Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Short gamma positioning from structured products, macro flows and exchange-traded funds (ETFs) is being blamed for a sharp intraday Nikkei move earlier this month that saw the related volatility index jump a record 23%.
Traders, however, say a repeat is unlikely, as the Bank of Japan still has about $11 billion of capacity to support the market, and dealers are unlikely to leave their positions as exposed.
On November 9, the Nikkei 225 Stock Average broke the 23,000 level for the first time
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