Nomura’s McElligott: The Machines Are Getting Long And Covering Shorts In Real-Time

"The virtuous cycle that is collapsing index realized vol. is acting as a position re-leveraging/buy signal across systematic strategies", Nomura's Charlie McElligott writes, in a Friday note. One should be able to immediately tell the rest of the story without having to read another word. As short-term, trailing realized moves lower, it triggers mechanical re-leveraging from key systematic investor cohorts, which acts as an ongoing short covering/buy flow. McElligott notes that implied vol. i

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