SPX Gamma EOD Update
The S&P 500 closed 1.1 percent down at 4568 points on Monday. Most losses accumulated in the overnight session, due to new Covid restrictions in Europe and also worries that Senator Joe Manchin is likely vote No Bidens fiscal measures.
Around noon the picture started to brighten up, since it became increasingly clear, that the US are not going to follow Europe down the road towards lockdowns. During the last minutes the S&P 500 pushed higher due to positive comments from Psaki, who reassured markets that Biden has no intention to lock the country down and futures are continuing the upward motion as we speak.
Total gamma comes in at minus 392M and the gamma inversion level is currently located at 4650 points. Should futures move above 4600 points, market makers would have to further unwind hedging positions (buying back futures), which would boost the market. Keep an eye on that level, as the momentum points in that direction, with volatility coming down und yields moving up.
Tomorrow will not receive much data either. Most prominent data point will be current account balance, but well who really cares about something so deeply macro nowadays..
See you tomorrow!
Around noon the picture started to brighten up, since it became increasingly clear, that the US are not going to follow Europe down the road towards lockdowns. During the last minutes the S&P 500 pushed higher due to positive comments from Psaki, who reassured markets that Biden has no intention to lock the country down and futures are continuing the upward motion as we speak.
Total gamma comes in at minus 392M and the gamma inversion level is currently located at 4650 points. Should futures move above 4600 points, market makers would have to further unwind hedging positions (buying back futures), which would boost the market. Keep an eye on that level, as the momentum points in that direction, with volatility coming down und yields moving up.
Tomorrow will not receive much data either. Most prominent data point will be current account balance, but well who really cares about something so deeply macro nowadays..
See you tomorrow!
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