SPX Note 10/06/22
The index is out of its weekly range, "reacting" to the ECB monetary policy decision and the CPI. It doesn't matter though, the news doesn't tell us much. The index was looking for a driver and it found one.
From yesterday's note
... "But it's worth noting that there have been purchases of VXX in the dark pools over the past few days and increased interest in 30-strike VIX calls. Traders are hedging their positions against a possible decline"...
Buying in dark liquidity gave a hint of a possible decline, which is what we ended up seeing.
Another thing worth noting is that traders are protected from tail risk by buying puts on the SPX and calls on the VIX. Therefore, a market collapse will not follow. But the increased volatility will persist. Influence of the negative gamma.
The 4000 strike remains the most important, which will be a magnet for the price. Buying the index in the dark is still high. Gamma exposures are already in a zone where we should expect at least a small counter-move. It is worth observing the dynamics of the indicators.
Index made the maximum expected weekly move. It is currently trading in the range of 3960-3970. Further declines only increase the SPX growth scenario. On hold...
From yesterday's note
... "But it's worth noting that there have been purchases of VXX in the dark pools over the past few days and increased interest in 30-strike VIX calls. Traders are hedging their positions against a possible decline"...
Buying in dark liquidity gave a hint of a possible decline, which is what we ended up seeing.
Another thing worth noting is that traders are protected from tail risk by buying puts on the SPX and calls on the VIX. Therefore, a market collapse will not follow. But the increased volatility will persist. Influence of the negative gamma.
The 4000 strike remains the most important, which will be a magnet for the price. Buying the index in the dark is still high. Gamma exposures are already in a zone where we should expect at least a small counter-move. It is worth observing the dynamics of the indicators.
Index made the maximum expected weekly move. It is currently trading in the range of 3960-3970. Further declines only increase the SPX growth scenario. On hold...
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