SPX Gamma EOD
Investors took some chips of the table today, but the SPX is still up about 4% from Dec 3rd. The market was trading sideways in a 25 point range as largely expected but at around 14:10 vol suddenly spiked and caused the option markets to deleverage rapidly.
It is not entirely obvious what caused the move, but there were some potentially negative headlines popping up around that time: 1) The BoC is apparently concerned that supply disruptions last longer than expected and 2) Israel's defence minister issued hawkish rhetoric against the Iran together with his US counterpart.
Tomorrow investors are facing important inflation data and the Michigan Consumer Sentiment Report which will also provide valuable insights into the inflation dynamics.
From a gamma perspective the market is fragile. Net gamma decreased by hefty 362M to only 18M. Should the SPX fall through 4670, then fast dips towards 4650/4625 are possible. 4700 seems to be a ceiling for now.
It is not entirely obvious what caused the move, but there were some potentially negative headlines popping up around that time: 1) The BoC is apparently concerned that supply disruptions last longer than expected and 2) Israel's defence minister issued hawkish rhetoric against the Iran together with his US counterpart.
Tomorrow investors are facing important inflation data and the Michigan Consumer Sentiment Report which will also provide valuable insights into the inflation dynamics.
From a gamma perspective the market is fragile. Net gamma decreased by hefty 362M to only 18M. Should the SPX fall through 4670, then fast dips towards 4650/4625 are possible. 4700 seems to be a ceiling for now.
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