Nomura’s McElligott Warns: ‘We’re Nearing Gamma Flip Risk In SPX’

Nomura’s McElligott Warns: ‘We’re Nearing Gamma Flip Risk In SPX’

For most of November, market participants enjoyed a "lake placid" environment thanks in part to the gamma "pin" that kept stocks in a "range-y" grind higher. Nomura's Charlie McElligott called it a "feel good stasis" as "intraday movement [was] squelched by dealers selling strength and buying dips". It was, he wrote last week, "the perfect virtuous feedback loop... as customers sell Vol to Dealer desks [creating] what feels like [a] perpetual pin approx. between the monster $Gamma strikes of 3
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