Just minutes to go until the close so we'll make this quick: Nomura's cross-asset guru Charlie McElligott has calculated today's various Market on Close imbalances and has come up with a stunner.
According to Charlie, potential options dealer hedging/leveraged ETF rebalancing/CTA signal, all of whom have recently flipped short, are facing (cover)-to-long projected MECHANICAL “BUY flow” updates in Equities on the Trump Tariff goodwill pause / lowering of reciprocals move, with Nomura calculating some "WILDLY LARGE" $notional numbers from these sources of both “real” and “synthetic” Negative Gamma,in this case, all needing to “buy more” the higher the market goes, to wit:
- Leveraged ETF EOD Implied Rebalancing +$34.3B
- CTA Trend flip Short to Long Aggregate in Global Equities Futures +$35.3B
- Single-name Options Dealer Negative Gamma Hedging in “Mag-8” +$36.3B
- SPY Options Dealer Negative Gamma / Customer Call buying +$7.4B
