SPX Gamma Wrap
The SPX closed 0.6 percent higher on Monday after overcoming a 1.7 percent decline in a session that was as volatile as expected.
At around 15:00 PM the market started rebounding hard and dealers were forced to buy back futures to remain market neutral.
There was no obvious catalyst for the intraday-rally, but at around the time the buying startet the US Treasury released its quarterly refunding estimates.
During the April – June quarter, Treasury expects to pay down 26 billion in privately-held net marketable debt, assuming an end-of-June cash balance of 800 billion. The borrowing estimate is 92 billion lower than announced in January 2022, primarily due to an increase in receipts, partially offset by increases in outlays and the end-of-June cash balance.
In English this means, that more investors compete for less securities, which should drive short term rates lower, and could be construed as stocks-positive.
The April ISM Manufacturing Index decreased to 55.4 percent from 57.1% in March, while total construction spending increased 0.1% month-over-month in March.
Dealer gamma improved slightly by 60MM to -878MM, while put volume was high at the 3700 strike. I still believe that a sustainable rally is unlikely to happen pre FOMC, while sharp moves are possible in both directions.
At around 15:00 PM the market started rebounding hard and dealers were forced to buy back futures to remain market neutral.
There was no obvious catalyst for the intraday-rally, but at around the time the buying startet the US Treasury released its quarterly refunding estimates.
During the April – June quarter, Treasury expects to pay down 26 billion in privately-held net marketable debt, assuming an end-of-June cash balance of 800 billion. The borrowing estimate is 92 billion lower than announced in January 2022, primarily due to an increase in receipts, partially offset by increases in outlays and the end-of-June cash balance.
In English this means, that more investors compete for less securities, which should drive short term rates lower, and could be construed as stocks-positive.
The April ISM Manufacturing Index decreased to 55.4 percent from 57.1% in March, while total construction spending increased 0.1% month-over-month in March.
Dealer gamma improved slightly by 60MM to -878MM, while put volume was high at the 3700 strike. I still believe that a sustainable rally is unlikely to happen pre FOMC, while sharp moves are possible in both directions.
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