Positive Gamma Evaporates Leaving Stocks With More Downside Risk

Authored by Simon White, Bloomberg macro strategist,

S&P gamma has fallen close to negative, which increases the risk that selloffs are reinforced by dealer selling.

The S&P was down yesterday, but at 1% on the surface not it’s too much to get worried about. However, it belies a rapid fall in dealer gamma, which is now only fractionally above zero.