S&P 500 gamma update

6 ม.ค. 2022

Pretty straightforward chart for today. We stabilized at 4700 as expected and so far there is little reason to assume we go into a full blown sell-off as market action still feels more like a rotation.

All eyes are on vol now: If implied volatility comes back down, this could mean that 4700 could act as a launch pad towards higher prices as option dealers would be forced to buy back futures and unwind hedges.

Good luck, but no guarantees. The market is fragile as we are in negative gamma territory, so beware.