SPX Gamma EOD
The SPX crossed into positive gamma land in the early trade, but was not able to hook on to positive gamma strikes at 4650/4655 and about 45 minutes before noon markets startet to de-risk significantly due to a triple-whammy of negative Fed/Shutdown/Omicron headlines.
At 4550 markets found support at the put barrier, but vol never came down meaningfully to enable the SPX to snap back to a higher level and the downtrend therefore continued into the close. Text-book gamma scenario as largely described yesterday in our EOD warning.
Total gamma collapsed from -454M to -586M and the chart is starting to look downright ugly. Staring down from current levels the SPX faces several negative gamma strike in series all the way down to 4400 where our first major put strike with -49M gamma is located. Another cause of concern is that vol kept exploding into the close up to the 2nd highest level of this year and never showed any signs of weakness.
I will add more color on the mechanics hopefully, later as I need to leave my desk now.
Cheers!
At 4550 markets found support at the put barrier, but vol never came down meaningfully to enable the SPX to snap back to a higher level and the downtrend therefore continued into the close. Text-book gamma scenario as largely described yesterday in our EOD warning.
Total gamma collapsed from -454M to -586M and the chart is starting to look downright ugly. Staring down from current levels the SPX faces several negative gamma strike in series all the way down to 4400 where our first major put strike with -49M gamma is located. Another cause of concern is that vol kept exploding into the close up to the 2nd highest level of this year and never showed any signs of weakness.
I will add more color on the mechanics hopefully, later as I need to leave my desk now.
Cheers!
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