65.3M to 52.7M as the stock gained 4.2% Tuesday. 1050 could act as a pin, while resistance is strong at 1100 and support at 1000. UBS raised their TSLA tgt to $1000 from $725 today. Analyst Patrick Hummel added, "Tesla is likely to continue beating consensus expectations also in 2022 in terms of top line growth and margins, in a global EV...

GammaLab

Quick note: Boosted by a massive short squeeze after hedgefonds sold short the market via index products the SPX is testing its first major resistance at 4700. The mechanic plays out like this: Short sellers have to buy back underlyings, while dealers have to sell futures at 4700/4750/4800. I would be surprised if we push through 4700 right away. More likely...

GammaLab

Even the May contract of the Federal Funds Futures is slowly starting to price in a hike now. Yes, we have a massive short squeeze going on, but this could become a headwind going into the FOMC meeting Dec 15th.

GammaLab

TSLA with a very strong pre-market showing, trading solidly in positive gamma environment. What does that mean? In general option dealers are now selling into strength and buying weakness. Tactically this means 1050 is a resistance that the stock needs to overcome, while 1000 is a bottom.

GammaLab

Futures pushed higher overnight, while vol came further down. Both developments on their own increase gamma, but traders also reshuffled their option positioning and committed exposure to higher strikes, especially 4700, while reducing put protections at lower strikes e.g. 4400. Total net gamma now 150M. Absent negative headlines/fundamental data the market should...

GammaLab

TSLA sitting now right on the gamma inversion level at about 1010 Dollar. Next upside target 1100, support at 950.

GammaLab

The SPX gained 1.2% on Monday, but the big picture remains the same: The market is still trading in a slightly negative gamma environment (total net gamma -212M), with the break even at 4630 points. Todays trading action was supported by declining volatility as I explained in another post, but at the end of the day vol still remains stubbornly high and given the...

GammaLab

Volatility comes down more significantly today and puts therefore become less valuable (their chances of expiring in the money decrease with lower vol). As option dealers are net-short puts (they are sellers of put protection), they now need to unwind hedge positions and buy back SPX futures to get market neutral again. This dynamic is pushing markets higher today.

GammaLab

Gamma at the 4700 and higher strikes increased significantly, while total negative gamma further decreased to about -200M (from -260M). Above 4630 net gamma turns positive.

GammaLab

Bears had their run and pushed the stock lower to 950. Dealers were fully hedged at that point and the sell-off lost steam/reversed. On the way up they (the dealers) now need to unwind their hedges which feeds into the intraday rally. Focus on 2 points: Negative gamma at 950 is significantly reduced now, and gamma inversion level moved lower to 1000. Above 1000...

GammaLab Updated 

The situation at TSLA deteriorated Friday given a large 6.4% drop and net gamma declined by almost 10M to -12.6M. The stock is now more clearly trading in a negative gamma environment, where potential drops need to be hedged by option dealers by selling futures into weakness, which would further destabilize the chart. At 950 gamma increased by 3.2M to 20M. In case...

GammaLab

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...

GammaLab

Hi traders, quick note regarding y'alls favorite stock ;). TSLA is hovering right around the neutral gamma level and the potential outcome looks sort of binary. Traders increased their puts at 900 and 950 notably, so if the chart situation worsens from here those guys would be sitting on a big payoffs and dealers would have to sell into weakness, therefore...

GammaLab

The SPX behaves exactly as one would expect in a negative gamma scenario and we are happy that we were able to make the cautious call already three days ago. Net gamma stayed roughly the same compared to our late EOD analysis yesterday, but the distribution changed notably: While gamma at ATM strikes improved (less negative), gamma at OTM strikes decreased...

GammaLab

From a gamma perspective the market can be still characterized as unstable but net gamma improved +117M to -470M compared to a day ago. In some sense we are still deeper in negative gamma land however, since the gamma inversion level moved up 40 points to 4670. Yes, the SPX was able to improve 1.4% today, but the market failed to break through the resistance at...

GammaLab

Quick SPX Update. Situation deteriorated slightly. Negative gamma currently at -652M. Check the levels (I deleted those under -20M to get a clearer picture). Note, that the VIX is still elevated. There was no overnight-crush like the days before.

GammaLab

Total gamma dropped by 87M to -0.6M today. Traders bought downside protection at 1100 (-11M to -9M d/d), 1095 (-5.7M to -10M), 1000 (-6.9M to -5.3M) and especially at 950 (-7.1M to 8.5M). Should the downtrend persist tomorrow, then the negative gamma environment will lead to higher vol and maybe to a self reflexive spiral.

GammaLab

Today's SPX gamma distribution 9AM vs 5PM. As prices decline and put options move closer to the money their gamma increasingly becomes negative from a dealer standpoint (they are short puts). Note how the major "gamma barriers" move towards the left as options get rolled. That's bearish.