Description
⋅ It's not Deja Vu that brings us back here.
It certainly feels like Ground Hog day in the markets every time Jerome Powell speaks.
All the Trend Lines and Moving Averages Converge for the next FOMC meeting.
Bond Bears are calling this latest move in markets as a mistake to price in 2 rate cuts in 2023.
The game has changed in the past year.
In fact, It's no longer a game but a single flat line at 4k
Hedged Equity Funds are positioned with supportive flows.
And S&P Dealer Directional Gamma Exposure remains supportive and consistently positive.
A Pull back overnight in Futures indicates to me that FOMC will be done at around ~3960 ES. At or around the 20D converges with 50D and 200D.
9D VIX has been telling a different story than stocks and this pullback was expected days ago.
- 9D VIX is up 50% in the last 7 days from a Low of 14.82 up to 21.84
- 30D Vix is down 10% in the last 7 days from a High of 21.21 down to 19.19
Naive SPX (total open interest) gamma is 3990 and should be considered a volatility trigger below.
Volatility is expected below 4000 and I'll update if S&P dealer directional gamma exposure goes negative this week.
Comment
⋅ JHQDX is positive gamma above 3930 SPX
Well supplied volatility has me thinking 3930 (zero gamma) could serve as a magnet for FOMC. Comment
⋅ After the last sell off in DXY the greenback is range bound to
High of 102.89
Low of 101.52 Comment
⋅ 3950-3930 SPX should be as low as we go.
Break 3930 will put JHQDX negative and increase volatility
9D volatility is almost at mean. breaking 3930 would send VIX9D to ~30
DXY is selling with stocks and TLT is happily drifting higher.