GammaLab

GammaLab

Good morning. Global markets are up sharply today: Hang Seng +2.7%, Nikkei +2-6%, Euro Stoxx 50 +2.3%, while Bitcoin is back over 30K with a gain of 5.7%. Fundamentally not much has changed, but there are glimmers of hope here and there that cause the extremely overbought markets to rally. For example: 1) Shanghai's vice mayor reportedly said that his city aims...

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The SPX closed 0.1 percent lower above today’s pivot at 3900 points, while implied volatility remained in the range of the new normal and closed down 0.8 points at 31.8 percent. In the late afternoon trade the market recovered most of its losses after comments by San Francisco Fed President Mary Daly , who said that a 75 basis point rate hike is " not a primary...

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..is not quite working out so well as it was supposed to be..

GammaLab

The SPX closed 1.7 percent lower below 3950 points, driven mainly by mega cap growth stocks (Apple -5.2%, Tesla -8,3%), while energy (+1.3% and utilities (+0.7%) were rock solid. Two data points stand out today: 1) CPI increased faster than expected month over month even though the year-over-year numbers showed signs of slowing inflation (with a portion of...

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Good morning, it is all about inflation on this beautiful Wednesday: Overseas, China's CPI increased at its fastest year-over-year pace since November, while Germany's CPI increased at its fastest year-over-year pace since 1974 in the April reading. In the US, CPI inflation surprised to the upside, with a core number of 6.2 percent (0.6% m/m) and a headline...

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The SPX closed 0.3 percent higher at 4001 points, just marginally above the level that seems to decide the fate of the free world. Drivers of today’s price action were growth stocks (+0.9%), while value (-0.3%) underperformed amidst retreating yields (10Y -8.6 bps at 2.993%), which were pressured (among other things) by news that Shanghai was again tightening...

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Tepper is talking up the markets and the S&P 500 future is rising to new session highs as we speak. Nevertheless! New York's Fed President Williams made it very clear, that the Fed's top-priority are the "have-nots", NOT the stock or housing market (a point I am trying to drive home since months now): "High inflation harms those who are most in need. Too...

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The S&P 500 declined 3.2 percent, closing below the 4000 level in a broad-based retreat led by the growth stocks, despite the decline in yields (10Y -4.4 bps). The good: Price action was relatively controlled, with little sign of “panic in the air”. The bad: Prices refused to show effort and use the extremely negative gamma environment to stage a meaningful...

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Good morning. With equity futures, Treasuries, oil prices and even gold futures trading lower, investors are de-risking into cash. The Dollar Index is up 0.2 percent to 103.8, the VIX is up 3.4 points to 33.6 percent. According to Chinese Premier Li Keqiang the employment situation in China is "complicated and grace" due to the lockdowns in several cities ,...

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Unfortunately the assessment was right, and markets performed a spectacular U-turn on Thursday, and reversed the post FOMC gamma squeeze. The SPX was forced 3.6 percent lower, mainly driven by mega cap growth stocks (-5.1%), which were pressured by exploding yields (10Y +15 bps). Bonds in turn were mainly sold due to rising inflation expectations , and the ...

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Floor at 4150/4125/4100. Below, 4000 would start to pull strong. Put option volume high at 3600. Obviously some big investors don't take sub-4000 off the table.

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A: US Senate panel approves the so called "NOPEC" bill. " It shall be illegal and a violation of this Act for any foreign state, or any instrumentality or agent of any foreign state, to act collectively or in combination with any other foreign state, any instrumentality or agent of any other foreign state, or any other person, whether by cartel or any other...

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..Powell said. Well, 10Y yields are moving up explosively and the reason is rising inflation expectations.

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Good morning. Yesterday’s “euphoria” aka the mechanical squeeze higher has subsided, as investors are digesting Powell’s press conference and today’s bleak assessment for the economy coming from the BoE, which can be summarized in one word: “stagflation” (even if the bank refuses this definition). Also not helpful: Bad economic data out of Germany (factory...

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Or better: Who is really getting punished by the sanctions imposed on Russia? If there is a more dramatic picture about the self-destructive effect the measures have, let me know.

GammaLab Updated 

Dealer gamma -837MM; gamma inversion 4415. Overnight put interest increased modestly at 3700 and more so at 3500 and 3400 reflecting an moderate increase in demand for protection. The FOMC decision should theoretically release "directionality". To the downside 4000 should be a solid support, to the upside 4300 and 4200 are in range. Any upside-impulse could...

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..go vertical ahead of the FOMC meeting. US-Natgas with highest level since 2008. Not so "transitory"..

GammaLab

The SPX closed 0.5 percent higher with mega-cap tech stocks underperforming (+0,1%) and an equal-weight basket outperforming (+0.9%). Striking was the fact that investors seem to remain super-calm ahead of tomorrow’s path breaking FOMC decision , as expressed by the VIX which dropped below 30 percent and the Nations Taildex Index ( see chart below ) which...