GammaLab

GammaLab

The DAX looks sort of shaky being parked just right above the level where gamma inverts. Upside target 16500, small put barrier at 15900.

GammaLab

TSLA looks firm like a rock despite a heavy rotation from growth to value. Total gamma increased 17M to 107M notional which points to muted volatility ahead (bullish). At 1200 we have 12M gamma notional sitting, which act as a resistance initially and as a supportive launch pad if we break above. Below 1150 TSLA finds support at 1100.

GammaLab Updated 

For more background info on the auction see chart. Demand evaporated during auction as implied by When-Issued. Note we have a 5Y auction coming up in half an hour.

GammaLab Updated 

Quick intraday note given the explosive gamma dynamics. We reached our targets sooner than expected and investors are rolling their strikes higher. New pivot is 4725 with 49M gamma notional (up from 43M yesterday), upside target is 4750 with 85M gamma notional (up from 70M). Our old pivot at 4700 (41M gamma notional) acts as our range bottom now.

GammaLab Updated 

Tesla looks constructive and seems on the way to 1200 where 10M gamma notional is located. Total gamma decreased by 22M to 90M, which is still solid given that last week we were still deep in the red. At 1045 we have a put support, at 980 gamma would invert, but this scenario seems not plausible.

GammaLab Updated 

OPEX on Friday was uneventful, the market still sticked to its pin at 4700. Total gamma decreased 158M to 520M, gamma inversion occurs at 4630. Remember: Below that level "anything goes" regarding vol. Note that there are no significant gamma markers between 4700 and 4630 that could support the market. Yes, the market seems boring, but as David Salomon said...

GammaLab

Powell is the old and new king and markets now increasingly price in a rate hike for June (see Chart). Enjoy the year end rally, but brace for a potentially high vol environment next year.

GammaLab

Total gamma 14M; gamma inversion 15980; upside targets 16500/16600/16740; put barriers 15500/15200/15000. Have fun!

GammaLab

NDX gamma notional sits at 12.2M total, gamma would turn negative under 16050. Strike with highest gamma is 16500, above that we have 0.5M located at 16525 and 0.6M at 16550. Upside target is 16850-16900 where 1.3M gamma notional is waiting to get hedged.

GammaLab

While the VIX is pretty cheap, it's bond equivalent MOVE is moving upwards. To break down the mechanic I calculate the VIX/MOVE ratio (see chart) which is trending down since September. What is behind the divergence? Bond yields can be deconstructed into three components: Expected inflation, the expected future path of real short-term interest rates, and a term...

GammaLab

Please check out my quick intraday update with the definitive intraday gamma levels attached. So far vol is not through the roof, even though it has picked up a little. 4700 is still the active pin. Wish everybody a nice weekend!

GammaLab

Going into OPEX Friday main pivot remains at 1100. Upside target is at 1200, gamma inversion at 1020 surrounded by two put barriers at 1045 and 1000, which add support. A whooping 43% (48M) of our total gamma of 112M is expiring tomorrow, mostly around the 1100 strike. What does that mean? If gamma evaporates dealers have less hedging to do and therefore do not...

GammaLab

Tomorrow 200M gamma notional is expiring in the SPX option complex, which represents about 30% of total gamma (678M). Most of the expiring gamma is located at the 4725 strike (84M), followed by 4720 (48M) and 4715 (22M). As of now we do not know if that junk is getting rolled higher or lower, but in general we can assume less gamma which equals more volatility....

GammaLab

Last intraday update. Gamma levels prove more or less stable. Gamma inversion now -10 at 1020. I attached a chart with the net gamma positions per strike.

GammaLab

Some notable observations. First: As projected yesterday we keep bouncing around 1100 where massive amounts of dealer gamma is located (talk about liquidity). Second: Gamma at 1200 decreased slightly and a new put wall was established at 1000 with a concentration of minus 8.5M of gamma notional. Interestingly the level at which gamma inversion occurs jumped from...

GammaLab

DAX still trapped in that widening high liquidity are between 16200 and 16450 where 50M gamma notional is located. Upside targets at 16500, 16600 and 16750. Total gamma increased from 70M to 93M today. 50M of gamma expiring Friday. Brace for some volatility.

GammaLab

Todays price action demonstrated the power of "the gamma". From 1045 we bounced to 1095 where dealer liquidity hit the markets and pinned the price to this level. If we can escape the gravity of 21M gamma notional we can now launch upwards to 1200 where 10M gamma notional acts as a magnet. To the downside we have 1050 as resistance. Gamma inversion occurs at 990....

GammaLab

4700 remains pivotal, lots of positive gamma now at 4725, 4750, 4800. Below 4700 we are sporting only a minor put barrier at 4680. Gamma inversion at 4580. Remember Friday is OPEX. As of now we have 210M gamma notional expiring.