Markets stocks volatility

Nomura’s McElligott Talks Short Gamma, ‘Robinhood YOLO’ing’ As Tech Heads For Worst Month Since 2008

Equities are unshackled this week post-last Friday's quad witching expiry, and the "unclenching" effect from the gamma rolloff is allowing for wider ranges and a larger distribution of outcomes, Nomura's Charlie McElligott writes, in a Thursday note. Still, he says Wednesday's move lower wasn't indicative of any kind of panic. He cites relatively pedestrian factor behavior and an apparent dearth of interest in macro hedge expressions in SPY and QQQ. But, the legacy of the summer tech surge, and the dynamics behind it, linger, McElligott says, reiterating that some of the larger flows were spread out from this month all the way into February. "The Nasdaq/Mega-Cap Tech dynamics from August in addition to evidence of more Robinhood retail YOLO’ing has continued to perpetuate the dealer 'short gamma' dynamics in QQQ options", he writes, adding that the retail crowd was still chasing short-dated and highly-convex upside" last week. Coming into Thursday, the Nasdaq 100 was attempting to rebound from the worst session since September 8's egregious rout, which itself came hot on the heels of the September 3 plunge. Note that big-cap tech has moved 1% or more in every session but t
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