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

You need a PLUS account to view this content. Try one month of PLUS for FREE.

Try PLUS for free

Already have an account? log in

Speak your mind

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

NEWSROOM crewneck & prints