SPX Gamma AM
Good morning!
Over in Asia the Nikkei is up 0.4 percent and the Hang Seng gained 3.3 percentage points amid lockdown optimism in Shanghai and the hope that the Chinese government could ease the clampdown on tech stocks.
Over in Europe the Euro Stoxx 50 is up 1.5 percent currently, supported by preliminary GDP figures that signaled an economy that grew stronger than expected in the first quarter (+0.3% q/q, 5.1% y/y).
In the US the S&P 500 future is up 1.6 percent at 4065 points currently, while Bullard is speaking, but his comments do not result in much impulse. Later more CB speak is coming from Harker, Lagarde (13:00), Powell (14:00) and Mester, which could spark some trading action.
Just in: Retail sales in the are by and large in-line with the previous month revised up sharply, which caused 10Y yields to pop to new highs (+5.6 bps at 2.935%).
Gamma discussion:
Yesterday's trade saw high activity at 3500/3600 and that’s where open interest increased as fresh OI data illustrates.
A range bound scenario with the SPX trading between 4000 and 4100 is still probable. Below 4000 additional support is found at 3950/3900, above 4100 plenty of upside exists all the way to 4200.
The VIX is still “too low” relative to what correlations would suggest, and this could limit further downside for implied volatility and therefore upside for the SPX. Also put accumulation at lower strikes is creating a drag on prices. Fast drops due to the extreme gamma environment are always on the table.
The key metrics at a glance: Dealer gamma -805MM; gamma inversion 4300; pivot/resistance 4000; target 4100.
Good luck for today’s trading session.
Over in Asia the Nikkei is up 0.4 percent and the Hang Seng gained 3.3 percentage points amid lockdown optimism in Shanghai and the hope that the Chinese government could ease the clampdown on tech stocks.
Over in Europe the Euro Stoxx 50 is up 1.5 percent currently, supported by preliminary GDP figures that signaled an economy that grew stronger than expected in the first quarter (+0.3% q/q, 5.1% y/y).
In the US the S&P 500 future is up 1.6 percent at 4065 points currently, while Bullard is speaking, but his comments do not result in much impulse. Later more CB speak is coming from Harker, Lagarde (13:00), Powell (14:00) and Mester, which could spark some trading action.
Just in: Retail sales in the are by and large in-line with the previous month revised up sharply, which caused 10Y yields to pop to new highs (+5.6 bps at 2.935%).
Gamma discussion:
Yesterday's trade saw high activity at 3500/3600 and that’s where open interest increased as fresh OI data illustrates.
A range bound scenario with the SPX trading between 4000 and 4100 is still probable. Below 4000 additional support is found at 3950/3900, above 4100 plenty of upside exists all the way to 4200.
The VIX is still “too low” relative to what correlations would suggest, and this could limit further downside for implied volatility and therefore upside for the SPX. Also put accumulation at lower strikes is creating a drag on prices. Fast drops due to the extreme gamma environment are always on the table.
The key metrics at a glance: Dealer gamma -805MM; gamma inversion 4300; pivot/resistance 4000; target 4100.
Good luck for today’s trading session.
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