SPX Gamma Thanksgiving Update
Happy Thanksgiving everybody!
Traders can be especially happy about 116M extra gamma notional that was added today (biggest increase in over a week) and what brings total gamma up to 459M. While gamma got injected across all strikes it was especially the negative gamma strikes between 4650 and 4700 that got eliminated. In a late trade push amidst collapsing vol the SPX made it above the call barrier at 4700, from which ideally a trading range between 4700 and 4750 could be established.
Todays strength is noteworthy considered that the market is aggressively pricing in rate hike action from the Fed, as we pointed out today (see extra chart). According to the CME Fed Watch Tool the probability for a rate hike in May 2022 increased to 54.9%, versus 45.4% yesterday.
As today's FOMC Minutes showed is the Fed now slowly waking up to a reality were inflation stays higher for longer while the economic risks are increasingly tilted to the downside (see SPX noon update for FOMC comments). Meanwhile the Unmich report revealed that consumer expectations have been pressured to its lowest level in a decade due to rapidly accelerating inflation and little belief that steps are being taken to mitigate rising prices. Roughly 25% of respondents said that inflation eroded their living standards in November.
Still enjoy your turkey, because if Turkey is leading the way this might be your cheapest Thanksgiving dinner for a while (despite the already drastic price increases). Just saying :)..
Traders can be especially happy about 116M extra gamma notional that was added today (biggest increase in over a week) and what brings total gamma up to 459M. While gamma got injected across all strikes it was especially the negative gamma strikes between 4650 and 4700 that got eliminated. In a late trade push amidst collapsing vol the SPX made it above the call barrier at 4700, from which ideally a trading range between 4700 and 4750 could be established.
Todays strength is noteworthy considered that the market is aggressively pricing in rate hike action from the Fed, as we pointed out today (see extra chart). According to the CME Fed Watch Tool the probability for a rate hike in May 2022 increased to 54.9%, versus 45.4% yesterday.
As today's FOMC Minutes showed is the Fed now slowly waking up to a reality were inflation stays higher for longer while the economic risks are increasingly tilted to the downside (see SPX noon update for FOMC comments). Meanwhile the Unmich report revealed that consumer expectations have been pressured to its lowest level in a decade due to rapidly accelerating inflation and little belief that steps are being taken to mitigate rising prices. Roughly 25% of respondents said that inflation eroded their living standards in November.
Still enjoy your turkey, because if Turkey is leading the way this might be your cheapest Thanksgiving dinner for a while (despite the already drastic price increases). Just saying :)..
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