GammaLab

GammaLab Updated 

Good morning. Investors increased put positioning at lower strikes as recession in 2023 about to become the new base case. Crucial question: How will the Fed react in the wake of an ongoing energy crisis? CB Consumer Confidence next.

GammaLab

The SPX closed down 0.3 percent, but was able to defend the support level at 3900. The index was pressured by mega caps, which took a breather after last week’s eight percent rally and closed down about one percent as expressed by the Vanguard Mega Cap Growth ETF. Yields continued to drift higher (10Y + 7.1 bps, 02Y +6.6 bps), boosted by crude oil (+2.2%) and...

GammaLab

Good morning. Dealer gamma -319MM; gamma flip 4055; Light resistance/target at 4000, support at 3900. S&P no sees low growth recession in 2023 and rising risk of technical recession - the consensus is slowly shifting.

GammaLab

The SPX (+3.4%) opened higher on Friday and quickly gained momentum before trading in a narrow range until the session and then jumped over 3900 points. Investors rejoiced over today’s economic data as it signaled that inflation could be peaking (average house prices declined MoM and inflation expectations declined on a 5-10 year horizon declined from 3.3 to 3.1...

GammaLab

The SPX failed the second day in a row to climb above 3800 on Thursday, but managed to close one percent higher at 3796 points. Macro was bad, with global PMIs disappointing, euro banks crashing (Deutsche -12%, Commerzbank -12%) across the board, copper imploding to the lowest level since February 2021 (-5.2%) and bond yields extending their declines (the yield...

GammaLab

Chart depicts DB stock price vs german-italien yield spread. The bank is a very troubled institution and maybe the institute with the highest systemic risk worldwide. The fate of the bank is directly connected to the fate of the Eurozone, where spreads are blowing out and inflation is about to skyrocket, if Russia does not turn on gas flows after routine...

GammaLab

Deutsche Bank trading 11 percent lower, yet VIX is still at sub 30 levels. This will he a hard position to defend once Powell is done IMHO.

GammaLab

Open interest remains largely unchanged as fresh data is showing, while investors continue to have very little appetite for downside protection - especially black swan hedging is not en vogue (hopefully this will not turn out to be a mistake). The situation in a nutshell: PMIs are "crashing" globally and rate hike expectations are being dialed down significantly...

GammaLab

The SPX recovered from an early decline on Wednesday and ended the day with a marginal loss of 0.1 percent. Growth (unchanged) was outperforming value (-0.3%) the third session in a row, while energy (-4%) was the laggard among sectors. The yield on 10-year Treasury Notes declined 13 basis points, while the yield on 2-year papers declined 15 basis points, which...

GammaLab

The S&P 500 closed 2.5 percent higher on Tuesday, driven by growth in general (+2.4%) and mega-cap growth stocks (+2.6%) in particular, while value stocks (+1.6%) were underperforming. The best performing sector was the energy complex with a gain of 4 percent, after a Credit Suisse upgrade of Exxon Mobil (+6.2%) to Outperform bolstered the sector’s...

GammaLab

The awaited post-OPEX squeeze is here. I copy and past from the NL. Biggest unreported story: USD/JPY - I recommend to take a look at that chart. The S&P 500 future is trading 1.4 percent above fair value. Market participants appear to be looking through a whole bunch of negative headline developments, like new reports of an increase in Covid cases in Shenzhen...

GammaLab

The SPX was not able to stage a meaningful rally based of his post-FOMC gains and lost 3.3 percent today in a slow and steady decline with vol behaving relatively nicely. The stage was set before today's open with several central banks announcing a shift to more aggressive policies: The Swiss National Bank announced a surprise rate hike of 50 basis points,...

GammaLab

The idea of a pre-OPEX rally was trash and the SNB hike was too much of a black swan for markets to handle. Also US data is looking awful and Russia is stepping up his energy game, which will only mean one thing: Energy inflation will continue to rise faster. At 3550 dealers would start buying back futures, but that is a cold comfort. Nobody wants to go...

GammaLab

The SPX gained 1.5 percent on Wednesday, driven by a very predictable Fed that delivered perfectly in line. The key moment in the press conference was Powell's statement, that he doesn't expect moves of today's size to be common, which send the index above 3800 points. Overall the scenario played out as we envisioned in our last newsletters and it's time to look...

GammaLab

Hello there. Not much happening ahead of the Fed. Check out the updated levels and read the latest Market Wrap for more guidance. Good luck trading the FOMC in a bit!

GammaLab

The SPX closed 0.4 percent lower on Tuesday ahead of the important FOMC decision tomorrow. In our Morning Briefing we highlighted that the Bank of Japan was able to get JGB yields back under control, but in Europe spreads between German and peripheral debt continue to widen. Eventually the ECB will be forced to act in that regard and Isabel Schnabel from the...

GammaLab

Good morning. The BoJ was able to get yields back under control, while in Europe spreads continue to widen and the explosive rise of yields over in the US seems to be contained for now. Gamma: Put OI increased at lower strikes as one would expect, and the monster strike at 3700 remains a solid support. Good luck!

GammaLab

We were predicting a wild week ahead on Friday but the reality is, that we had of course no clue how bad it was going to get. The world is on fire and the hits are starting to come at all angles it seems. Let’s start the recap in the far east: The Bank of Japan is apparently in great danger to lose control over its yield target for long-term bonds, and has to...