GammaLab

GammaLab

Hello again to my "Crazy Edition". EUA carbon futures up 370% since the beginning of the year and with new record highs today. Talk about (not so) "transitory" inflation.

GammaLab

High Liquidity Area: 16200-16300; Target 16500 & 16600; Support 16100; Gamma Inversion 15840. Total Gamma 92M (+12 d/d).

GammaLab

Pivot: 1045; Upside Target: 1095; Support: 1000; Gamma Inversion 960. Total Net Gamma: 84M (yesterday 19M) - positive net gamma environment = dealers provide liquidity and stabilize markets (bullish).

GammaLab

4700 is the main pivot level, 4750 is our new upside target, whereas 4640 is support. At these levels dealers have to hedge their positions to get delta neutral through countercyclical trades (sell into upside moves, buy into falling markets). Therefore those markers become "magnetic".

GammaLab

The Iinfrastructure deal is hitting the markets. Inflation expectations over the horizon of 5 years with new record high. Wait for "Build Back Better", but don't forget: "its transitory" :).

GammaLab

Key range is 6100-16200, with lots of liquidity located. Gamma inversion at 15820, which should be not on the table.

GammaLab

Strong support at 1000 (-28.7M gamma notional). Gamma "flips" at 970, then more support at 950. No convincing upside target (1045 with 5.2M notional gamma pretty weak).

GammaLab

Total gamma increased bei 245M to 713.5M notional. Key gamma level is still 4700. Note: Between 4650 and the gamma inversion level at 4560 (where markets destabilize) there is not much support in terms of gamma. In case of downward momentum we could trade lower at increased speed.

GammaLab

If we breach 990/980 next target is 950 where minus 10.2M gamma notional is located. Brace for volatility.

GammaLab Updated 

Quick Update for Monday: At 980 gamma turns negativ, at 1000 we have a solid underlying put.

GammaLab

Quick Update for Monday. Total gamma at a relatively low 467.7M, plus Friday we have OPEX coming up = VIX risk tilted to the upside.

GammaLab

Im reposting this chart because it still perplexes me. Unmich inflation expectations just posted minutes ago at 4.9%, and markets still refuse to play a clear yield hike scenario? The crazy thing is that the markets could be right, especially if Brainard takes over. Consider "Build Back Better" and infrastructure deal have not even hit supply chains.. Good times ahead!

GammaLab

DAX still trapped in that high liquidity zone between 16050 and 16100. On the upside we could shoot to 16200, downside target is 15960.

GammaLab

Uneventful day, gamma levels basically stay the same. 4700 remains a major resistance, 4650 acts like a magnet. At 4630 we have a put barrier (gamma notiona -19.5M) which should add support. I highly recommend the latest Goldman piece about the historic option volumes in November (see Zerohedge). Its all about options/gamma flows. Cheers!

GammaLab

Bulls tried to push through the call barrier at 1095 but eventually failed - too much liquidity! However the chart still looks constructive, we are still in positive gamma territory. 1060 must hold though, or we trade to 1050, then to 1020. Tomorrow we have quite a bit of gamma expiring, so be careful. ** Highly recommend the latest Goldman piece regarding the...

GammaLab

TSLA is back in positive gamma territory and the bulls rejoice. If we break above 1095 we can quickly trade towards 1145. If we sink below 1070 (the gamma inversion level) all bets are off again and next support would be at 1050.

GammaLab

The DAX trades within a high liquidity zone ranging from 15950 to 16100. On breakout the upside target is 16200, to the downside there is not much grip, before we hit 15820, where gamma inversion happens. Cheers!

GammaLab

Total gamma came down significantly today from 623.2M to 407.1M which points to an increase in volatility, especially when we slide towards the 4570 where gamma inversion occurs. As of now we have 135M gamma expiring Friday. The positive/negative gamma ratio dropped further to 1.27, which also suggests more volatility ahead. Be careful out there and have fun.