GammaLab

GammaLab

The SPX closed one percent higher today, after traders saw the FOMC Minutes as an invitation to hit the buy buttons. The paragraph that triggered the move higher was found towards the end of the release: “Many participants judged that expediting the removal of policy accommodation would leave the Committee well positioned later this year to assess the...

GammaLab

..the market is green today, as the decline in rate hike expectations is a supportive factor. Most of the retreat is attributable to recent dovish comments (e.g. Bostic), which were suggesting a temporary pause in the fall and Ackman rightfully so trashed this as a big mistake yesterday. Expect this trend to reverse as soon as supply issue blow up again as we...

GammaLab

Good morning. Equity indices in Asia ended the trade on Wednesday on a mixed note (Nikkei -0.3%, Hang Seng +0.3%, Shanghai +1.2%), while the Euro Stoxx 50 is down 0.8% in-line with the SPX future (-0.7%). Data: - In Japan the Leading Index declined by 20 basis points to 0.7 percent. - In Germany Q2 GDP came in as expected (+0.2% q/q), while in France consumer...

GammaLab

The SPX managed to close only 0.7 percent lower after being down 2.5 percent intraday. The sentiment that was already damaged by a lowered guidance from Snap took another more serious hit after a report showed that new home sales in the US decreased 16.6 percent month-over-month in April , while also the number for March was revised lower. According to a...

GammaLab

The SPX is down 1.4 percent this morning, and it certainly tells you something about the fragile state of the market , if a company like Snap is able to turn yesterday’s sentiment on its head. Over in Asia meanwhile the Nikkei closed 0.9 percent lower and the Hang Seng declined 1.8 percent after mixed Japanese PMIs and a Chinese stimulus package that failed to...

GammaLab

The financial sector (+3.2%) pulled the overall market higher today and helped the SPX to produce a profit of 1.9 percent on Monday. A raised net interest income outlook from JPMorgan was the reason behind the outperformance of the banking sector, other supportive factors were speculation about a deal between broadcom and Vmware and the acknowledgment by...

GammaLab

Good morning. Asian indices began the week on a mixed note. In China large tech companies are cutting staff as the South China Morning Post reported. The country’s exchange in Shanghai closed almost unchanged, while in Hong Kong the Hang Seng declined 1.2 percent and over in Japan the Nikkei gained 1.0 percent. In Germany the important Ifo Business Climate Index...

GammaLab

The SPX ended the week unchanged after being down 3.6 percent from its intraday high to its intraday low. The early gains were largely sentiment-driven amid a belief that the market was overdue for a bounce and news that the People's Bank of China cut its 5-year prime loan rate by 15 basis points to 4.45 percent. In our morning briefing we warned to be cautious...

GammaLab

The S&P 500 declined 0.5 percent on Thursday in a choppy, back-and-forth session, as the underlying growth concerns pressured sentiment. Reviewing today’s economic data: 1) Initial claims increased by 21K to 218K (consensus 200K). OVerall the number is not concerning, but nevertheless relative to expectations it was a disappointment. 2) Existing home sales...

GammaLab

I was asked, why I think dealer selling will abate at strikes lower than 3800. Let me explain the thinking behind it and consider the charts above. The answer comes at the end of this piece :). Assume a simplified model, where option dealers buy calls and sell puts. Both positions are long positions (delta positive), so the dealer has to sell futures against...

GammaLab

Good morning. Asian markets closed deep in the red, with the Nikkei down 1.9 percent and the Hang Seng down 2.5 percent, while over in Europe the Euro Stoxx 50 is down 1.0 percent and the S&P 500 is down 0.9 percent at 3880 points in the US In general markets remain concerned that the Fed might push the US into a recession due to their hawkish rhetoric, and...

GammaLab

The S&P 500 lost four percent today in a fast but surprisingly orderly retreat. The worst losses were accumulated by the consumer discretionary (-6.6%) and consumer staples (-6.4%) sectors after Target (24.9%) fueled margin concerns this morning. The VIX finally gained some momentum again and closed 4.8 points higher at 40 percent, but the pop was still muted...

GammaLab

Good morning. The S&P 500 future trades 0.9 percent below fair value, with Target (-22.5% pre-market) setting a negative tone after missing EPS estimates. Asien markets closed mostly positive with the Nikkei up 0.9 percent and the Hang Seng up 0.2 percent. The Chinese housing market continues to cool down as data shows (housing prices up 0.7% after 1.5%...

GammaLab

The S&P 500 rose 2.0 percent today, as some of the growth concerns were alleviated by fundamental factors as discussed in the morning briefing. Revealing was the BofA Global Fund Manager Survey that showed that the cash levels of big funds are at their highest position (6.1%) since 9/11 and the largest underweight position in equities since May 2020. This fact...

GammaLab

Good morning! Over in Asia the Nikkei is up 0.4 percent and the Hang Seng gained 3.3 percentage points amid lockdown optimism in Shanghai and the hope that the Chinese government could ease the clampdown on tech stocks. Over in Europe the Euro Stoxx 50 is up 1.5 percent currently, supported by preliminary GDP figures that signaled an economy that grew...

GammaLab

The SPX declined 0.4 percent on Monday, mainly driven by large-cap growth stocks, which lost 1.1 percent, while value stocks gained 0.1 percent. The energy sector (+2.6%) was outperforming the rest of the market as a result of higher oil prices (WTI +3.5%), which benefited from news that Shanghai was planning to phase in business re-openings. The overarching...

GammaLab

Good morning. The main theme today will be the prospects of a recession: Goldman CEO Blankfein (answering a question if the US is heading towards recession): We're certainly heading - it's certainly a very, very high risk factor . And there's - but, you know, there's a path. It's a narrow path. But I think the Fed has very powerful tools. It's hard to finally...

GammaLab Updated 

Good morning. Dealer gamma registers at extreme -1208MM. Liquidity is very thin which can unleash big moves in both directions. Open interest data shows that investors bought out-of-the-money-puts en masse yesterday, which makes the very low VIX reading even more obscure. This is a dangerous and very fragile market. Do not rely on technicals and stay...