GammaLab

GammaLab

Dealer gamma improves to -262M on Monday. Support 3800, resistance 3950. A couple of minor option expiries starting tomorrow and the expiration of VIX options on Wednesday should provide some tailwind. Extended rallies should be capped by the Nord Stream 1 decision on July 22 and next weeks FOMC meeting.

GammaLab

The SPX opened with a gap down and moved lower due to weaker than expected earnings from JPMorgan and Morgan Stanley, as well as a hotter than expected PPI. Two hours before noon the index was able to stage a reversal after the Fed Gouverneur Waller and then also Bullard said that they are supporting a 75 basis point hike and markets started to price out the...

GammaLab

Recession has arrived, but pundits still try to put lipstick on it ("Yay, the US has the cleanest dirty sheet!"), while BofA slashes SPX target to 3600 today and sees a possible floor at 3000-3200, pointing to the stark divergence between MOVE and VIX (thanks for waking up to that very obvious fact). SPX dealer gamma -929M. 3700 is a monster gamma strike with...

GammaLab

The SPX closed 0.5 percent lower on Wednesday after some wild swings, caused by a record inflation print of 9.1 percent (last 8.6%) for the month of June. Initially the index dropped all the way to 3750 after the release, but was able to recover after the typically "well informed" Wall Street Journal took away some of the "100 basis points angst". Rate hike odds...

GammaLab

The SPX closed 0.9% lower on Tuesday as there was little risk appetite ahead of the pathbreaking CPI on Wednesday, a crashing German ZEW Index and a collapsing energy complex (WTI -7.6%) due to recession concerns. There is a sense in the air that the world is falling apart right in front of the markets eyes, but still - put volume fell through a floor today ( see...

GammaLab

The SPX closed 1.1% down in an uneventful session, as the OPEX-induced momentum is slowly waning ahead of some possibly very consequential data points ahead, starting with the CPI print on Wednesday. Current consensus calls for a 8.8 percent increase in June year over year, after 8.6 percent previously, but UBS thinks a 9.0 (!) percent print is likely - a number...

GammaLab

The SPX opened lower on the heels of the hotter-than-expected June jobs and closed 0.1% lower after a choppy trade. The employment situation report for June was a blow to the hope of a more dovish Fed and send rate hike expectations soaring, even though the details were less positive: June marked the third month with downward revisions and the household survey...

GammaLab

The SPX was building on its momentum on Thursday and closed 1.5 percent higher at 3902.6 points, driven by growth stocks (+2%) and growth sensitive the semiconductor complex (SOX +4.5%). While stocks and commodities (copper +3.5%, Bloomberg Commodity Index +4%) bounced back from their recent sell-off the yield curve (2s10s) stayed inverted (albeit barely so). In...

GammaLab

Good morning. Layoffs/Initial Claims on the rise in the US, natgas/electricity futures on record-high levels in Europe - still: stock markets are up, VIX/VVIX/SKEW are down, and everything looks fine. Dealer gamma -386M, gamma flip @ 3990.

GammaLab

..if electricity prices are not coming down quickly. Reminder: In August the EU is banning russian coal imports, at the end of the year the country's last nuclear plants shut down.

GammaLab

The SPX was moving sideways in a choppy trade for most of the day until the index popped higher after the release of the FOMC Minutes and closed 0.5 percent higher. The minutes did not contain any major surprise, but were viewed as relatively hawkish, as short-term interest rate futures dropped lower in the wake of the release, which is implying a steeper rate...

GammaLab

The SPX closed 0.2 percent higher after a V-shaped intraday recovery. While the sell-off was dominated by growth concerns the reversal was based on the same idea, but with the connotation of bad-news-is-good-news, as rate hike expectations came back significantly ( see chart below ). Recession fears were also expressed by rates (10-year yields closed about...

GammaLab

Good morning! Inflation in Asia is soaring and the tragic energy crisis in Europe is becoming more visible to american markets. In the SPX option complex gamma imbalance is widening, but mainly due to price and VIX factors, not positioning (big investors still only moderately hedged). This increases the risk of another leg lower, and focus will now be on the...

GammaLab

The SPX closed one percent lower on Thursday and below the critical level of 3800. The risk-off sentiment was clearly driven by growth concerns. Some factors: RH (see yesterday’s newsletter) Weaker than expected Manufacturing PMI in China Weak industrial production Japan Bitcoin down over 6 percent Energy crisis Europe/Germany Personal spending declined...

GammaLab

The SPX (-0.1%) traded sideways in a very choppy fashion and closed only marginally lower, just above the main support level at 3800 points. Without the support of mega-cap growth stocks (MGK +0.3%) the situation would look different though, as an equal weighted basket of S&P 500 stocks traded 0.6 percent lower, which would imply a sub 3800 SPX level. The...

GammaLab

..in Germany. Uniper collapses after market. Company is in talks with the German government about liquidity measures.

GammaLab

..bond complex is collapsing to levels almost comparable to the euro crisis now.

GammaLab

The SPX opened higher, but a weak Consumer Confidence Index ruined the rally efforts quickly and send stocks lower. According to the Conference Board, the benchmark index dropped to 98.7 points and now stands at its lowest level since February 2021. The Expectations Index based on consumers’ short-term outlook for income, business, and labor market conditions,...