BryanYewKeat
2021-09-21
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Pros Increased 'Crash' Protection As Reflexive Vol-Sellers Rescued Stocks Yesterday<blockquote>随着反射性成交量卖家昨天拯救股票，专业人士增加了“崩盘”保护</blockquote>
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What changed?</p><p><blockquote>那到底发生了什么？什么变了？</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 $Delta to buy and again self-fulfilling yet another “turnaround Tuesday”</p><p><blockquote>野村证券的Charlie McElligott解释说<b>根本没有办法夸大“反射性成交量卖家”的力量，导致另一次飙升，因为这“卖出（成交量）”=“逢低买入（股票）”，</b>特别是当它涉及看跌期权卖家要么定向做空“丰富”成交量日……要么在收盘时将下行对冲货币化的“多头卖家”（其中很多是来自零售“日内交易者”的1D SPDR标普500指数ETF看跌期权，这在OI中没有显示），创造$Delta购买并再次自我实现另一个“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，尾盘的Delta购买对于减少系统性去杠杆化“加速器”流量的绝对美元非常重要，</b>因为SPX仅收盘下跌-170bps就意味着未来几天Vol控制去分配更容易管理-$247亿，而不是更具挑战性的-$629亿消化，我们估计这将触发“-3%收盘价”……而同样，杠杆ETF只需要在EOD时重新平衡-$59亿，而不是在当天低点时假设的-$89亿</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）以上的所有罢工中，看跌期权均净平仓，但在较低的罢工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>这表明看跌期权被滚动而不是完全平仓</b>.同样，随着美联储明天的交易希望留下一些保护。</blockquote></p><p> Put volume surged relative to calls yesterday...</p><p><blockquote>昨天看跌期权成交量相对于评级飙升...</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(Nomura)的Charlie McElligott昨天惊讶的是，我们看到我们反复提出的观点得到了证实，即“唯一能清除vol指标中所有‘崩溃’定价的东西就是崩溃”...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将看涨期权斜率陡峭70个基点，其他指标相同：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“空头/空头偏斜”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的结论是，明天将由鲍威尔来设定下一次价格变动，由于期权定位，价格变动应该相当可观。<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>从好的方面来看，如果交易者抛售看跌期权并压低较高的隐含波动率水平，也将为万纳引发的走势提供大量燃料。<b>因此，虽然今天可能是关于chop的，但周三的变动应该是实质性的。</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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}\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\">\nPros Increased 'Crash' Protection As Reflexive Vol-Sellers Rescued Stocks Yesterday<blockquote>随着反射性成交量卖家昨天拯救股票，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——突破标准普尔100日均线——促使许多佣金掠夺者和资产收集者今天看涨期权恒大事件的结束，并标志着解除警报至新高。</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>那到底发生了什么？什么变了？</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 $Delta to buy and again self-fulfilling yet another “turnaround Tuesday”</p><p><blockquote>野村证券的Charlie McElligott解释说<b>根本没有办法夸大“反射性成交量卖家”的力量，导致另一次飙升，因为这“卖出（成交量）”=“逢低买入（股票）”，</b>特别是当它涉及看跌期权卖家要么定向做空“丰富”成交量日……要么在收盘时将下行对冲货币化的“多头卖家”（其中很多是来自零售“日内交易者”的1D SPDR标普500指数ETF看跌期权，这在OI中没有显示），创造$Delta购买并再次自我实现另一个“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，尾盘的Delta购买对于减少系统性去杠杆化“加速器”流量的绝对美元非常重要，</b>因为SPX仅收盘下跌-170bps就意味着未来几天Vol控制去分配更容易管理-$247亿，而不是更具挑战性的-$629亿消化，我们估计这将触发“-3%收盘价”……而同样，杠杆ETF只需要在EOD时重新平衡-$59亿，而不是在当天低点时假设的-$89亿</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）以上的所有罢工中，看跌期权均净平仓，但在较低的罢工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>这表明看跌期权被滚动而不是完全平仓</b>.同样，随着美联储明天的交易希望留下一些保护。</blockquote></p><p> Put volume surged relative to calls yesterday...</p><p><blockquote>昨天看跌期权成交量相对于评级飙升...</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(Nomura)的Charlie McElligott昨天惊讶的是，我们看到我们反复提出的观点得到了证实，即“唯一能清除vol指标中所有‘崩溃’定价的东西就是崩溃”...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将看涨期权斜率陡峭70个基点，其他指标相同：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“空头/空头偏斜”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的结论是，明天将由鲍威尔来设定下一次价格变动，由于期权定位，价格变动应该相当可观。<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>从好的方面来看，如果交易者抛售看跌期权并压低较高的隐含波动率水平，也将为万纳引发的走势提供大量燃料。<b>因此，虽然今天可能是关于chop的，但周三的变动应该是实质性的。</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":{".DJI":"道琼斯",".SPX":"S&P 500 Index",".IXIC":"NASDAQ Composite","SPY":"标普500ETF"},"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":{".SPX":0.9,".IXIC":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":1778,"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,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/869985903"}
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