S&P 500 gamma EOD update
The market was oscillating around the prominent gamma strike at 4800 points and was only little changed at the end of the day.
The main theme was the steepening curve (see last post), which caused a rotation from growth (-0.8%) to value (+1.0%). Interestingly the rise in yields was not caused by inflationary pressures, but by growth expectations.
Fundamentally this can be explained by a relatively stable ISM index (58.7 from 61.1 prev), and a simultaneously declining "prices paid" component (68.2 from 82.4 prev).
From a gamma perspective the market has more leeway after OPEX to express volatility with total gamma coming in at 325M and little support to the downside, but so far iV remains relatively low.
The main theme was the steepening curve (see last post), which caused a rotation from growth (-0.8%) to value (+1.0%). Interestingly the rise in yields was not caused by inflationary pressures, but by growth expectations.
Fundamentally this can be explained by a relatively stable ISM index (58.7 from 61.1 prev), and a simultaneously declining "prices paid" component (68.2 from 82.4 prev).
From a gamma perspective the market has more leeway after OPEX to express volatility with total gamma coming in at 325M and little support to the downside, but so far iV remains relatively low.
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