CTAs Likely Sold $40 Billion Into Recent Stock Swoon

Dealers shedding VIX futures into expiration might've put a lid on vol, but it wasn't enough to arrest what's now threatening to become a three-week selloff in US equities. On Thursday, Nomura's Charlie McElligott reiterated that the "meaningful" move lower in spot came courtesy of "a prolific delta purge as calls got roasted while scrambled-into puts went in-the-money." At the same time, the downdraft was exacerbated by the negative gamma backdrop, which is conducive to so-called "accelerant