S&P 500 Gamma AM
As I mentioned in my last update, markets seem to be pretty surprised about PPI inflation, which is in itself "surprising" IMHO.
Dealer are net gamma negative by about 170M, which points to a high-vol environment. Also, from a gamma perspective there is not much support between 4640 our current price and 4450 where -25M gamma notional is located.
Be careful out there.
PS: Interesting read this morning on 0hedge about the striking divergence of top-10 S&P 500 constituents and the bottom 90 percent. It makes me wonder what would happend to the overall index if the top performers like AAPL, TSLA and the like also suddenly wake up to the realization that the Fed put is gone..
Dealer are net gamma negative by about 170M, which points to a high-vol environment. Also, from a gamma perspective there is not much support between 4640 our current price and 4450 where -25M gamma notional is located.
Be careful out there.
PS: Interesting read this morning on 0hedge about the striking divergence of top-10 S&P 500 constituents and the bottom 90 percent. It makes me wonder what would happend to the overall index if the top performers like AAPL, TSLA and the like also suddenly wake up to the realization that the Fed put is gone..
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