SPX Gamma AM
Good morning.
Equity indices in Asia ended the trade on Wednesday on a mixed note (Nikkei -0.3%, Hang Seng +0.3%, Shanghai +1.2%), while the Euro Stoxx 50 is down 0.8% in-line with the SPX future (-0.7%).
Data:
- In Japan the Leading Index declined by 20 basis points to 0.7 percent.
- In Germany Q2 GDP came in as expected (+0.2% q/q), while in France consumer sentiment came in slightly below (87 vs 89).
- In the US Core durable goods orders are disappointing in April with a growth of only 0.3 percent (expectations 0.6%, previously 1.1%).
Geopolitics:
Even western officials admit that Russia is now making good progress in the eastern part of Ukraine, while North Korea fired three ballistic missiles in the last days, including a possible ICBM. Meanwhile the US is trying to push Russia to a default by midnight, by not extending its license to pay american bondholders. It is very unclear if a) Russia really “defaults”, as only american investors are affected and b) if this measure can have any consequences as the case can be made that the US “defaulted” months ago relative to Russia without any negative consequences for Moscow.
In general buyers continue to lack much conviction as growth concerns persist, as underscored today by Dick's Sporting Goods after the company issued an FY23 EPS outlook that is well below expectations.
Investors will receive more qualitative insight on domestic growth conditions when the minutes from that meeting are released today at 2:00 PM.
Gamma:
Implied dealer gamma declines slightly by 21MM to -865MM (SPX reference price 3921). Gamma "flips" at 4250 (unchanged d/d).
Option positioning didn’t change much yesterday, as today's fresh batch of open interest data shows.
We continue to see risk tilted to the downside as the market remains in a very fragile short gamma environment and all efforts to move back above the key level at 4000 failed so far. Also, implied volatility remains unusually "cheap", which removes the potential for supportive Vanna flows.
Equity indices in Asia ended the trade on Wednesday on a mixed note (Nikkei -0.3%, Hang Seng +0.3%, Shanghai +1.2%), while the Euro Stoxx 50 is down 0.8% in-line with the SPX future (-0.7%).
Data:
- In Japan the Leading Index declined by 20 basis points to 0.7 percent.
- In Germany Q2 GDP came in as expected (+0.2% q/q), while in France consumer sentiment came in slightly below (87 vs 89).
- In the US Core durable goods orders are disappointing in April with a growth of only 0.3 percent (expectations 0.6%, previously 1.1%).
Geopolitics:
Even western officials admit that Russia is now making good progress in the eastern part of Ukraine, while North Korea fired three ballistic missiles in the last days, including a possible ICBM. Meanwhile the US is trying to push Russia to a default by midnight, by not extending its license to pay american bondholders. It is very unclear if a) Russia really “defaults”, as only american investors are affected and b) if this measure can have any consequences as the case can be made that the US “defaulted” months ago relative to Russia without any negative consequences for Moscow.
In general buyers continue to lack much conviction as growth concerns persist, as underscored today by Dick's Sporting Goods after the company issued an FY23 EPS outlook that is well below expectations.
Investors will receive more qualitative insight on domestic growth conditions when the minutes from that meeting are released today at 2:00 PM.
Gamma:
Implied dealer gamma declines slightly by 21MM to -865MM (SPX reference price 3921). Gamma "flips" at 4250 (unchanged d/d).
Option positioning didn’t change much yesterday, as today's fresh batch of open interest data shows.
We continue to see risk tilted to the downside as the market remains in a very fragile short gamma environment and all efforts to move back above the key level at 4000 failed so far. Also, implied volatility remains unusually "cheap", which removes the potential for supportive Vanna flows.
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