Traders blame short gamma positions for Nikkei vol jump

Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9

Japan securities
The Nikkei Stock Average Volatility Index hit 24.22 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

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: