McElligott Flags Risk Of ‘Accident’ In 0DTE Behavioral Shift

Short vol strategies have been profitable lately. "Grotesquely" so, in fact. The colorful description comes from Nomura's Charlie McElligott, who on Tuesday described a potentially notable shift in institutional customer flows. On an intraday basis, the equities price action is increasingly hostage to the dynamics associated with very short-dated options. Recently, the 0DTE phenomenon has manifested in an ebb and flow conducive to the suppression of close-to-close vol. That can become self-ful