GammaLab

GammaLab

..now price in in a higher average rate for December as at any time during the year.

GammaLab

Morning. Please consult the chart above for an up-to-date gamma picture. Put open interest at 3700 decreased yesterday, while it modestly increased at lower strikes (most at 3200). Trade should continue to be choppy ahead of tomorrow's FOMC decision.

GammaLab

The driver for yesterday's rally was the quarterly refunding estimate of the US Treasury Department, which implied, that balance sheet runoff could be neutralised for a couple weeks by less short term funding ( see SPX Gamma Wrap ). This drivers has entirely evaporated today ( see chart above ) as yields for short term papers continue to rise again. Something to...

GammaLab

..all goods we consume are moved by truck. If truckers pay more for gas, you will pay more at checkout. This will feed through, especially considered that diesel stocks are at multi-year lows.

GammaLab

The SPX closed 0.6 percent higher on Monday after overcoming a 1.7 percent decline in a session that was as volatile as expected. At around 15:00 PM the market started rebounding hard and dealers were forced to buy back futures to remain market neutral. There was no obvious catalyst for the intraday-rally, but at around the time the buying startet the US...

GammaLab

Good morning. Volatility rises to the highest level since early May in pre-market trade, while future markets continue to suggest about 11 rate hikes. Put options with a strike of 3700 experienced high volume on Friday, while fresh data shows an increase in open interest, which suggests that investors continue to price in the possibility of a "catastrophic"...

GammaLab

Good morning, due to a trip to the "redneck riveria" (I love it), I will not post a gamma wrap, so this is my first and final word ;). Investors used yesterday’s calm to stock up on put options, especially at 4000 and 3700, to be positioned for next week’s FOMC meeting. China/Japan and Europe are in the green today, but we doubt that there is much upside...

GammaLab

As expected the trading session was very volatile and showcased a 120 point gamma squeeze that had no fundamental catalyst. The SPX closed 2.5 percent higher, but the gain was substantially reduced in the after hours after disappointing earning reports . Today’s GDP print was unexpectedly weak and was a first sign that the US is heading into a stagflationary...

GammaLab

Morning. Just a quick note. Dealer gamma at -867MM, gamma inversion 4450, resistance at 4250 & 4300 with many gamma strikes in between (not in chart). Upside momentum mainly due to earnings, not sure if this is sustainable given the unfolding stagflation scenario. Expect volatility.

GammaLab

Not gamma, but maybe one of the most relevant recent developments: The crash of the japanese Yen. The BoJ is pumping money into the system to prevent a collapse in the bond market and defend the 0.25 percent ceiling of 10Y JGBs. As a result the Yen is crashing, which is again one of the drivers of the massive dollar rally. If Japan breaks, many more things will...

GammaLab

The SPX remained relatively unchanged after a choppy session and closed 0.2 percent higher, while 10Y note yields jumped five basis points to 2.836 percent, and the VIX closed at an elevated level of 31.6 percent. In terms of geopolitics Putin threatened western nations with “lightning fast” response via “tools no other nations has” (hypersonic nukes) , should...

GammaLab

Good morning, the energy situation in Europe continues to be precarious as Germany now faces the danger of getting cut off from Russian gas, while in Asia the Shanghai Composite was able to stabilize after China’s President Xi Jinping made a commitment to boost infrastructure construction in Beijing’s latest bid to rescue economic growth. Put open interest...

GammaLab

The SPX declined 2.8 percent and continued to collapse in the after hours (-3.6%) as earnings didn’t come to the rescue. Catalysts for the move lower were the threat of lockdowns in Beijing and a warning from Russia's Foreign Minister Lavrov that there is a "considerable" chance of nuclear war, if the West continues to deliver weapons to Ukraine. Also there...

GammaLab

Please consult the chart above for the gamma situation below 4200 points in case the market drops lower. The risk of a full blown energy crisis which would most certainly lead to stagflation and credit events, as Fitch is warning, is increasing substantially today.

GammaLab

Good morning. Yesterday, put contracts with a strike of 3700 experienced a big volume spike, and as fresh open interest data shows, open interest indeed increased substantially at strikes <= 4000. While this bearish reshuffling "under the hood" is certainly a cause for a cautious approach forward, yields continue to decline, which could provide some fundamental...

GammaLab

The AM assessment proved to be spot on, as the markets were able to stabilize in a volatile trading session and the SPX closed up 0.6 percent in the green. Driving factors behind the move higher were declining yields at the long end of the curve (US10Y -8bps), due to decline oil prices as a function of the lockdown situation in China. Growth stocks consequently...

GammaLab

Good morning, despite the doom and gloom put buying was relatively contained on Friday and the panic put buying has not reached levels seen over the recent months. Rate hike expectations are also coming back from extrem levels currently, which should provide a fundamental layer of support. Still, dealer gamma is at extremely negative levels (-920MM), so a high...

GammaLab

Good morning. Futures stabilized just belo 4400 overnight, while total gamma decreased slightly by 10MM to -605MM and the gamma inversion level moved up to 4500, reflecting the put accumulation we saw yesterday. Support levels can be identified at 4350 and 4300 and traders are well advised to take those markers scenario into account, especially given that the...