Such A Rare Gamma-Flip Virtually Never Happens On A Rally

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by Tyler Durden
Monday, Jun 05, 2023 - 03:30 AM

As a follow up to yesterday’s note from Goldman derivatives guru Brian Garrett, he has published a brief - if fascinating - follow up, in which he warns that "if we keep going, things get very interesting for dealer community."

According to Garrett, the chase for risk continues and the S&P dollar gamma picture "changes significantly" in the not so distant upside  (see below estimates, all levels are as of Friday's close with dealers long ~$4bn gamma).

  • +1% (4260): dealers long $4.5bn gamma … we are 20 handles through at current
  • +2% (4300): dealers long $2.5bn gamma … we are 20 handles below at current
  • +3% (4350): dealers flip to flat gamma