GammaLab

GammaLab

The SPX turned an early gain of about 1.2 percent into a loss of 1.5 percent, after Fed officials like Bullard and Powell himself admitted defeat regarding the inflationary pressures that turned out to be anything but transitory and might not even have peaked yet as the fallback narrative is trying so hard to claim. According to the federal fund future markets...

GammaLab

Good morning. The market looks very constructive, thanks to good numbers from Tesla, while Alcoa is a reminder that supply chain issues pressure are still very real. The Philly Fed Manufacturing Index meanwhile inched down to 17.6 points in April, while indicating a still very strong labor market, but a big spike in input-costs: "The indicators for prices...

GammaLab

The "peak inflation narrative" saw a resurgence yesterday, after 10Y yields dropped by over 10 bps intraday, but well..today's Philly Fed Index put an end to such ideas (input costs highest since 1979). FFR futures now price in 2.57% for the end of the year.

GammaLab

The SPX declined by 0.1 percent on Wednesday, with the Communication Services Sector (-4.3%) being the biggest loser after Netflix disappointed yesterday. Overall stocks held up pretty well considering that future markets priced in 10 rate hikes intraday and Putin was launching his new doomsday ICBM , reminding the world that Russia is the top global nuclear...

GammaLab Updated 

Morning. Dealer gamma in the SPX complex got reduced by 499MM to minus 62MM overnight, while the gamma inversion level moved up a notch to 4500 points. Main resistance remains at 4500, support can be identified at 4400. A main factor in the push higher yesterday and overnight was the strong compression of implied volatility, probably due to today's VIX expiry, as...

GammaLab

Quick update: The SPX closed 1.6 percent higher, mainly driven by the growth complex (+1.9%), even though 10 year yields climbed five basis points higher to 2.94 percent. Supportive factors were surprisingly good data points from the housing market , and less hawkish commentary from Evans and Bostic compared to Bullards comments yesterday. Still - future...

GammaLab

Good morning and welcome back to the morning update. Yields continue to inch higher and the 10-year note yields are currently testing 2.9 percent, which is quite a big deal considered that at the beginning of March yields were trading below 1.7 percent. Yesterday James Bullard, who is a FOMC voter said, that he isn't ruling out a 75 bps hike. Also, according to...

GammaLab

The SPX lacked conviction today and closed almost unchanged at 4392 points with energy (+1.5%) being the winner among the main sectors, while health care (-1.1%) the loser. Among single stocks Bank of America gained 3.4 percent after beating estimates, while Charles Schwab dropped 9.4 percent on rather disappointing results. Twitter jumped 7.5 percent after...

GammaLab

Quick intraday update as earlier data issues were fixed sooner than expected. Dealer gamma -520MM, gamma inversion 4500. Main gamma strikes are 4400/4350 amd 4300. Due to the high concentration of negative gamma fast dips toward 4300 are to be expected in general.

GammaLab

FYI: GammaLab will not issue any gamma updates today. Have fun!

GammaLab

For the fourth day in a row, the SPX was not able to escape the gravity of the gamma strike at 4400 and closed 1.2 percent lower, mainly driven by the growth complex (-2.1%) The decline of tech stocks was caused by erratic movements at the long end of the curve (10Y), where yields exploded 14 basis points higher, and killed the only two days old “inflation is...

GammaLab

..narrative survived only two days, as yields are approaching the yearly high again, with a gain of almost 15 basis points. Tech stocks consequently sell off.

GammaLab Updated 

$SPX gamma distribution. Ref price: 4441; dealer gamma -345MM; gamma flip 4520. Please consult the chart above for more info.

GammaLab

The SPX ended up one percent higher today, with growth mega-caps (MGK +1.8%) leading the way, while value (SPYV +0.8%) underperformed significantly. Main factor behind the moves were further declining yields at the long end of the curve (10Y), which came back four basis points today, and compressed by ten basis points since yesterday. While the “peak...

GammaLab

..luck isn’t structural, luck is running out. If you do not have the capacity (who has??) to read Zoltan Pozsar's latest note, just look at the chart above, his conclusions are easy: It was a tremendous amount of luck, not skill, that produced this astonishing run from sub 1K in the SPX to current levels. We are in a secular regime change. Forget everything you...

GammaLab

Good morning. As of 9:00 AM, total dealer gamma is at minus 674MM and gamma now "flips" at 4495. Increased volatility is to be expected below that trigger, while support levels can be identified at 4450/4400/4350 and 4300.

GammaLab

The SPX turned a 1.3 percent intraday-gain into a 0.3 percent loss, after “super-dove” Lael Brainard spooked the markets with her hawkish comments ( “Getting inflation down is going to be our most important task.”, “There’s quite a bit of capacity for labor demand to moderate among businesses by actually reducing job openings without necessitating high levels of...

GammaLab Updated 

Good morning. A massive amount of puts was added yesterday at deep OTM strikes (3600/3800), which shifted the "gamma flip" level down to 4505. Those trades are caught on the wrong foot now due to the release of better than feared inflation data , which causes the market to price out rate path uncertainty. Dealer gamma now -289MM (up from -578MM). Chart below:...