CherylNg
2021-05-12
Wow
ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK伽马&QQQrash背后的真正原因是什么？</blockquote>
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ARKK's vicious circle and CTA Deleveraging.</p><p><blockquote>QQQcrash背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote></p><p> Nomura's Charlie McElligott warns that the monstrous ~$20B ARKK active ETF is getting absolutely<b>torched in recent weeks amid a negative feedback loop from the mega-high growth / high multiple / “unprofitable” single-names.</b></p><p><blockquote>野村证券(Nomura)的Charlie McElligott警告称，高达$20B的ARKK active ETF绝对会<b>最近几周，在超高增长/高倍数/“无利可图”的单一名称的负反馈循环中被烧毁。</b></blockquote></p><p> Critically, he explains,<b>the ETF itself now acting “shadow leverage” pressuring this selloff,</b>especially with their dubious risk management practice of heavily concentrated positioning into what are extraordinarily illiquid names.</p><p><blockquote>至关重要的是，他解释说，<b>ETF本身现在充当“影子杠杆”，给这次抛售带来压力，</b>尤其是他们可疑的风险管理实践，即严重集中投资于流动性极差的公司。</blockquote></p><p> Along with the inherently-extreme interest rate sensitivity within these hyper-growth / high-valuation names, this has made ARKK a popular downside play / hedge in the options space, with Dealers essentially max “short Gamma” near this current $98-100 level, while net Delta across options is ~ $-2B and essentially the low net Delta reading since start 2020.</p><p><blockquote>再加上这些高速增长/高估值名称固有的极端利率敏感性，这使得ARKK成为期权领域受欢迎的下行投资/对冲工具，交易商基本上在当前98-100美元附近最大“空头伽马”水平，而期权的净Delta约为-2B美元，基本上是自2020年初以来的最低净Delta读数。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"></p><p><blockquote></blockquote></p><p> But that is not the only driver of the chaos as<b>the Nomura QIS CTA Trend model showed massive deleveraging in Nasdaq yesterday into the down move</b>after the 3m window “sell trigger” was breached and flipped “short” (now joining the 2w and 1m windows as “short,” although neither of those has any signal loading), which overall turned the multi-year legacy “+100% Long” signal across all horizons down to just “+4.1% Long,” and implying ~$10.7B of notional selling in NQ futs in the deleveraging.</p><p><blockquote>但这并不是混乱的唯一驱动因素<b>野村QIS CTA趋势模型显示，纳斯达克昨天大规模去杠杆化进入下行走势</b>在3m窗口“卖出触发器”被突破并翻转为“空头”（现在加入2w和1m窗口为“空头”，尽管这两个窗口都没有任何信号加载）之后，这总体上将多年传统的“+100%多头”信号下调至仅“+4.1%多头”，这意味着去杠杆化过程中NQ期货的名义抛售量约为107亿美元。</blockquote></p><p> <b>And that was exaggerated from a “flows” perspective by the previously warned-about deep Dealer “short Gamma vs spot” in QQQs</b>we highlighted in recent notes as the center of Equities risk, which meant “accelerant” (delta hedging) flows into the selloff, with a now extremely negative $Gamma reading -$673mm (1.5%ile), while net Delta exploded lower to -$20B (1.6%ile).</p><p><blockquote><b>从“流量”的角度来看，这被之前警告的深度交易商“空头伽马vs现货”夸大了</b>我们在最近的报告中强调了股票风险的中心，这意味着“助燃剂”（Delta对冲）流入抛售，目前$Gamma读数为极端负值-6.73亿美元（1.5%ile），而净Delta则大幅下降至-$20B（1.6%ile）。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"></p><p><blockquote></blockquote></p><p> And Small Caps suffered the same as<b>IWM options too showing Dealers DEEP “short Gamma vs spot”</b>still (flips way up at 226.68) and overall $Gamma -206mm (18%ile), while $Delta is -$8.9B (9.3%ile) and negative until 227.34.</p><p><blockquote>小盘股遭受的损失与<b>IWM期权也向经销商显示深度“空头伽马与现货”</b>仍然（大幅上涨至226.68），总体$gamma-206mm（18%ile），而$Delta为-$89亿（9.3%ile），直到227.34为负。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"></p><p><blockquote></blockquote></p><p> The question - amid this morning's panic-bid in IWM and QQQ - is it over?</p><p><blockquote>问题是——在今天早上IWM和QQQ的恐慌性竞标中——结束了吗？</blockquote></p><p> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"></p><p><blockquote></blockquote></p><p> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.</p><p><blockquote>我们怀疑不会，因为ARKK伽马恶性循环似乎不会很快消失。</blockquote></p><p> <b>The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.</b></p><p><blockquote><b>今天早上的戏剧性反弹可以用QQQ模型中有多少“偏差”来解释。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"></p><p><blockquote></blockquote></p><p> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.</p><p><blockquote>正如SpotGamma解释的那样，这支持了波动性更大的观点，交易商在纳斯达克走低时卖出，在纳斯达克上涨时买入。</blockquote></p><p></p>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK伽马&QQQrash背后的真正原因是什么？</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK伽马&QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">zerohedge</strong><span class=\"h-time small\">2021-05-11 23:08</span>\n</p>\n</h4>\n</header>\n<article>\n<p>Nomura's “futures imbalance” monitor showed<b>enormous sell pressure all day in NQ futs</b>across all lots sizes (the largest in at least 1m), but<b>particularly in our medium- and large- lot buckets, proxies for large HFs and Asset Managers aggressively selling / shorting...</b></p><p><blockquote>野村证券的“期货失衡”监测显示<b>NQ期货全天面临巨大抛售压力</b>跨所有批次大小（最大的至少1m），但是<b>特别是在我们的中批量和大批量桶中，大型HF和资产管理公司的代理人积极抛售/做空...</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/3b11c4266aecb4fc29b97f106da799c5\" tg-width=\"1248\" tg-height=\"600\" referrerpolicy=\"no-referrer\">Two things were behind the QQQcrash - ARKK's vicious circle and CTA Deleveraging.</p><p><blockquote>QQQcrash背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote></p><p> Nomura's Charlie McElligott warns that the monstrous ~$20B ARKK active ETF is getting absolutely<b>torched in recent weeks amid a negative feedback loop from the mega-high growth / high multiple / “unprofitable” single-names.</b></p><p><blockquote>野村证券(Nomura)的Charlie McElligott警告称，高达$20B的ARKK active ETF绝对会<b>最近几周，在超高增长/高倍数/“无利可图”的单一名称的负反馈循环中被烧毁。</b></blockquote></p><p> Critically, he explains,<b>the ETF itself now acting “shadow leverage” pressuring this selloff,</b>especially with their dubious risk management practice of heavily concentrated positioning into what are extraordinarily illiquid names.</p><p><blockquote>至关重要的是，他解释说，<b>ETF本身现在充当“影子杠杆”，给这次抛售带来压力，</b>尤其是他们可疑的风险管理实践，即严重集中投资于流动性极差的公司。</blockquote></p><p> Along with the inherently-extreme interest rate sensitivity within these hyper-growth / high-valuation names, this has made ARKK a popular downside play / hedge in the options space, with Dealers essentially max “short Gamma” near this current $98-100 level, while net Delta across options is ~ $-2B and essentially the low net Delta reading since start 2020.</p><p><blockquote>再加上这些高速增长/高估值名称固有的极端利率敏感性，这使得ARKK成为期权领域受欢迎的下行投资/对冲工具，交易商基本上在当前98-100美元附近最大“空头伽马”水平，而期权的净Delta约为-2B美元，基本上是自2020年初以来的最低净Delta读数。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"></p><p><blockquote></blockquote></p><p> But that is not the only driver of the chaos as<b>the Nomura QIS CTA Trend model showed massive deleveraging in Nasdaq yesterday into the down move</b>after the 3m window “sell trigger” was breached and flipped “short” (now joining the 2w and 1m windows as “short,” although neither of those has any signal loading), which overall turned the multi-year legacy “+100% Long” signal across all horizons down to just “+4.1% Long,” and implying ~$10.7B of notional selling in NQ futs in the deleveraging.</p><p><blockquote>但这并不是混乱的唯一驱动因素<b>野村QIS CTA趋势模型显示，纳斯达克昨天大规模去杠杆化进入下行走势</b>在3m窗口“卖出触发器”被突破并翻转为“空头”（现在加入2w和1m窗口为“空头”，尽管这两个窗口都没有任何信号加载）之后，这总体上将多年传统的“+100%多头”信号下调至仅“+4.1%多头”，这意味着去杠杆化过程中NQ期货的名义抛售量约为107亿美元。</blockquote></p><p> <b>And that was exaggerated from a “flows” perspective by the previously warned-about deep Dealer “short Gamma vs spot” in QQQs</b>we highlighted in recent notes as the center of Equities risk, which meant “accelerant” (delta hedging) flows into the selloff, with a now extremely negative $Gamma reading -$673mm (1.5%ile), while net Delta exploded lower to -$20B (1.6%ile).</p><p><blockquote><b>从“流量”的角度来看，这被之前警告的深度交易商“空头伽马vs现货”夸大了</b>我们在最近的报告中强调了股票风险的中心，这意味着“助燃剂”（Delta对冲）流入抛售，目前$Gamma读数为极端负值-6.73亿美元（1.5%ile），而净Delta则大幅下降至-$20B（1.6%ile）。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"></p><p><blockquote></blockquote></p><p> And Small Caps suffered the same as<b>IWM options too showing Dealers DEEP “short Gamma vs spot”</b>still (flips way up at 226.68) and overall $Gamma -206mm (18%ile), while $Delta is -$8.9B (9.3%ile) and negative until 227.34.</p><p><blockquote>小盘股遭受的损失与<b>IWM期权也向经销商显示深度“空头伽马与现货”</b>仍然（大幅上涨至226.68），总体$gamma-206mm（18%ile），而$Delta为-$89亿（9.3%ile），直到227.34为负。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"></p><p><blockquote></blockquote></p><p> The question - amid this morning's panic-bid in IWM and QQQ - is it over?</p><p><blockquote>问题是——在今天早上IWM和QQQ的恐慌性竞标中——结束了吗？</blockquote></p><p> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"></p><p><blockquote></blockquote></p><p> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.</p><p><blockquote>我们怀疑不会，因为ARKK伽马恶性循环似乎不会很快消失。</blockquote></p><p> <b>The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.</b></p><p><blockquote><b>今天早上的戏剧性反弹可以用QQQ模型中有多少“偏差”来解释。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"></p><p><blockquote></blockquote></p><p> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.</p><p><blockquote>正如SpotGamma解释的那样，这支持了波动性更大的观点，交易商在纳斯达克走低时卖出，在纳斯达克上涨时买入。</blockquote></p><p></p>\n<div class=\"bt-text\">\n\n\n<p> 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a></p>\n<p>为提升您的阅读体验，我们对本页面进行了排版优化</p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{"QQQ":"纳指100ETF","ARKK":"ARK Innovation ETF"},"source_url":"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1138008630","content_text":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots sizes (the largest in at least 1m), butparticularly in our medium- and large- lot buckets, proxies for large HFs and Asset Managers aggressively selling / shorting...\nTwo things were behind the QQQcrash - ARKK's vicious circle and CTA Deleveraging.\nNomura's Charlie McElligott warns that the monstrous ~$20B ARKK active ETF is getting absolutelytorched in recent weeks amid a negative feedback loop from the mega-high growth / high multiple / “unprofitable” single-names.\nCritically, he explains,the ETF itself now acting “shadow leverage” pressuring this selloff,especially with their dubious risk management practice of heavily concentrated positioning into what are extraordinarily illiquid names.\nAlong with the inherently-extreme interest rate sensitivity within these hyper-growth / high-valuation names, this has made ARKK a popular downside play / hedge in the options space, with Dealers essentially max “short Gamma” near this current $98-100 level, while net Delta across options is ~ $-2B and essentially the low net Delta reading since start 2020.\n\nBut that is not the only driver of the chaos asthe Nomura QIS CTA Trend model showed massive deleveraging in Nasdaq yesterday into the down moveafter the 3m window “sell trigger” was breached and flipped “short” (now joining the 2w and 1m windows as “short,” although neither of those has any signal loading), which overall turned the multi-year legacy “+100% Long” signal across all horizons down to just “+4.1% Long,” and implying ~$10.7B of notional selling in NQ futs in the deleveraging.\nAnd that was exaggerated from a “flows” perspective by the previously warned-about deep Dealer “short Gamma vs spot” in QQQswe highlighted in recent notes as the center of Equities risk, which meant “accelerant” (delta hedging) flows into the selloff, with a now extremely negative $Gamma reading -$673mm (1.5%ile), while net Delta exploded lower to -$20B (1.6%ile).\n\nAnd Small Caps suffered the same asIWM options too showing Dealers DEEP “short Gamma vs spot”still (flips way up at 226.68) and overall $Gamma -206mm (18%ile), while $Delta is -$8.9B (9.3%ile) and negative until 227.34.\n\nThe question - amid this morning's panic-bid in IWM and QQQ - is it over?\n\nWe suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.\nThe dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.\n\nAs SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.","news_type":1,"symbols_score_info":{"ARKK":0.9,"QQQ":0.9}},"isVote":1,"tweetType":1,"viewCount":2211,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":3,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/193343312"}
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