According to Nomura’s Charlie McElligott, the “chokeheld” market is acting frozen because it is “stuffed to death on options Gamma”, with a ton of vol selling seen so far this week particularly in single names, whether via covered call overwriting and put underwriting, as well as due to “perpetual SPX strangle selling“, coupled with the ongoing slow bleed of of VIX ETN longs monetization into the latest “inflation scare” vol spike.
