S&P 500 Gamma Update EOD
Today's market action made it clear, that yesterday`s rally was indeed a option flow driven squeeze and had not much credibility to it. Traders dumped what got bid yesterday (growth) and vice versa. Check out the ticker pairs SPYG/SPYV or MGK/RSP for more insightin your favorite charting software (hopefully Tradingview).
The gains in the cyclical sectors, the curve-steepening, and the bullish oi price picture (+2.1%) are suggesting, that growth concerns weren't the driving factor in today's index declines even though the Philly Fed Index for December was disappointing.
Let's talk gamma quickly. Total net gamma notional is 251M and the environment stays constructive above 4640. Tomorrow about 47 percent of net gamma or 114M notional is expiring in the SPX complex alone, and it will be interesting to see how participants commit their capital. Prepare for potentially heavy vol.
See you later!
The gains in the cyclical sectors, the curve-steepening, and the bullish oi price picture (+2.1%) are suggesting, that growth concerns weren't the driving factor in today's index declines even though the Philly Fed Index for December was disappointing.
Let's talk gamma quickly. Total net gamma notional is 251M and the environment stays constructive above 4640. Tomorrow about 47 percent of net gamma or 114M notional is expiring in the SPX complex alone, and it will be interesting to see how participants commit their capital. Prepare for potentially heavy vol.
See you later!
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