SPX Gamma EOD
The SPX gained 1.2% on Monday, but the big picture remains the same: The market is still trading in a slightly negative gamma environment (total net gamma -212M), with the break even at 4630 points.
Todays trading action was supported by declining volatility as I explained in another post, but at the end of the day vol still remains stubbornly high and given the quickly abating Omicron fears (as suggested by Biontech -19%, or Moderna -14%) this seems almost a little bit odd.. Is it the Russians, is it the Fed?
Apropos: The Fed Funds Future with the highest volume (May contract) was retreating to a new multi month low today and is therefore signaling a "tighter" Fed. For those who do not understand how to read FF contracts: Simply subtract their notional value from 100 (100-FF contract) and you get the federal funds rate the market expects for that given month.
Cheers!
Todays trading action was supported by declining volatility as I explained in another post, but at the end of the day vol still remains stubbornly high and given the quickly abating Omicron fears (as suggested by Biontech -19%, or Moderna -14%) this seems almost a little bit odd.. Is it the Russians, is it the Fed?
Apropos: The Fed Funds Future with the highest volume (May contract) was retreating to a new multi month low today and is therefore signaling a "tighter" Fed. For those who do not understand how to read FF contracts: Simply subtract their notional value from 100 (100-FF contract) and you get the federal funds rate the market expects for that given month.
Cheers!
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