Market Wrap – Option Vega and Gamma as Markets Crawl into Year End

The markets were snoring today with thin volumes and story stocks such as Biogen the rage. Oil bounced well after the EIA report to close higher. On the speculative end we saw Cryptocurrencies down again. Natural gas remained near its lows ahead of tomorrow’s storage report. Treasury market steepening in the yield curve today driven by selling pressure at the back end. Around the table today we talk about option IO Vega and gamma affects with low vol situations on the underlying. We discussed when to sell and buy optionality and the risks thereto.

Enjoy live commentary from Our Trading Room at YouTube as the day wraps up – feel free to like and share

Live on YouTube:

In today’s post market wrap live from the trading room traders discuss the patterns through the options and futures markets that have played out perfectly from last week to today. Listen to our technical and market psychology read on the day. Join the Traders Community Podcast crew @traderscom @knovawave @Mayhem4Markets @abcdefg64668024 @Mahdavi4 and @MetaJohnny1 plot out the rest of 2021.

Market Closes

  • WTI crude futures increased 0.6%, or $0.45, to $76.01/bbl.
  • U.S. Dollar Index is down about -0.3% to $95.96.
  • JPY as the strongest of the major currencies, the CAD was the weakest.
  • Gold futures settled $5.10 lower (-0.3%) to $1,805.80/oz
  • Spot silver is down four cents or -0.19% at $23
  • Dow industrial average rose 36547.08 +148.87 (0.41%) up for 6 consecutive days
  • S&P index rose 4797.52 +11.17 (0.23%) (Intraday high 12/28 4807.02)
  • NASDAQ index fell 15760.84 -20.87 (-0.13%) down for second day
  • Russell 2000 2,248.15 +0.073%+1.65 
  • NYSE Adv 1773 Dec 1514 Vol 314.0 mln
  • Nasdaq Adv 1863 Dec 2738 Vol 3.0 bln
  • Apple 179.38▲ 0.09 (0.05%)
  • The obsession remains the price of Apple for 3 trillion market is $182.86
  • The S&P 500 has closed at 69 ATH this year, 2nd most ever only behind 77 ATHs in 1995
  • However, the average S&P 500 comp is down 18% from its ATH, suggesting severe weakness underneath the surface.
  • German Dax, +0.5%
  • France’s CAC, +0.75%
  • UK FTSE 100, closed
  • Spain’s Ibex, +0.7%
  • Italy’s FTSE MIB, +080%

Cboe Daily Market Ratios:

Cboe Daily Market Statistics

S&P 500 sector watch:

  • Eight of the 11 S&P 500 sectors closed higher
  • No sector rose more than 0.7%.
  • Health care (+0.6%) and real estate (+0.6%) sectors led
  • Communication services (-0.3%), Energy (-0.6%), and financials (-0.1%) sectors finished in negative territory. 

Markets YTD

  • S&P 500 +27.6% YTD
  • Nasdaq Composite +22.3% YTD
  • Dow Jones Industrial Average +19.2% YTD
  • Russell 2000 +13.9% YTD


  • In the Treasury market steepening in the yield curve today driven by selling pressure at the back end. 10-yr yield rose six basis points to 1.54% while the 2-yr yield was unchanged at 0.75%. The U.S. Dollar Index decreased 0.3% to 95.91.
  • The Treasury’s $56 bln 7-year note auction drew a high yield of 1.480% on a bid-to-cover of 2.21.

News Highlights

Biogen (BIIB 257.92, +2.187, +9.3%) on report from Korea Economic Daily indicating that Samsung Group is in negotiations to acquire the company for more than $40 billion. The article cited “investment banking sources” for the news. 

The Advance International Trade in Goods report for November showed a deficit of $97.8 billion, up $14.6 billion from October. The Advance report for Retail Inventories for November increased 2.0%, while the Advance report for Wholesale Inventories for November increased 1.2%.

Pending home sales fell 2.2% m/m in November (consensus +0.6%) following a 7.5% jump in October.

Around The Barrel – Crude Oil and Gasoline Stocks Draw as Production Increases into Year End – TRADERS COMMUNITY

With 2021 winding down WTI Oil futures have rallied back from the recent dump. EIA reported US Crude last Week crude drew -3576Kbbl (incl +1055kbbl build at Cushing). Gasoline stocks drew -1458kbbl. Utilization fell -.2% to 89.6%. Production +200k to 11,800 kbpd.

Into The Vortex – Natural Gas Storage Outlook – TRADERS COMMUNITY

Heading into Christmas and cold temperatures around us gas withdrawal season is in swing. While in Europe natural gas futures are back to near all-time highs again US natural gas futures are softer reacting to domestic weather models. Last week EIA reported a draw of -55 Bcf of working gas in storage lower than expected. With the global energy crisis LNG exports continue to grow but we balance supply shortages with deliverability.

Iron Ore Prices Rise Pre-emptively on Easing Along China’s Property Curve – TRADERS COMMUNITY

Iron ore had the bears out in full force just a month or so ago, with the China attempt to “destroy Australia”, the shipping crisis and more. Analysts were anticipating demand for iron ore to collapse as China reduced its steel production. Targets were lowered to US$65 to $85 a tonne by many of the larger groups.  Here we are the most actively traded iron ore futures on the Dalian Commodity Exchange for May delivery closed 3.9% higher at 714 yuan ($112.11) per tonne, jumping 5% this week.

Drewry World Container Index 119% Higher Year on Year – TRADERS COMMUNITY

Drewry’s composite World Container Index is up 119% year on year and increased marginally to $9,304.05 per 40ft container heading into Christmas. The Baltic Exchange Dry Index fell for the eleventh session on Thursday, as weaker capesize rates overshadowed gains in the panamax vessel segment.

Looking ahead:

Pending Home Sales for November, the weekly MBA Mortgage Applications Index, and the Advance November reports for Intl Trade in Goods, Retail Inventories, and Wholesale Inventories plus EIA Crude Oil Storage will be released on Wednesday.

Trust you all had a great day, sleep well and get your trading plan sorted.

Any questions please feel free to ask them below. Trade Smart!