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      Gamma works both ways

      Recall that when dealer gamma flips negative on the way down, "dealers" have to puke deltas. The same works, but inversely, when markets bounce back. The deltas that were sold must be bought back, and as we bounce further more buying will be needed to "neutralize" the risk (all things equal).

      Pundits only pointing out one side of the "gamma flip" have little clue how volatility and options trading work.

      Gamma works both ways
      Source: Nomura
      Systematic macro

      The long is very long.

      Systematic macro
      Source: GS
      Could get nasty

      CTA downside convexity in a big down scenario in the coming month is rather big, but that is obviously not the base case. Thresholds: ST 6900, MT 6692 and LT 6260.

      Could get nasty
      Source: GS/TME
      Could get nasty
      Source: GS
      It's all about the economy

      As we outlined last week: "Surging U.S. economic surprises and a collapsing dollar don’t add up. Chasing dollar shorts here feels very late in the game." Citi economic surprises have surged even further since then...

      It's all about the economy
      Source: LSEG Workspace
      Watch them closely

      Dollar weekly hammers have been occurring at local market lows. The inverse, shooting stars/inverted hammers, have many times occurred at local market highs.

      Watch them closely
      Source: LSEG Workspace