Market Wrap
The SPX closed 1.2% higher on hopes that bad news (GDP) are finally good news again as expressed by the Fed Funds Futures complex that further priced out a lot of rate hike angst.
After the close positive earnings from Amazon and Apple pushed the index even higher into the gamma call wall at 4100, which will act as a pin until net gamma of about 42M will expire just around that strike tomorrow (see chart below).
https://bucket.mlcdn.com/a/3517/3517811/images/6db7f691acc6235a02c6a2066b23a66fe5b1821f.png
As dealers are long most of the expiring calls, they will unwind short positions in the underlying, which could open the door for another push higher.
Some observations from today's trade: VIX closed at the lowest level since April 21st and the VVIX closed at the lowest level since July 2019 (see chart below), as nobody seems interested in convexity at the moment ("its all priced in").
https://www.tradingview.com/x/9Jrh5Isq/
Another chart that caught our eye was the NYSE Tick indicator that compares the number of stocks that are rising to the number of stocks that are falling (see chart below).
https://www.tradingview.com/x/jhhHLbsx/
The index can be seen as a proxy for large systematic buyers of stock baskets.
The last time the index featured comparable levels were March 2020 bottom, when the bottom was in.
After the close positive earnings from Amazon and Apple pushed the index even higher into the gamma call wall at 4100, which will act as a pin until net gamma of about 42M will expire just around that strike tomorrow (see chart below).
https://bucket.mlcdn.com/a/3517/3517811/images/6db7f691acc6235a02c6a2066b23a66fe5b1821f.png
As dealers are long most of the expiring calls, they will unwind short positions in the underlying, which could open the door for another push higher.
Some observations from today's trade: VIX closed at the lowest level since April 21st and the VVIX closed at the lowest level since July 2019 (see chart below), as nobody seems interested in convexity at the moment ("its all priced in").
https://www.tradingview.com/x/9Jrh5Isq/
Another chart that caught our eye was the NYSE Tick indicator that compares the number of stocks that are rising to the number of stocks that are falling (see chart below).
https://www.tradingview.com/x/jhhHLbsx/
The index can be seen as a proxy for large systematic buyers of stock baskets.
The last time the index featured comparable levels were March 2020 bottom, when the bottom was in.
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