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2021-09-21
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Pros Increased 'Crash' Protection As Reflexive Vol-Sellers Rescued Stocks Yesterday<blockquote>随着反射性批量卖家昨天救助股票，专业人士增加了“崩盘”保护</blockquote>
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What changed?</p><p><blockquote>那发生了什么？有什么变化？</blockquote></p><p> Nomura's Charlie McElligott explains that<b>there is simply no way to overstate the power of the “reflexive vol sellers” into another spike, as this “sell the rip (in vol)” = “buy the dip (in stocks),”</b>particularly as it related Put sellers either directionally shorting “rich” vols yday…and “long sellers” who monetized their downside hedges by the close (a lot of that being 1d SPY Puts from Retail “day traders” which doesn’t show in OI), creating $Delta to buy and again self-fulfilling yet another “turnaround Tuesday”</p><p><blockquote>野村证券的查理·麦切利戈特解释说<b>根本没有办法夸大“反射性成交量卖家”在另一次飙升中的力量，因为这种“逢低卖出（成交量）”=“逢低买入（股票）”。</b>尤其是当它涉及看跌期权卖家，他们要么定向做空“富裕”期权……要么在收盘前将下跌对冲货币化的“多头卖家”（其中很多是零售“日内交易者”的一维SPDR标普500指数ETF看跌期权，这些看跌期权并未出现在 OI 中），从而创造了可供买入的美元三角洲，并再次实现了又一个“周二扭亏为盈”。</blockquote></p><p> <b>Critically, that Delta buying in the late day was hugely important then in reducing the absolute $ of systematic deleveraging “accelerant” flows,</b>because only closing down -170bps in SPX then meant a much more manageable -$24.7B of Vol Control de-allocation in coming days, as opposed to what would have been a much more challenging -$62.9B to digest which we estimate would have been triggered off of a “-3% close”…while similarly, Leveraged ETFs only needed to rebalance -$5.9B at EOD, as opposed to a hypothetical -$8.9B assumed at the low of the day</p><p><blockquote><b>至关重要的是，达美航空在当天晚些时候的买入对于减少系统性去杠杆化“加速器”流动的绝对值至关重要。</b>因为SPX指数收盘价仅下跌170个基点，就意味着未来几天将有更容易管理的247亿美元的成交量控制解除分配，而我们估计这将是由“-3%的收盘价”引发的629亿美元消化……同样，杠杆ETF只需在EOD时重新平衡59亿美元，而假设在当日低点时重新平衡89亿美元。</blockquote></p><p> Specifically,as SpotGamma details, the chart below shows that puts were net closed at all strikes above 4365 SPX (and 435 SPY) but there were fairly substantial positions added to lower strikes.</p><p><blockquote>具体来说，正如 SpotGamma 详细介绍的那样，下图显示，在 4365 SPX（和 435 SPDR标普500指数ETF）上方的所有行权中，看跌期权均净平仓，但在较低的行权中增加了相当多的头寸。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/25f8ce90d9cfdede70ef98382459a6cd\" tg-width=\"1024\" tg-height=\"192\" width=\"100%\" height=\"auto\"><b>This indicates puts were rolled rather than outright closed</b>. Again, with the Fed tomorrow trades want to leave some protection on.</p><p><blockquote><b>这表明看跌期权是滚动的，而不是完全平仓的</b>同样，随着美联储明天的行动，交易希望留下一些保护措施。</blockquote></p><p> Put volume surged relative to calls yesterday...</p><p><blockquote>昨天看跌期权相对于评级激增……</blockquote></p><p> <img src=\"https://static.tigerbbs.com/a25913a2cabb6b46c8d7b33bfc4c1b56\" tg-width=\"1024\" tg-height=\"527\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> To Nomura's Charlie McElligott's amazement yesterday, we saw confirmation of our repeated point made stating that “the only things that clears out all that “crash” pricing in vol metrics is a crash”... yet it is<b>VERY worth noting then that we actually saw Skew still steepen further yday despite incredibly high levels of both ATM Vol and Skew</b>(SPX 1m 25delta Put Call Skew steepened 70bps, same gig for others: QQQ 64bps, IWM 37bps)...</p><p><blockquote>令野村证券的查理-麦切利戈特（Charlie McElligott）昨天惊讶的是，我们看到了我们反复提出的观点的证实，即 “唯一能消除销量指标中所有 ‘崩盘 ’定价的因素就是崩盘”...然而它是<b>非常值得注意的是，尽管 ATM Vol 和 Skew 的水平都非常高，但我们实际上看到 Skew 仍然进一步陡峭</b>（SPX 1m 25delta 看跌看涨期权偏斜 70 个基点，其他人也是如此：QQQ 64 个基点，IWM 37 个基点）...</blockquote></p><p> <img src=\"https://static.tigerbbs.com/9f28cb0a978b218edc50c0de19472a9c\" tg-width=\"1024\" tg-height=\"525\" width=\"100%\" height=\"auto\">...which tells us that<b>the Dealer “short Vol / short Skew” problem still remains lurking in background.</b></p><p><blockquote>这告诉我们<b>经销商的 “短卷/短偏”问题仍然潜伏在幕后。</b></blockquote></p><p> SpotGammaconcludes that its up to Powell tomorrow to set the next price move, which should be rather substantial due to the options positioning.<b>Negative gamma could strongly influence any selling to the downside.</b></p><p><blockquote>Spotgamma 得出结论，明天将由鲍威尔来设定下一次价格走势，由于期权定位，价格走势应该相当大。<b>负伽马可能会强烈影响任何下行抛售。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/f192cee29fb2e39a7c666e6159338989\" tg-width=\"640\" tg-height=\"610\" width=\"100%\" height=\"auto\">To the upside there is also a ton of fuel for an vanna-induced move if traders sell off their puts and crush the high implied volatility levels.<b>Therefore while today is likely about chop, the move out of Wednesday should be substantial.</b></p><p><blockquote>有利的一面是，如果交易者抛售看跌期权并打破高隐含波动率水平，那么瓦纳引发的波动也有大量燃料。<b>因此，虽然今天可能会大幅下跌，但周三的走势应该是实质性的。</b></blockquote></p><p></p>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; 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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\">\nPros Increased 'Crash' Protection As Reflexive Vol-Sellers Rescued Stocks Yesterday<blockquote>随着反射性批量卖家昨天救助股票，专业人士增加了“崩盘”保护</blockquote>\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">zerohedge</strong><span class=\"h-time small\">2021-09-21 22:39</span>\n</p>\n</h4>\n</header>\n<article>\n<p>A dramatic rebound in stocks - off the S&P's 100DMA - has prompted many commission-rakers and asset-gatherers today to call the end of the Evergrande event and signal the all-clear to new highs.</p><p><blockquote>股市大幅反弹——低于标准普尔 100DMA——促使许多佣金收集者和资产收集者今天看涨期权恒大事件的结束，并标志着一切准备就绪，创下新高。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/1786f12c41a5427f9277711dd6122fa2\" tg-width=\"1280\" tg-height=\"734\" width=\"100%\" height=\"auto\">So what happened? What changed?</p><p><blockquote>那发生了什么？有什么变化？</blockquote></p><p> Nomura's Charlie McElligott explains that<b>there is simply no way to overstate the power of the “reflexive vol sellers” into another spike, as this “sell the rip (in vol)” = “buy the dip (in stocks),”</b>particularly as it related Put sellers either directionally shorting “rich” vols yday…and “long sellers” who monetized their downside hedges by the close (a lot of that being 1d SPY Puts from Retail “day traders” which doesn’t show in OI), creating $Delta to buy and again self-fulfilling yet another “turnaround Tuesday”</p><p><blockquote>野村证券的查理·麦切利戈特解释说<b>根本没有办法夸大“反射性成交量卖家”在另一次飙升中的力量，因为这种“逢低卖出（成交量）”=“逢低买入（股票）”。</b>尤其是当它涉及看跌期权卖家，他们要么定向做空“富裕”期权……要么在收盘前将下跌对冲货币化的“多头卖家”（其中很多是零售“日内交易者”的一维SPDR标普500指数ETF看跌期权，这些看跌期权并未出现在 OI 中），从而创造了可供买入的美元三角洲，并再次实现了又一个“周二扭亏为盈”。</blockquote></p><p> <b>Critically, that Delta buying in the late day was hugely important then in reducing the absolute $ of systematic deleveraging “accelerant” flows,</b>because only closing down -170bps in SPX then meant a much more manageable -$24.7B of Vol Control de-allocation in coming days, as opposed to what would have been a much more challenging -$62.9B to digest which we estimate would have been triggered off of a “-3% close”…while similarly, Leveraged ETFs only needed to rebalance -$5.9B at EOD, as opposed to a hypothetical -$8.9B assumed at the low of the day</p><p><blockquote><b>至关重要的是，达美航空在当天晚些时候的买入对于减少系统性去杠杆化“加速器”流动的绝对值至关重要。</b>因为SPX指数收盘价仅下跌170个基点，就意味着未来几天将有更容易管理的247亿美元的成交量控制解除分配，而我们估计这将是由“-3%的收盘价”引发的629亿美元消化……同样，杠杆ETF只需在EOD时重新平衡59亿美元，而假设在当日低点时重新平衡89亿美元。</blockquote></p><p> Specifically,as SpotGamma details, the chart below shows that puts were net closed at all strikes above 4365 SPX (and 435 SPY) but there were fairly substantial positions added to lower strikes.</p><p><blockquote>具体来说，正如 SpotGamma 详细介绍的那样，下图显示，在 4365 SPX（和 435 SPDR标普500指数ETF）上方的所有行权中，看跌期权均净平仓，但在较低的行权中增加了相当多的头寸。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/25f8ce90d9cfdede70ef98382459a6cd\" tg-width=\"1024\" tg-height=\"192\" width=\"100%\" height=\"auto\"><b>This indicates puts were rolled rather than outright closed</b>. Again, with the Fed tomorrow trades want to leave some protection on.</p><p><blockquote><b>这表明看跌期权是滚动的，而不是完全平仓的</b>同样，随着美联储明天的行动，交易希望留下一些保护措施。</blockquote></p><p> Put volume surged relative to calls yesterday...</p><p><blockquote>昨天看跌期权相对于评级激增……</blockquote></p><p> <img src=\"https://static.tigerbbs.com/a25913a2cabb6b46c8d7b33bfc4c1b56\" tg-width=\"1024\" tg-height=\"527\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> To Nomura's Charlie McElligott's amazement yesterday, we saw confirmation of our repeated point made stating that “the only things that clears out all that “crash” pricing in vol metrics is a crash”... yet it is<b>VERY worth noting then that we actually saw Skew still steepen further yday despite incredibly high levels of both ATM Vol and Skew</b>(SPX 1m 25delta Put Call Skew steepened 70bps, same gig for others: QQQ 64bps, IWM 37bps)...</p><p><blockquote>令野村证券的查理-麦切利戈特（Charlie McElligott）昨天惊讶的是，我们看到了我们反复提出的观点的证实，即 “唯一能消除销量指标中所有 ‘崩盘 ’定价的因素就是崩盘”...然而它是<b>非常值得注意的是，尽管 ATM Vol 和 Skew 的水平都非常高，但我们实际上看到 Skew 仍然进一步陡峭</b>（SPX 1m 25delta 看跌看涨期权偏斜 70 个基点，其他人也是如此：QQQ 64 个基点，IWM 37 个基点）...</blockquote></p><p> <img src=\"https://static.tigerbbs.com/9f28cb0a978b218edc50c0de19472a9c\" tg-width=\"1024\" tg-height=\"525\" width=\"100%\" height=\"auto\">...which tells us that<b>the Dealer “short Vol / short Skew” problem still remains lurking in background.</b></p><p><blockquote>这告诉我们<b>经销商的 “短卷/短偏”问题仍然潜伏在幕后。</b></blockquote></p><p> SpotGammaconcludes that its up to Powell tomorrow to set the next price move, which should be rather substantial due to the options positioning.<b>Negative gamma could strongly influence any selling to the downside.</b></p><p><blockquote>Spotgamma 得出结论，明天将由鲍威尔来设定下一次价格走势，由于期权定位，价格走势应该相当大。<b>负伽马可能会强烈影响任何下行抛售。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/f192cee29fb2e39a7c666e6159338989\" tg-width=\"640\" tg-height=\"610\" width=\"100%\" height=\"auto\">To the upside there is also a ton of fuel for an vanna-induced move if traders sell off their puts and crush the high implied volatility levels.<b>Therefore while today is likely about chop, the move out of Wednesday should be substantial.</b></p><p><blockquote>有利的一面是，如果交易者抛售看跌期权并打破高隐含波动率水平，那么瓦纳引发的波动也有大量燃料。<b>因此，虽然今天可能会大幅下跌，但周三的走势应该是实质性的。</b></blockquote></p><p></p>\n<div class=\"bt-text\">\n\n\n<p> 来源：<a href=\"https://www.zerohedge.com/markets/pros-increased-crash-protection-reflexive-vol-sellers-rescued-stocks-yesterday?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29\">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":{".SPX":"S&P 500 Index",".DJI":"道琼斯","SPY":"标普500ETF",".IXIC":"NASDAQ Composite"},"source_url":"https://www.zerohedge.com/markets/pros-increased-crash-protection-reflexive-vol-sellers-rescued-stocks-yesterday?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1177198394","content_text":"A dramatic rebound in stocks - off the S&P's 100DMA - has prompted many commission-rakers and asset-gatherers today to call the end of the Evergrande event and signal the all-clear to new highs.\nSo what happened? What changed?\nNomura's Charlie McElligott explains thatthere is simply no way to overstate the power of the “reflexive vol sellers” into another spike, as this “sell the rip (in vol)” = “buy the dip (in stocks),”particularly as it related Put sellers either directionally shorting “rich” vols yday…and “long sellers” who monetized their downside hedges by the close (a lot of that being 1d SPY Puts from Retail “day traders” which doesn’t show in OI), creating $Delta to buy and again self-fulfilling yet another “turnaround Tuesday”\nCritically, that Delta buying in the late day was hugely important then in reducing the absolute $ of systematic deleveraging “accelerant” flows,because only closing down -170bps in SPX then meant a much more manageable -$24.7B of Vol Control de-allocation in coming days, as opposed to what would have been a much more challenging -$62.9B to digest which we estimate would have been triggered off of a “-3% close”…while similarly, Leveraged ETFs only needed to rebalance -$5.9B at EOD, as opposed to a hypothetical -$8.9B assumed at the low of the day\nSpecifically,as SpotGamma details, the chart below shows that puts were net closed at all strikes above 4365 SPX (and 435 SPY) but there were fairly substantial positions added to lower strikes.\nThis indicates puts were rolled rather than outright closed. Again, with the Fed tomorrow trades want to leave some protection on.\nPut volume surged relative to calls yesterday...\n\nTo Nomura's Charlie McElligott's amazement yesterday, we saw confirmation of our repeated point made stating that “the only things that clears out all that “crash” pricing in vol metrics is a crash”... yet it isVERY worth noting then that we actually saw Skew still steepen further yday despite incredibly high levels of both ATM Vol and Skew(SPX 1m 25delta Put Call Skew steepened 70bps, same gig for others: QQQ 64bps, IWM 37bps)...\n...which tells us thatthe Dealer “short Vol / short Skew” problem still remains lurking in background.\nSpotGammaconcludes that its up to Powell tomorrow to set the next price move, which should be rather substantial due to the options positioning.Negative gamma could strongly influence any selling to the downside.\nTo the upside there is also a ton of fuel for an vanna-induced move if traders sell off their puts and crush the high implied volatility levels.Therefore while today is likely about chop, the move out of Wednesday should be substantial.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":2689,"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":7,"subscribersOnly":false,"subscribersOnlyAccessible":false,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/869985903"}
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