SPX Gamma Wrap
The SPX turned a 1.3 percent intraday-gain into a 0.3 percent loss, after “super-dove” Lael Brainard spooked the markets with her hawkish comments (“Getting inflation down is going to be our most important task.”, “There’s quite a bit of capacity for labor demand to moderate among businesses by actually reducing job openings without necessitating high levels of layoffs.”).
Earlier in the day, the Consumer Price Index report for March was being construed as a sign of peak inflation and a welcoming excuse to rally. It is questionable however, if a single data point really can meaningfully support the market, just because it wasn’t as bad as expected, when in fact it was rather downright catastrophic.
Geopolitically we might experience the calm before the storm, as Putin made it clear, that talks with Kiev are going nowhere, and that the war will not be stopped until the Russian side succeeds.
Over in western Europe, Germany’s Scholz is getting increasingly isolated, not only from the transatlantic community, but also now from within his own government, as the green members of his cabinet are openly breaking ranks with their demands to supply heavy weapons to Ukraine, and to shut down gas imports.
Market structure:
Dealer gamma decreased by 132MM to -709MM, and it will be interesting to see tomorrow morning, if the put buying we saw yesterday continued today (open interest data gets updated only once a day in the morning), which would add more negative gamma and therefore increase the potential for surging volatility.
Support can be identified at 4350 and 4300.
Earlier in the day, the Consumer Price Index report for March was being construed as a sign of peak inflation and a welcoming excuse to rally. It is questionable however, if a single data point really can meaningfully support the market, just because it wasn’t as bad as expected, when in fact it was rather downright catastrophic.
Geopolitically we might experience the calm before the storm, as Putin made it clear, that talks with Kiev are going nowhere, and that the war will not be stopped until the Russian side succeeds.
Over in western Europe, Germany’s Scholz is getting increasingly isolated, not only from the transatlantic community, but also now from within his own government, as the green members of his cabinet are openly breaking ranks with their demands to supply heavy weapons to Ukraine, and to shut down gas imports.
Market structure:
Dealer gamma decreased by 132MM to -709MM, and it will be interesting to see tomorrow morning, if the put buying we saw yesterday continued today (open interest data gets updated only once a day in the morning), which would add more negative gamma and therefore increase the potential for surging volatility.
Support can be identified at 4350 and 4300.
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