GammaLab

GammaLab

The SPX crossed into positive gamma land in the early trade, but was not able to hook on to positive gamma strikes at 4650/4655 and about 45 minutes before noon markets startet to de-risk significantly due to a triple-whammy of negative Fed/Shutdown/Omicron headlines. At 4550 markets found support at the put barrier, but vol never came down meaningfully to enable...

GammaLab

Yields lead markets lower as suddenly three lingering issues get attention again. You can ignore fundamentals only for so long.

GammaLab Updated 

Howdy, gamma levels stay the same as the SPX tries to establish a foothold in positive gamma territory, supported by rebalancing flows. Key is 4650/4655: Can we latch on to those strikes and then move higher towards 4700?`The battle is still undecided and I want to point out that many questions especially regarding shutdown are still open.

GammaLab

Good news, the picture improved substantially overnight. Total net gamma now at -90M (up overnight from -454M). The levels stay the same albeit with different weights, please see chart for more information.

GammaLab

TSLA remains a class of its own and is trading in a comfortable zone where dealers act as liquidity providers. Despite the turbulence in the broader market traders reduced their put protections especially at the 920 strike (down to -4.5M from -10M three days ago) significantly.

GammaLab

This doesn't look good and I am hesitant to pull the trigger on this chart. Total gamma imploded by 472M (d/d) to -454M notional and traders added over minus 7M gamma at the 4400 strike. From a gamma standpoint the market failed to find support at the 4600 strike and ended the day on a very weak note. If the sentiment does not change overnight there is a...

GammaLab

Please see chart for guidance. Gamma is slightly negative. Dealers potentially re-hedge by selling futures below 16300.

GammaLab

Rate hike odds for June (and across the board) explode again after Powell's comments. Wild swings.

GammaLab Updated 

Good morning trader. Thanks to the CEO of Moderna, we are back in negative gamma land after a very brief episode on the other side. Net gamma comes in at -202M and to the downside we have a put support at 4600. Good luck trading those crazy markets!

GammaLab

Total gamma at TSLA increased by 35M since Friday to now 72M, this means in general option dealers will re-hedge (gamma hedge) by selling into strength and buying into weakness. So, as long the price stays above 1040 dealers will always provide a floor and liquidity. If we dig a little deeper, we can state that re-hedging is pronounced between 1100 and 1200,...

GammaLab

The SPX made it back into positive gamma territory (18M) and managed to stay there despite a late mini sell-off. The index overcame early weakness resulting from a report that Germany might be implementing new Covid measures and was then "boostered" by Biden ("no more lockdowns") going into the afternoon. Compared to Friday (net gamma was at minus 378M) the...

GammaLab Updated 

SPX failed to establish itself in the positive gamma zone and couldn't catch on to the combined 4655/4660 gamma level. Total gamma currently at -94M notional, whereas traders added gamma at OTM puts and OTM calls, while VIX refuses to come down further meaningfully. Not much conviction so far. Stand by.

GammaLab

TSLA with a very strong performance. Negative gamma "capitulated" at lower strikes, while gamma was added to call barriers at higher strikes. 1125 proved to be a first target, now 1200 comes into play.

GammaLab

The DAX finds itself still in negative gamma territory, despite the currently low vol. Total gamma improved marginally from minus 81M (Friday) to minus 75M. Between 15150 and 14950 vol could increase first and exhaust itself (providing a launch pad for higher prices). 16000 is our upside target.

GammaLab

Based on available information "Omrikon" is most likely not as bad as first thought, and maybe even a net positive according to some scientists. While we are no virus experts the picture has obviously changed significantly since last week and forces an early update: Total gamma now stands at -128M (up from minus 378M) and gamma inversion occurs at 4650 now. As...

GammaLab

Quick NDX update. All levels as of Friday EOD. Total gamma at -2.8M; Gamma Inversion 16150. Call Barrier 16575 (2.6M gamma notional), put barrier 15.800 (-0.5M gamma notional).

GammaLab

The TSLA chart doesn't provide too much guidance. According to Cboe options the gamma environment is positive despite the losses and the major gamma strikes are located deeply OTM (put barrier at 950/920, first major call barrier at 1200). Not much conviction here.

GammaLab

The SPX dropped further into negative gamma territory and closed 2.3% down at 4594.6 points, while futures slipped even more in the after hours and currently sit -2.7% at 4583.8 points (we take this as the basis for our calculations). Total gamma is at -378M, down 173M since our AM report and down 836M from Wednesday. The market was able to stabilize at 4600...