GammaLab

GammaLab

Add a new mutant to an out-of-control energy crisis plus lots of negative gamma and you get the DAX. Gamma collapsed to minus 81M notional and anything "blow up" or further implosion seems possible from here. The VDAX will lead the way.

GammaLab

We talk alot about rate hike expectations. While the fed funds future markets have aggressively priced in a rate hike scenario for June over the last days, those expectations have completely collapsed today. The new variant, no matter how game changing it really is, will give the Fed certainly much more wiggle room to delay any hikes. So despite the patellar...

GammaLab

Good morning! It was supposed to be a dull day, but a new virus variant (which was discovered a couple days ago) suddenly becomes headline news and forces a update. Traders are de-risking and we are in negative gamma territory now, which can cause violent down- and upside moves. Total gamma comes in at -205M, down from 458M. Remember: We have no "hard" news...

GammaLab

Total gamma increased by 11M to 49M Thursday end of day, which is slightly bullish and the first increase in 5 days. The chart itself is pretty straightforward: Between 1105 (first major put barrier with -9M gamma notional) and 1125 (first notable call barrier with 3M gamma notional) we are sort of just "hanging in there". Dealer flows will be minimal in this...

GammaLab

The german DAX is drifting deeper into the negative gamma abyss, even though he was able to stage a reversal in the afternoon. Total gamma decreased by 7M to -25M, and gamma now turns positive above 16050. Good luck tomorrow without support of the US markets.

GammaLab

Happy Thanksgiving everybody! Traders can be especially happy about 116M extra gamma notional that was added today (biggest increase in over a week) and what brings total gamma up to 459M. While gamma got injected across all strikes it was especially the negative gamma strikes between 4650 and 4700 that got eliminated. In a late trade push amidst collapsing vol...

GammaLab Updated 

SPX can stage a reversal from early losses and move higher into the FOMC meeting. Total gamma increases by 36M to 403M midday. Between 4650 and 4700 there is net little to no gamma located, so no markers can be identified. A break above 4700 however would most likely open the door to more gains. Below 4630 vol goes up.

GammaLab

TSLA briefly dipped into negative gamma zone, but was able to launch a reversal. Total gamma increased from 37M yesterday to 56M, where as a whopping 4M gamma notional was added at the 1200 strike, while at 1100 the negative position was reduced by 1.4M , which are bullish signals. If we go above 1125 the picture would definitely turn even more friendly. Also:...

GammaLab Updated 

Future EconMin Habeck just put a floor under EUAs (and energy in general). CO2 futures should not drop below €60.

GammaLab Updated 

Rate hike expectations keep moving up explosively. Be careful. This will have consequences for risk assets.

GammaLab

Lets keep this simple: DAX is clearly in negative gamma territory with vol jumping 2 points to over 19, a level last seen October 12th. Main put strike at 15200 with minus 11M gamma notional, main call strike at 16600 with 9M gamma notional. Total gamma decreased Monday by 25M to minus 18M - a clear indication that vol is about to expand/stays elevated.

GammaLab

"Firm like a rock"..well, never mind.. TSLA rather dropped like a rock today and so did total gamma, which decreased by 70M to 38M as traders repositioned. Gamma inversion occurs dangerously close to the closing price at 1080, but expect choppy water 1100 and lower, since that's the are where some pretty hefty negative gamma strikes come into play.

GammaLab

Growth/value rotation continued today, but SPX was able to stabilize and ended the day on a positive note. Total gamma decreased from yesterday by 25M to 343M, but compared to the gloomy noon update which identified only 163M gamma notional this was a solid intraday reversal. Lots of gamma came into the afternoon at the 4750 strike (+11M) and other OTM strikes...

GammaLab Updated 

Gamma decreased further to 163M, but we are still in positive gamma territory, sitting right above a cluster of put barriers. Gamma inversion now at 4640. Most prominent put barrier at 4600 with -14M notional.

GammaLab Updated 

Investors decreased gamma positions overnight by 226M to 294M gamma notional. Gamma inversion moved up from 4610 to 4650. Should we go lower from there 4600 would act as a major resistance.

GammaLab Updated 

Everything seemed to play out wonderfully today. We established a new trading range between 4750 and 4700, where we identified significant gamma levels, before gravitating to our new pivot at 4725. However, a brutal sell seemingly out of nowhere proved to be highly disruptive. Some key figures: Total gamma decreased from 520M to only 367M, which should open the...

GammaLab

Growth lost about 1% today, while value gained 0,6%. So instead of a pure sell off we rather have a rotation at hand. But lets take a view from 30.000 foot above and put that rotation into context: Starting 2020 the growth/value ratio increased about 50% as illustrated in the chart, what renders today's retracement very marginal. The reason behind the move is...

GammaLab

NDX total gamma decreased from 12.2M to 7.3M, which points to higher vol going forward. The overall gamma environment is still positive though, which means option dealers act as liquidity providers, stabilizing the markets. Below 15990 dealers are forced to hedge cyclical and sell into weakness which typically produces violent up/down moves.