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Nomura’s McElligott On A Possible ‘Impulse Gap Higher’
Some market participants are pricing in tail risk again, and that could open the door to opportunities, depending on how things pan out.
That's one message (among about a dozen others) from a Tuesday note by Nomura's Charlie McElligott.
"As VVIX & Skew went 'bid' BIG TIME yday, this indicates that the market is now once again beginning to price-in 'tail' scenarios", he wrote, just after 8 AM in New York.
"[That] offers attractive risk-reversal opportunities to play for an upside S&P b
