At the peak of yesterday's yield spike-driven market plunge, Nomura's Charlie McElligott looked at his models and found that despite a frenzy of 0DTE Put Vol selling (to fund purchases of 0DTE calls no less) which created a lot of positive Delta over the day...
... stocks still stayed heavy all day (translating into what McElligott called a super-rare “below the lower Straddle band” day)...
