S&P 500 Index

SPX Gamma AM

215
Good morning,

the energy situation in Europe continues to be precarious as Germany now faces the danger of getting cut off from Russian gas, while in Asia the Shanghai Composite was able to stabilize after China’s President Xi Jinping made a commitment to boost infrastructure construction in Beijing’s latest bid to rescue economic growth.

Put open interest increased only modestly, but across the board yesterday, while the gamma picture stays largely unchanged relative to our latest “Gamma Wrap”. High volatility should be expected. Dealer gamma -982MM; gamma inversion @ 4475; support 4100/4000.

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