VIX is very low for this season of earnings, with very few new positions added. Yesterday I mentioned we had a large Open Interest at the 4450 and that has been moved to the 4500 with futher out expirations, since it was approx the same number of contracts I’m going to assume that was a massive roll up and out in date, and not just close and new people opening. So this change in positioning means gamma rates can accelerate to a higher position of 4700, that doesn’t mean that that is where we are running towards 4700 but it means gamma has a wider range to accelerate towards.
Remember in our Greeks class Delta can be between 0 or 1, not more not less. So depending on how far away or close that 0 or the 1 is from the actual price gives us an impression of how intense or muted the accelerator will be. And though Gamma has a wider ‘girth’ we have to see if we turn that 4500 Resistance into Support, if we do than that wider run room for gamma could help us continue in this melt up.
Put volume on SPX is still double that of call volume, so institutions are NOT leaning into the long side, but we are melting up. If we open above 4500 and VIX remains below 20 that melting up will be the natural state of this dynamic, but I’m personally not going long into an FOMC meetings and Russia’s official default date of May 4th that’s too much uncertainty for me.
@Darius305 added a nice commentary that if we want to see the more defensive areas of the spx and how they’re doing check out DIA, XLV, XLU, and XLP all more defensive areas of the market in the SPX. And as you can see healthcare, staples, utilities and the dow have been performing more consistently than the growth areas of the market, like the NDX and XLK and XLY.