Based on available information "Omrikon" is most likely not as bad as first thought, and maybe even a net positive according to some scientists. While we are no virus experts the picture has obviously changed significantly since last week and forces an early update:
Total gamma now stands at -128M (up from minus 378M) and gamma inversion occurs at 4650 now.
As you might recall from our Friday update, at 4600 we had a major put barrier. Dealers were hedging their exposure at this level by selling futures. The current price action now forces them to buy back futures, and we could therefore easily snap back dynamically into positive gamma territory and aim for 4700/725, where we have our first major positive gamma strikes.
Remember the situation is very fluid and likely to be headline driven over the next hours. Regarding Covid markets unfortunately shoot first and ask questions later. WTI is up 4.9% as we speak.
Total gamma now stands at -128M (up from minus 378M) and gamma inversion occurs at 4650 now.
As you might recall from our Friday update, at 4600 we had a major put barrier. Dealers were hedging their exposure at this level by selling futures. The current price action now forces them to buy back futures, and we could therefore easily snap back dynamically into positive gamma territory and aim for 4700/725, where we have our first major positive gamma strikes.
Remember the situation is very fluid and likely to be headline driven over the next hours. Regarding Covid markets unfortunately shoot first and ask questions later. WTI is up 4.9% as we speak.