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      Kolanovic on the recent equity rout - "blames" dealer short gamma and the CTAs

      Kolanovic basically says the equity market move post the ISM was mainly due to;

      1, dealer short gamma needed to sell quickly as index started moving sharply lower, " Technical flows likely drove more than ~$100bn of equities selling in a 48-hour period."

      2, CTA went from long, to selling out longs to selling the market short

      Notes that the inverse could easily happen should we climb a little higher (per Friday 50 bps), ie short gamma works both ways and CTAs could start buying.

      Size buying

      Garrett continues: "if everyone is so bearish, who is buying?"

      (un)natural answer = systematic community who have purchased ~100bn of global equities in the last 10 days.

      Size buying
      Source: GS
      You are consensus

      Goldman's derivatives guru Garrett: "if you’re bearish, you’re consensus … doesn’t mean you are wrong, but you are in the majority". On AAII sentiment he writes: "...investors have *never* been this consistently bearish… for 11 straight weeks, >50% or respondents have been negative on the market"

      You are consensus
      Source: GS