GammaLab

GammaLab

Good morning. Its a wild start to a big week with three major risk events coming up and a failing JGB-peg (forget about BTC, this is the real story). Good luck for today's session!

GammaLab

Today is the day the market finally realizes that the Fed is way behind the curve and that is a good thing. One of my key themes (long term readers know), and one of the reasons I started this channel is to warn people about the dangerously unstable markets, and I almost feel that my job is done, as there is no longer a point in stating the obvious. However...

GammaLab

The SPX closed 2.4 percent lower as nobody wants to be exposed to the risk of an unpleasant CPI tomorrow morning before the open. Dealer gamma imploded by 424MM to -867MM, which implies high volatility ahead for tomorrow. Wall Street estimates that year-over-year inflation stayed unchanged at 8.3 percent in May, while core inflation eased from 6.2 to 5.9...

GammaLab

Good morning. The SPX is little changed after the ECB’s rate decision, but the Euro Stoxx 50 is down 0.4 percent, while oil remains elevated at 122 dollar per barrel. Yields for German Bunds are exploding higher and are currently up over eight basis points at 1.445 percent. The equivalent Italian yield is up almost 15 basis points at 3.619 percent. The yield...

GammaLab

Broad based selling pushed the SPX 1.1 percent lower on Wednesday with all sectors ex energy (+0.2%) closing in the red. Traders had to digest several issues today and we don’t claim the following list is complete: Intel said on a conference that the macro environment has been weaker and that circumstances at this point are much worse than it had anticipated...

GammaLab

Good morning. FYI: This will be one of my last Morning Briefings, as I will stop issuing this update starting next week. The "Market Wrap" will remain. S&P 500 futures are marginally down 0.1 percent below fair value as we speak, while 10-year yields are back above three percent (+6.6 bps), which is dimming the sentiment. The rise in yields can be traced back to...

GammaLab

The SPX overcame its initial weakness and closed about one percent higher on Tuesday, aided by a 2.4 point drop of the VIX. The sentiment also received a boost from a decline in Treasury yields at the long end of the curve even though bills at the short end came under pressure after a weak debt auction, which luckily had no impact on stocks. Today's...

GammaLab

The S&P 500 futures are trading one percent below fair value currently. The rather negative sentiment is rooted in concerns about economic and earnings growth potential, which have been stirred by a larger-than-expected rate hike by the Reserve Bank of Australia (50 basis points to 0.85%), weaker-than-expected factory orders in Germany, and Target cutting its Q2...

GammaLab

The new week started with sizable gains across the board, but the enthusiasm faded away shortly before noon, as the 10Y note yield moved back above three percent, ending its session up eight basis points. The move higher in yield was less about expectations of stronger growth, but rather about inflation expectations and of course supply and demand as almost one...

GammaLab

It's a friendly start into the new week, amidst encouraging news and economic data. The S&P 500 futures is trading about one percent above fair value as market participants have been heartened by reports indicating Covid restrictions in China are being rolled back. Also, there is a buzz around many Chinese-listed stocks following a report that regulators are...

GammaLab

Good morning. Concerns about economic conditions are behind the weakness seen this morning in the futures markets, but at the same time Non Farm Payrolls seem still "too good" (and way above yesterday's ADP print) for the Fed to dial back its tightening efforts. RH put out a downside guidance and sees Q2 revenues declining by 1-3%, and we recommend to read what...

GammaLab

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...

GammaLab

Rate hike expectations take center stage again today, trying to price in several conflicting data points (OPEC/sanctions/ADP/Initial Claims etc) Implied dealer gamma amounts to -557, which suggests a rather volatile day ahead. Yesterday investors were adding some puts (mainly 3400/3500/3600), as fresh open interest data shows.

GammaLab

The SPX finished the day 0.8 percent lower with the financial sector leading the retreat, after JPMorgan CEO Jamie Dimon warned about an approaching economic hurricane: “It’s a hurricane. Right now, it’s kind of sunny, things are doing fine, everyone thinks the Fed can handle this. That hurricane is right out there, down the road, coming our way. We just don’t...

GammaLab

Overnight action saw the release of Manufacturing PMI readings from several major economies with Germany reporting an slight uptick in May to 54.6 from 54.6 points, while China's Caixin Manufacturing PMI (48.1 vs 46 previously) remained in contractionary territory for the third month in a row. Shanghai's lockdown reportedly ended today, while oil is trading at...

GammaLab

Good morning, let's keep it simple as we start into the new week. 1) Implied dealer gamma improved significantly from -1308MM (5/19) to -336MM as we speak, so a major driver of last week's rally (dealer buybacks) is losing steam. 2) Rate hike expectations are implying a steeper rate path after inflation jumped in the Eurozone and 50 basis points are on suddenly...

GammaLab

Ths SPX closed two percent higher on Thursday and was able to clear the important gamma marker at 4000 index points, from where the momentum accelerated further. Biggest gainer among S&P 500 sectors was the consumer discretionary complex (+4.9%), which was pulled higher by mega caps like Tesla (+7.4%) and Amazon (+4%) and which featured several components with...

GammaLab

The S&P 500 future is up 0.8 percent, as risk sentiment is improving despite a disappointing outlook from Nvidia (which was partially countered by good outlooks from Southwest and JetBlue), while the Euro Stoxx 50 is up 0.7 percent and Asian indices ended the trade moderately lower. Supportive factors are guidance from Shanghai that its lockdown should end in...