Even though the particulars have been somewhat painful the past two sessions (driven by a maelstrom in momentum - see below), Nomura's Charlie McElligott points out that the major equity indices haven't been able to move much at all recently, as a function of Vol Supply and the extremely “Long Gamma” from the DECQ SPX 6055 Call that Dealers are stuffed-on...
...although if thanks to today's benevolent CPI print which strengthens the case for a Fed Dec 'Cut' that we were to see an SPX breakout above 6100, there is some 'Short Gamma' UPSIDE ACCELERANT FLOW–risk there...
