S&P 500 Gamma EOD Update
The market lost about one percent today and we are back at about the same level shortly before the FOMC statement Wednesday. Interesting enough, that the front end as well as the long end of the yield curve both lost about eight basis points from their post-FOMC highs, which is hard to reconcile with a booming economy, accelerating tapering and a series of yield hikes.
Speaking of yields..the flattening curve was a drag for financial today, while it provided a boost to the growth spectrum relatively speaking. Investors didn't receive any fundamental data today that would justify the low yield environment, but the current Omicron situation seemed to weigh on the market with sporting events continuing to get postponed, President Biden warning of "winter of severe illness and death", and former FDA Commissioner Gottlieb suggesting that businesses in New York might voluntarily close for a few weeks due to surging cases.
Anyways..total net gamma declined today and now registers at -169M notional. The market found support at the 4600 gamma put barrier, but ended well below the gamma inversion level which currently sits at 4655 points. Now that OPEX is behind us, the market should enter a orientation phase, which could be quite volatile we fail to climb above 4655.
Overall market moves are puzzling and erratic at the moment and I would recommend to be very cautious. Apart from the market structure I am hearing that insiders are selling en masse currently. Apparently sales by insiders are up 30 percent from last year to 69 billion, and up 79 percent versus a 10-year average, according to InsiderScore/Verity.
Be safe and see you next week!
Speaking of yields..the flattening curve was a drag for financial today, while it provided a boost to the growth spectrum relatively speaking. Investors didn't receive any fundamental data today that would justify the low yield environment, but the current Omicron situation seemed to weigh on the market with sporting events continuing to get postponed, President Biden warning of "winter of severe illness and death", and former FDA Commissioner Gottlieb suggesting that businesses in New York might voluntarily close for a few weeks due to surging cases.
Anyways..total net gamma declined today and now registers at -169M notional. The market found support at the 4600 gamma put barrier, but ended well below the gamma inversion level which currently sits at 4655 points. Now that OPEX is behind us, the market should enter a orientation phase, which could be quite volatile we fail to climb above 4655.
Overall market moves are puzzling and erratic at the moment and I would recommend to be very cautious. Apart from the market structure I am hearing that insiders are selling en masse currently. Apparently sales by insiders are up 30 percent from last year to 69 billion, and up 79 percent versus a 10-year average, according to InsiderScore/Verity.
Be safe and see you next week!
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