GammaLab

GammaLab

Bullard was moving the market today. We think this could trigger a resolve to bring rates/equities back in line again.

GammaLab

Good chance that the market adjusts lower now, given the rise in the implied terminal rate.

GammaLab

$SPX dealer gamma 400M, GFLIP 4170. Support 4250/4200, resistance 4300. Tailwind: Price agnostic demand (see Dashboard), Headwind: China, Empire State. Fed Funds relatively little changed as financial conditions are already (way) too loose (see Wrap). PS: Will no longer provide updates on TV on a regular basis, but rather only here and there, apologies.

GammaLab

See chart above for prominent Gamma/CTA triggers ahead of CPIs late Tues (China) /early Wed (Germany & US).

GammaLab

The SPX traded in a fairly narrow range today as market participants are awaiting the July jobs report tomorrow, and closed almost unchanged close to the gamma pin at 4150. The BoE raised its key policy rate by 50 basis points to 1.75% and is now the first major central bank forecasting a recession starting in the fourth quarter and continuing for five quarters....

GammaLab

The SPX closed 1.4% higher today, boosted by mega cap growth stocks (MGK +2.7%), which benefited from retreating yields/oil prices and thus easing rate hike expectations in the afternoon. Initially though rate hike expectations tightened significantly, as Bullard and Daly tried to correct the market’s wrong assumption of a fast pivot via verbal intervention, but...

GammaLab

The SPX closed 0.7% lower on Tuesday in a session that was dominated by two main themes: 1) Pelosi visiting Taiwan, and 2) hawkish commentary from several Fed officials. Markets initially moved higher as Pelosi safely touched down in Taipei, but China is likely playing the long game from here and will slowly dial up the pressure in the coming days, via military...

GammaLab

The SPX ended the session 0.3% lower, overshadowed by hawkish commentary from Fed officials who started to walk back exuberant hopes of a more dovish central bank and media reports, according to which House Speaker Pelosi would visit Taiwan despite warnings from China . Gamma discussion: Dealer gamma (132M) remained positive, which speaks for reduced...

GammaLab

The SPX rallied 1.4% on Friday and closed on the highest level since early June, while 10-year yields fell to the lowest level since April,22. Recap: It all started Tuesday, when the market popped higher after the close on Microsoft earnings. Powell then produced a second leg higher with his remarks that interest rates have reached a neutral level – an idea that...

GammaLab

The SPX closed 1.2% higher on hopes that bad news (GDP) are finally good news again as expressed by the Fed Funds Futures complex that further priced out a lot of rate hike angst. After the close positive earnings from Amazon and Apple pushed the index even higher into the gamma call wall at 4100, which will act as a pin until net gamma of about 42M will expire...

GammaLab

Recap: The SPX closed 1.2% lower on Tuesday, but was able to recover some of its losses in the after market, after Alphabet reported mixed Q2 results that were interpreted as overall positive. Today’s economic data came in below expectations and exacerbated existing growth concerns and worries about the Fed’s rate hikes leading to a possible recession. On the...

GammaLab

Recap: The SPX closed 0.1 percent higher, supported by value stocks (+0.6%), while the mega cap growth complex was a headwind (MGK -0.6%). After the close Walmart cut its EPS guidance and now sees EPS declining by 8-9% YoY in the second quarter and by 11-13% for FY23 (prior guidance -1% YoY). Market participants had no interest to take on more risk ahead of a...

GammaLab

Global growth concerns are accelerating The SPX closed 0.9% lower on global growth concerns due to preliminary PMI data from Japan, Australia, France, and Germany that all showed weaker-than-expected results for July and a US Service PMI that dropped to 47.0 from 52.7 previously. Some color on the US purchasing manager report from S&P Chief Business Economist...

GammaLab

Fed Fund Futures exploding higher -> major dovish signal (higher price = less hikes).

GammaLab

Market makers are on the long gamma side again, which will add much needed liquidity. Next week will be pivotal with GOOG/MSFT and FOMC. Green horizontal lines = long gamma strikes.

GammaLab

Please consult the chart above to get an idea of the current gamma situation as we move into Thursday's session which will include the ECB Statement. Dealer gamma is roughly balanced.

GammaLab

The SPX closed 2.8 percent higher on the last day to trade expiring VIX options. If there was anything unusual about the behaviour of iV, then that the VIX was unusually "expensive" relative to historical correlations with the SPX ( see chart below ). bucket.mlcdn.com Fundamental data was mixed with Housing Starts below, and Building Permits above the Wall...

GammaLab

The SPX tried to build on Friday’s gains, but turned south at the 3900 mark, after a sobering NAHB Housing Market Index, which dropped sharply lower by 12 points, took the steam out of the positive sentiment. (From a gamma standpoint there is nothing special about the 3900 strike, as both call and put positions net each other out, but the 50-Day Average is...