‘Unshackled’: Gamma Collapse Opens Door For COVID-19 To ‘Shock-Down’ Stocks, Nomura’s McElligott Says

‘Unshackled’: Gamma Collapse Opens Door For COVID-19 To ‘Shock-Down’ Stocks, Nomura’s McElligott Says

"THIS IS NO DRILL, with Spooz -88 handles to 3250 last", Nomura's Charlie Mcelligott wrote, in a pre-dawn note on Monday as US equity futures tumbled along with European shares amid acute concerns about the spread of COVID-19. The good news from a systematic flows perspective is that de-leveraging levels for CTAs are likely still below spot. On Charlie's model, that's "due to the exclusive loading of longer-term windows only, with no current weight for 2w / 1m windows". The potentially bad new
Subscribe or log in to read the rest of this content.

Speak your mind

This site uses Akismet to reduce spam. Learn how your comment data is processed.

NEWSROOM crewneck & prints