The SPX closed 1.8 percent higher in a volatile session. In the morning guidance from Microsoft and oil prices put pressure on, but the market got running again after substantially cooled down factory orders came in for April.
Also, the (notoriously inaccurate) ADP report signaled that only 128K jobs were added to payrolls in May earlier, which reduced some anxieties ahead of tomorrow's NFP print.
However: STIRs did not share the same opinion and closed unchanged in the case of the December contract (green line in chart).
Also rather less compatible with the hope for lower inflation were WTI futures which gained about 2.4 percent, due to an underwhelming OPEC+ increase in production for the coming months.
Yesterday we discussed Jamie Dimon’s apocalyptic vision of a hurricane, and today it was Blackrock’s Larry Fink who appeared on Bloomberg. While his language wasn’t quite as pompous, he nevertheless issued another stark warning about inflation and said that high prices/volatility will stay with us for a couple years.
Gamma Discussion
Total dealer gamma increased by 264MM to -194MM, so today’s rally certainly had distinct characteristics of a gamma squeeze.
For tomorrow’s NFP report of course this means that even a weak number will not induce as much dealer buying as it otherwise would, as we are now much closer to the “gamma flip” level (currently @ 4230), where dealer flows start to become a drag rather than a boost for upward momentum.
At 4200 markets will run into the first major strike with positive gamma attached to it.
As the market approaches this level, dealers will switch to "gamma neutral" and any attempt to move higher will be met by dealer selling futures, so this strike could very well turn out to be a solid resistance, at least initially.
Also, the (notoriously inaccurate) ADP report signaled that only 128K jobs were added to payrolls in May earlier, which reduced some anxieties ahead of tomorrow's NFP print.
However: STIRs did not share the same opinion and closed unchanged in the case of the December contract (green line in chart).
Also rather less compatible with the hope for lower inflation were WTI futures which gained about 2.4 percent, due to an underwhelming OPEC+ increase in production for the coming months.
Yesterday we discussed Jamie Dimon’s apocalyptic vision of a hurricane, and today it was Blackrock’s Larry Fink who appeared on Bloomberg. While his language wasn’t quite as pompous, he nevertheless issued another stark warning about inflation and said that high prices/volatility will stay with us for a couple years.
Gamma Discussion
Total dealer gamma increased by 264MM to -194MM, so today’s rally certainly had distinct characteristics of a gamma squeeze.
For tomorrow’s NFP report of course this means that even a weak number will not induce as much dealer buying as it otherwise would, as we are now much closer to the “gamma flip” level (currently @ 4230), where dealer flows start to become a drag rather than a boost for upward momentum.
At 4200 markets will run into the first major strike with positive gamma attached to it.
As the market approaches this level, dealers will switch to "gamma neutral" and any attempt to move higher will be met by dealer selling futures, so this strike could very well turn out to be a solid resistance, at least initially.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.