If you’re wondering what, precisely, happened to US equities on Tuesday — where “precisely” means you’re interested in the actual mechanics and flows behind a very rough session, and specifically what made a bad situation worse into the close — you’re in luck.

In a rare late-evening update, Nomura’s Charlie McElligott delivered an in-depth postmortem on Wall Street’s worst day since last month’s vol shock.

Although the VIX’s outperformance to spot equities was nothing to write home about, the move in vol-of-vol was impressive.

At the day’s highs (shown above), the VVIX was 137.64. As McElligott noted, the high print was logged at 3:49 ET, just four minutes after the UX1 peak. What does that tell you?

I won’t bury the lede: This was, apparently, another VIX dealer stop-in. A market maker PnL event in the making.

“[The] latest US economic ‘landing path’ uncertainty around [Tuesday’s] B- and C- list releases coincided with some spicy hedging flows in VIX options,” McElligott wrote, noting that Friday saw a “massive” accumulation of call spreads in that space, which he described as “simply broken.” “[D]ealers short this upside convexity… are struggling mightily to recycle their risk,” he went on to explain.

This is the same story as last month: When the market starts moving towards dealers’ short strikes, market makers have to grab tail exposure, buy VIX futures and/or short equity futs to stay hedged as the VIX calls they’re short to clients pick up delta. That’s an escalatory dynamic.

The figure above, from Charlie, shows you the VVIX outperformance to spot equities. As the annotations note, September 3 was on par with August 5 on that score.

Meanwhile, the leveraged ETF space did its leveraged ETF space thing, which is to say acted as de facto short convexity. “By late-day, nearly -$18.6 billion of rebalancing ‘sell’ flows were mechanically going to be executed, likely over the final 30+ minutes,” McElligott wrote.

The pie chart on the left, below, gives you a sense of where those flows were probably most impactful — namely, in semis and mega-cap tech.

Note that semis were summarily routed Tuesday amid an epic plunge for Nvidia, which notched the largest one-day value destruction event in history, with the shares erasing nearly $280 billion in market cap.

The leveraged product rebalance, Charlie wrote, was “especially painful [given] the concentration of the assets,” with semi and big-tech vehicles “selling into the lows of the day.”

So there you go. These are your markets: Fitful, fragile and beholden to self-fulfilling dynamics that the vast majority of investors don’t understand.