
Why vol markets shrugged off Nvidia rout
Gamma, autocalls and stock dispersion helped prevent a broader market meltdown

Record levels of stock dispersion, long gamma positioning among dealers and a large stock of outstanding autocallable bonds helped avert a wider market meltdown on Monday, January 27.
Having reacted violently to last August’s yen carry trade unwind, volatility markets largely brushed off Monday’s massive decline in Nvidia and other semiconductor stocks, which wiped $1 trillion off the US stock market.
The selloff left little imprint on the wider volatility markets, besides a slight flattening of
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