This doesn't look good and I am hesitant to pull the trigger on this chart. Total gamma imploded by 472M (d/d) to -454M notional and traders added over minus 7M gamma at the 4400 strike.
From a gamma standpoint the market failed to find support at the 4600 strike and ended the day on a very weak note. If the sentiment does not change overnight there is a non-marginal risk that the SPX trades towards 4400 tomorrow which would equal a 3.6% drop.
The day started on the wrong foot with the CEO of Moderna sounding quite pessimistic about Omicron, but the real shocker was Powell doing a 180 on inflation and kissed the term "transitory" good bye. As you might recall we speculated, that the new variant could be a net positive for markets, if it means that a rate hike/end of tapering gets pushed out more towards the end of next year, but that goldilocks scenario is certainly gone..now what?
Markets now need to price in slower than expected growth/new virus risks and at the same time a significantly more hawkish Fed. Good luck with that, especially considered the lofty valuations. I will post a more granular view of the gamma situation later and provide more updates tomorrow morning. It certainly gets interesting.
From a gamma standpoint the market failed to find support at the 4600 strike and ended the day on a very weak note. If the sentiment does not change overnight there is a non-marginal risk that the SPX trades towards 4400 tomorrow which would equal a 3.6% drop.
The day started on the wrong foot with the CEO of Moderna sounding quite pessimistic about Omicron, but the real shocker was Powell doing a 180 on inflation and kissed the term "transitory" good bye. As you might recall we speculated, that the new variant could be a net positive for markets, if it means that a rate hike/end of tapering gets pushed out more towards the end of next year, but that goldilocks scenario is certainly gone..now what?
Markets now need to price in slower than expected growth/new virus risks and at the same time a significantly more hawkish Fed. Good luck with that, especially considered the lofty valuations. I will post a more granular view of the gamma situation later and provide more updates tomorrow morning. It certainly gets interesting.