Futures were pushing through 4300 overnight and thus implied dealer gamma increased by 118MM to -516MM, which should inject some much needed liquidity back into the markets.
The VIX, another measure of liquidity, dropped below 30 points to the lowest level since the end of February.
Future markets meanwhile imply a slightly steeper rate path again, but the probability for a 50 bps hike today remains nil.
looks it is not going to 50bps. but if it is the market will swirl down. is the Russian default factored in the price?
GammaLab
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@golddan, I can't see how an interest payment of a little over 100MM could have a big impact. Also failure to pay would only mean that a 30-day grace period is triggered. It is a non-event.
is the Russian default factored in the price?