Market Update for 02/10/2022 (Delayed)

Daily Update:

Our base assumption for today is that the “event volatility” around the CPI number burns off, which kicks in positive vanna flows and gamma hedging into the 4600 area. This would signal a continued rotation in options positions to higher strikes which drags markets up. For the downside, based on today’s volatility estimate it would likely take multiple sessions to initiate a major selloff from here — we’d first have to stage today down near the 4500 line (~1% lower) which would position the market for a more significant decline tomorrow. In other words: due to the gamma position we see less downside tail risk for today. — SpotGamma

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