SPX Gamma EOD
From a gamma perspective the market can be still characterized as unstable but net gamma improved +117M to -470M compared to a day ago. In some sense we are still deeper in negative gamma land however, since the gamma inversion level moved up 40 points to 4670.
Yes, the SPX was able to improve 1.4% today, but the market failed to break through the resistance at 4600 and vol stayed elevated, while yields were largely unchanged.
Supportive factors included 1) a bargain-hunting mindset amid an increasing number of stocks trading near 52-week lows, 2) a view that the Omicron variant might not be as bad as feared after the second reported case in the U.S. produced mild symptoms in a vaccinated person like the first case, and 3) a recognition that the S&P 500 reclaimed its 50-day moving average (4543).
Cheers!
Yes, the SPX was able to improve 1.4% today, but the market failed to break through the resistance at 4600 and vol stayed elevated, while yields were largely unchanged.
Supportive factors included 1) a bargain-hunting mindset amid an increasing number of stocks trading near 52-week lows, 2) a view that the Omicron variant might not be as bad as feared after the second reported case in the U.S. produced mild symptoms in a vaccinated person like the first case, and 3) a recognition that the S&P 500 reclaimed its 50-day moving average (4543).
Cheers!
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