After continuously hitting the ‘Gamma Wall’ discussed by Goldman’s Brian Garrett…
…the S&P 500 index opened higher this morning after strong results from ASML (and a slew of AI industry headlines), trading above 7,000 for the first time…
President Trump took the opportunity to exclaim “America Is Back!!”
Will that jinx it?
Maybe… but there’s another potential problem.
Going back to where we started, GS futures strats calculate $6bn of long gamma at spot, which increases to $12bn long gamma +100bps higher
In English, a 100bps rally in spx cash creates supply of ~35,000 e-minis from market makers
Goldman’s vol desk desk believes the 7,000 strike is the peak concentration…
…beyond this level, the market doesn’t necessarily “flip short,” but the dynamic is much cleaner.
So, absent more catalysts (Mag7 earnings tonight), traders will be fighting the options market’s positioning to extend gains.
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