SPX Gamma AM

2022년 4월 12일

Good morning. A massive amount of puts was added yesterday at deep OTM strikes (3600/3800), which shifted the "gamma flip" level down to 4505. Those trades are caught on the wrong foot now due to the release of better than feared inflation data, which causes the market to price out rate path uncertainty. Dealer gamma now -289MM (up from -578MM).

Chart below: Inverted Federal Fund Rate December contract now implies average yield of 2.35% at year end.

2022년 4월 12일

노트

According to Putin the Ukraine has deviated from agreements achieved at talks in Istanbul - this is a reminder, that a major escalation is coming.