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
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