Good Morning! Today is FOMC day, where it seems everyone knows what is going to happen, yet are caught off guard by it anyway. how are dealers and customers positioned? Lets consult #volland.
The overall DAG in $SPY and $SPX is mixed, and have very little push except...
The overall DAG in $SPY and $SPX is mixed, and have very little push except...
$SPY gets dicey below 376. On the upside in the short term we would see strength in $SPX past 3950. That seems to be the acceleration point, but also a major balance point for vanna. 3950 is the big number, and unless FOMC surprises would be my target for the week. #volland 
The customer positioning is typical, with calls (primarily at 3950) and puts (between 3750-3850) bought, but ATM puts are sold in $SPX. The put #volland chart is shown below for the week. This is interesting, as it is a bet that premiums are too high for the movement we will see.
In the end, the positioning favors an aggressive, anti-climatic market outcome that probably targets 3950 to the upside or 3750-3800 to the downside. If you are going long gamma because "the Fed is going to XYZ and shock everyone", you are likely just donating. #volland
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