Markets rallied higher and ended the day 2.1% up after a furious squeeze like rally that eventually lost steam just below the massive call barrier at 4700 where 81M of gamma notional is located.
Vol collapsed by 5.3 points to 21.9% what induced option dealers to unwind their hedge positions and buy back futures which was supportive to the overall squeeze.
Dealer gamma flipped from -211M to +379M day over day as huge amounts of gamma were added to the strikes at 4700/4750 and 4800.
The tactical roadmap for tomorrow could look something like this: Markets are well supported at 4675 and 4650, while 4700 is sort of a strong resistance, which would suggest more lateral action.
A cautious note: The Omicron study released shortly before the close was a reminder, that times are still highly uncertain. The fact that we are now again operating in a positive gamma environment should help to mitigate smaller dips, as dealers put a floor under the market by providing liquidity, but please be still careful.
Vol collapsed by 5.3 points to 21.9% what induced option dealers to unwind their hedge positions and buy back futures which was supportive to the overall squeeze.
Dealer gamma flipped from -211M to +379M day over day as huge amounts of gamma were added to the strikes at 4700/4750 and 4800.
The tactical roadmap for tomorrow could look something like this: Markets are well supported at 4675 and 4650, while 4700 is sort of a strong resistance, which would suggest more lateral action.
A cautious note: The Omicron study released shortly before the close was a reminder, that times are still highly uncertain. The fact that we are now again operating in a positive gamma environment should help to mitigate smaller dips, as dealers put a floor under the market by providing liquidity, but please be still careful.
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! Please see my new AM update. Levels changed quite a bit overnight.