From MarketEar:
What about those CTAs and gamma dealers here?
Yesterday people were quoting Nomura’s quant and his take on positioning:
“…now increasingly outright ‘long gamma’…less spastic market moves”
Per our post yesterday “Where is that long gamma today…” we pointed out;
“Watch the downside should they “flip” to short gamma again….back to magnifying the moves once again.”
Nomura is out since then stating;
1) it has seen us trade back below the trigger level where the CTA position signal would yet-again pivot back “short” as the 84.6% loading in the 6m window would “flip” (a close below 2926 has signal to -69% short, while below 2805 goes back -100% short—albeit all on smaller gross $ exposure) while also critically (especially into weekly expiration),
2) this current spot ref ~2840 level is actually back (lower) to the “Gamma Neutral” level from yesterday’s typically insulating “Long Gamma”…now capable of slipping into outright “Short Gamma” on another surge lower.