SPX Gamma AM
Good morning,
despite the doom and gloom put buying was relatively contained on Friday and the panic put buying has not reached levels seen over the recent months.
Rate hike expectations are also coming back from extrem levels currently, which should provide a fundamental layer of support.
Still, dealer gamma is at extremely negative levels (-920MM), so a high volatility regime is almost certain (please see chart above for the current gamma environment).
Between 4200 and 4100 mechanical dealer selling should come to a halt all else equal.
despite the doom and gloom put buying was relatively contained on Friday and the panic put buying has not reached levels seen over the recent months.
Rate hike expectations are also coming back from extrem levels currently, which should provide a fundamental layer of support.
Still, dealer gamma is at extremely negative levels (-920MM), so a high volatility regime is almost certain (please see chart above for the current gamma environment).
Between 4200 and 4100 mechanical dealer selling should come to a halt all else equal.
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