SPX Gamma Wrap
The SPX declined by 0.1 percent on Wednesday, with the Communication Services Sector (-4.3%) being the biggest loser after Netflix disappointed yesterday.
Overall stocks held up pretty well considering that future markets priced in 10 rate hikes intraday and Putin was launching his new doomsday ICBM, reminding the world that Russia is the top global nuclear superpower.
Existing home sales decreased 2.7 percent month-over-month in March to a seasonally adjusted annual rate of 5.77 million (consensus 6.2 million) versus 5.93 million in February. The key takeaway from the report is that supply remains tight, yet higher mortgage rates and higher inflation are contributing to a slowdown in demand.
Meanwhile the weekly MBA Mortgage Applications Index decreased 5.0 percent following a 1.3 percent decline.
The SPX continues to trade in sort of an “air pocket” with now major gamma strikes to the downside and right under a relatively solid resistance level at 4500.
This, and given that the VIX is trading at its post-invasion lower bound (18-20%) is a reminder that traders should take fast dips towards 4400/4350 into account, as a spike in VIX would cause an increase in put prices and therefore a decline in gamma.
https://www.tradingview.com/x/iPN69qfs/
Dealer gamma declined by 71MM to -182MM, while we saw a slight uptick in out of the money put demand.
Overall stocks held up pretty well considering that future markets priced in 10 rate hikes intraday and Putin was launching his new doomsday ICBM, reminding the world that Russia is the top global nuclear superpower.
Existing home sales decreased 2.7 percent month-over-month in March to a seasonally adjusted annual rate of 5.77 million (consensus 6.2 million) versus 5.93 million in February. The key takeaway from the report is that supply remains tight, yet higher mortgage rates and higher inflation are contributing to a slowdown in demand.
Meanwhile the weekly MBA Mortgage Applications Index decreased 5.0 percent following a 1.3 percent decline.
The SPX continues to trade in sort of an “air pocket” with now major gamma strikes to the downside and right under a relatively solid resistance level at 4500.
This, and given that the VIX is trading at its post-invasion lower bound (18-20%) is a reminder that traders should take fast dips towards 4400/4350 into account, as a spike in VIX would cause an increase in put prices and therefore a decline in gamma.
https://www.tradingview.com/x/iPN69qfs/
Dealer gamma declined by 71MM to -182MM, while we saw a slight uptick in out of the money put demand.
Penafian
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