S&P 500 Gamma Update EOD
Mis à jour
Crazy times. In the morning traders were circulating a very hawkish piece from uber-dive Kocherlakota and preparing for a major taper tantrum, but after all was said and done, dips were bought especially in the mega-cap/growth spectrum and the S&P 500 closed 1.6 percent higher.
The FOMC statement itself was very hawkish as expected and send yields on a explosive ride higher, but as soon as Powell stepped in front of the mic they came back down fast and the stock markets exploded higher.
Gamma flipped rapidly from negative 210M yesterday to 557M today after the close, which represents the highest level since 24th of November and the market now sits on a very well supported level.
Friday we have 38 percent of net gamma expiring in the SPX options complex and we will see if this rally is really sustainable, or if the main driver were unwinding hedge positions. Remember: If a trader buys a put protection, the option dealer is long and needs to sell futures to get market neutral. If those puts lose value quickly because of rising prices and decreasing volatility, option dealers have to buy back futures fast, as it happened today.
Good luck tomorrow!
The FOMC statement itself was very hawkish as expected and send yields on a explosive ride higher, but as soon as Powell stepped in front of the mic they came back down fast and the stock markets exploded higher.
Gamma flipped rapidly from negative 210M yesterday to 557M today after the close, which represents the highest level since 24th of November and the market now sits on a very well supported level.
Friday we have 38 percent of net gamma expiring in the SPX options complex and we will see if this rally is really sustainable, or if the main driver were unwinding hedge positions. Remember: If a trader buys a put protection, the option dealer is long and needs to sell futures to get market neutral. If those puts lose value quickly because of rising prices and decreasing volatility, option dealers have to buy back futures fast, as it happened today.
Good luck tomorrow!
Note
Thursday 12:55: We break the good support at 4700. Weak signal.
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