SPX Gamma EOD
Zaktualizowano
The S&P 500 closed one percent higher at a new record high, despite a red hot inflation reading, while the VIX compressed even more and ended the day 2.8 points lower at 18.7 percent.
Let's talk gamma tactics first: Gamma at the 4700 strike increased by over 70M to 90M - this level can now be characterized as a solid support, upon the market could build towards 4725 or 4750 at the most in my opinion.
I personally think markets will trade sideways in a best case scenario early next week, because we have a) the FOMC meeting mid week and nobody wants to be caught on the wrong foot and b) OPEX is coming up next Friday.
As of now about 33 percent of net gamma is about to expire, which will likely release additional volatility going into the week after, so again - no need to be overly euphoric at this point in time.
Regarding inflation: This was one of the days were I felt I am completely out of touch with the markets. It is puzzling to me how a 6.8 percent inflation print can send bonds higher from a already elevated level and send hike expectations lower from a rather low level. What am I missing here? It's pretty obvious to me, that the Fed was completely behind the curve with its "it's just temporary" narrative and that Powell now has no other choice than to step on the brake, or risk a crash down the road.
The Unmich sentiment report was even more interesting than the CPI print in my eyes, because it is adding more qualitative perspective from the grassroot level. According to the report inflation expectations are clearly not anchored anymore and the majority of americans now seem inflation as the biggest threat to the economy while buying conditions for vehicles or large items pretty much imploded to new record lows.
I understand why the market wants to rally into the year end yes, but something is brewing here and participant should not underestimate the risk they are facing.
But well..Cheers and have a nice weekend!
Let's talk gamma tactics first: Gamma at the 4700 strike increased by over 70M to 90M - this level can now be characterized as a solid support, upon the market could build towards 4725 or 4750 at the most in my opinion.
I personally think markets will trade sideways in a best case scenario early next week, because we have a) the FOMC meeting mid week and nobody wants to be caught on the wrong foot and b) OPEX is coming up next Friday.
As of now about 33 percent of net gamma is about to expire, which will likely release additional volatility going into the week after, so again - no need to be overly euphoric at this point in time.
Regarding inflation: This was one of the days were I felt I am completely out of touch with the markets. It is puzzling to me how a 6.8 percent inflation print can send bonds higher from a already elevated level and send hike expectations lower from a rather low level. What am I missing here? It's pretty obvious to me, that the Fed was completely behind the curve with its "it's just temporary" narrative and that Powell now has no other choice than to step on the brake, or risk a crash down the road.
The Unmich sentiment report was even more interesting than the CPI print in my eyes, because it is adding more qualitative perspective from the grassroot level. According to the report inflation expectations are clearly not anchored anymore and the majority of americans now seem inflation as the biggest threat to the economy while buying conditions for vehicles or large items pretty much imploded to new record lows.
I understand why the market wants to rally into the year end yes, but something is brewing here and participant should not underestimate the risk they are facing.
But well..Cheers and have a nice weekend!
Uwaga
Please switch over to the AM update now
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