GammaLab

GammaLab Updated 

Story of the day was TSLA another stock heavily influenced by gamma hedging, which dragged SPX lower. Downside was limited by the "gamma magnet" at 4700 and all else equal we should trade between 4650 and 4700 tomorrow. Call/put gamma ratio decreased to 1.47 from 1.66. Coming from 2.07 (Nov 4th) that is a rather bearish signal. Good luck tomorrow!

GammaLab

US-Senator Manchin just said minutes ago that we can not longer ignore the economic pain of inflation and todays print was another reminder that "team transitory's" credibility is eroding fast. But well, what do the markets think the Fed will do? I took the Federal Funds Future for June (the date at which a majority of market participants see the first rate...

GammaLab Updated 

We are in negative gamma territory, so expect violent price action in both directions. Downside should be limited to 1000-1200 due to two massive put walls. Above 1098.5 vola diminishes and we could establish a sustainable upswing.

GammaLab Updated 

Travel soccer took a toll and I was not able to post gamma updates Monday. 4700 is again the level with the highest concentration of gamma. More positive gamma = more anti-cyclical dealer hedging (buying into weakness, selling into strength), so prices should be sticky around this level and volatility low. Next target would be 4750. Interestingly call/put gamma...

GammaLab Updated 

Total Gamma increased by 95.7M today to 1047.8M. That means option dealers have to do lots of anticyclical hedging, which will decrease volatility and boost markets. Gamma at 4700 increased to 164.6M -> this is a potent magnet now that tries to pull markets higher. Ask away in the comment sections if you have any questions!

GammaLab

Do I like this level, do I like this market? Well from a gamma perspective those questions are irrelevant, we have a bullish setup now that the tapering is baked in - funny isn't it? Call barrier is now at 4700 which acts as our new target. Call/put gamma ratio is at very bullish levels and total gamma increased by over 300M to about 950M.

GammaLab

Things are getting interesting tomorrow! We should trade most of the day between 4605 and 4655. FOMC inducted vola could expand range to 4550 and 4705. For clearer understanding I added a box in different shades. Should markets implode in a catastrophic fashion, then 4505 must hold, or all hell is loose. Good luck.

GammaLab

With only 25 points todays range was the tightest since over a week and 4605 continues to be the pivot level. The next big resistance is less than 50 points away at 4650, so upside is very limited. Absent a black swan event there is no volatility to be expected before Wednesday, when a bunch of data and FOMC statement is coming in.

GammaLab

See attached chart. Due to Halloween Im not able to discuss. I'll follow through Monday. Cheers!

GammaLab Updated 

SPX closed Thursday near major resistance backed by 123.7M gamma notional @ 4605/4610, 4560 remains pivot. Notable change: Gamma flip level (the danger zone) moved up 25 points to 4492.5 points. Should we break below this level expect increased volatility. In general: 186.1M in gamma notional is expiring tomorrow which could mess up support/resistance levels and...

GammaLab

Range was tight as expected and should remains so into the weekend from a gamma standpoint. Good resistance @4065/4610 and support @4510/405. 4560 is pivot. Lots of datapoints getting published tomorrow though, which could spark some volatility. Also lots of large caps reporting. Shell, Comcast, Amazon, Apple. Also check out my real-time news channel: www.tradingview.com

GammaLab

Bulls tried to break through massive call barrier between 1025 and 1050 and almost succeeded, but are now being trapped there. Overall net gamma in this zone came down significantly from about 40M to 24.8M.

GammaLab Updated 

Risky setup IMHO. Call barrier between 1025 & 1050 hard to conquer. Weak support. Under 856 everything is possible. Again: 30M Gamma is expiring Friday. Total gamma is 148.6M, so that is a significant junk of 20%.

GammaLab

Cowen on Crude: "We forecast a 1.8MM bbl crude build, in-line with API and seasonal historical levels. Imports could increase 0.4MM bpd w/w while exports fall 0.4MM bpd. We estimate that refinery throughput will increase 0.1MM bpd w/w. The production adjustment could fall 0.1MM bpd w/w." On Gasoline: "We forecast a 3.9MM bbl gasoline draw compared to API's 0.5MM...

GammaLab

Lots of gamma @ 4605/4610 (125.4M gamma notional), so upside should be limited to this level. Good support @ 4560 (65.3M gamma notional) and then 4505/4510 (117.8M gamma notional). Avg range this week was 32 points and I would not expect much more. TSLA will be a factor to watch though.

GammaLab

1.100 resistance was too strong, we are in correction mode. Warning: 25% of total gamma expiring Friday. Note: Major call barrier out at 1.325. Funny.

GammaLab

Crazy moves today and investors getting even more more bullish: The call barrier where 16.7M in gamma was concentrated at 1200PM moved from 1075 to 1100. At 1200 (!) we now even register a massive 18.9M gamma position. For comparison: On Friday gamma notional at this level was only 1.3M. Epic shifts in investor sentiment - will this end in a disaster?

GammaLab

Should SPX be able to escape gravity around 4560 the next major target would be 4605/4610.