ARKK Gamma & What's Really Behind The QQQrash?_老虎社区_美港股上老虎

ARKK Gamma & What's Really Behind The QQQrash?

zerohedge2021-05-11

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 ...

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Vincewjs
·2021-05-12
Just don't see a portfolio of mine without tech related investments...Tech is an important source to drive any economy forward since life existed...don't understand if anyone would ever bet against tech in the long run. Don't seem wise in my opinion
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snd
·2021-05-12
Haha
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snd
·2021-05-12
Great article, thanks thanks thanks.
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开开心心好心情的兄弟
·2021-05-12
Just buy more la. Don't be a scary cat. Trust the right side of innovation
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- L1324:
  did i bet on the wrong side? [捂脸]
  2021-05-12
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- 开开心心好心情的兄弟:
  stock is waiting game. only those if patient will win
  2021-05-13
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- 开开心心好心情的兄弟:
  those with patience will get the last laugh. endure 👍
  2021-05-14
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Xrealm
·2021-05-12
Old
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- Xrealm:
  foef
  2021-05-12
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Jkan
·2021-05-12
Gd
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- Xrealm:
  vub
  2021-05-12
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YauDK
·2021-05-12
I agree and love y’all, like and comment pls
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- imteng87:
  Like and comment pls. Thanks.
  2021-05-12
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CharlesKing
·2021-05-12
Like and comment plz👇👇👇
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DesmondChin
·2021-05-12
Woodie out of woods
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696e82ce
·2021-05-12
Up and down and up
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- MingXuan:
  hi
  2021-05-12
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Fish80
·2021-05-12
Ok
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- ponyinvestor:
  Response
  2021-05-12
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- CuriousPhD:
  Please reply to this comment
  2021-05-12
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kyawkh
·2021-05-12
Umm
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Atwosome
·2021-05-12
Two things were behind the QQQ crash - ARKK's vicious circle and CTA Deleveraging.
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JayTan
·2021-05-12
Like and comment
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- Green_cow:
  please like and comment
  2021-05-12
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- JayTan:
  Thks
  2021-05-12
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- MRMR:
  Ok
  2021-05-12
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Jassss
·2021-05-12
Like and comment pls
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- grrrr_nt:
  done. pls reply to this comment!
  2021-05-12
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- Jassss:
  Sure
  2021-05-12
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- 40c9acb5:
  Done. Pls like n comment
  2021-05-12
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1Man2Stonks
·2021-05-12
Nice wood
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Ericlam
·2021-05-12
Stay calm
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- SR050321:
  Yeah
  2021-05-12
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- Derrick0359:
  [Cool][Cool]
  2021-05-12
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- Ericlam:
  Nice
  2021-05-12
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1PerCentClub
·2021-05-12
Well read
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- Ericlam:
  Nice
  2021-05-12
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HoldTheDoor
·2021-05-12
Like and comment please
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- nicholastsj:
  please reply to comment
  2021-05-12
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- KFChen:
  Like n comment pls
  2021-05-12
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CherylNg
·2021-05-12
Wow
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- newbe1001:
  ooh
  2021-05-12
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futsacross all lots sizes (the largest in at least 1m), butparticularly in our medium- and large- lot buckets, proxies ...\n\n<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">网页链接</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":"QQQ","symbol_name":"纳指100ETF","start_time":0,"source_url":"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash","article_id":"1138008630","we_media_id":null,"thumbnails":[],"rights":null,"url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","pubTimestamp":1620745704,"columns":[],"sourceInfo":null,"weMediaInfo":null,"summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","collect":0,"end_time":0,"defaultTopTitle":"zerohedge.com","property":[],"viewcount":null,"language":"en","relate_stocks":{"QQQ":"纳指100ETF","ARKK":"ARK Innovation ETF"},"translate_title":"ARKK Gamma&QQQrash背后的真正原因是什么？","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{"ARKK":0.9,"QQQ":0.9},"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.","kind":"news","is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":false,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"isVideo":false,"video":null,"symbols":[],"gpt_button":0,"need_auth":false,"need_login_tip":false,"code":"91000000","status":"200"},"commentList":[{"id":193884634,"gmtCreate":1620779760028,"gmtModify":1631884222243,"author":{"id":"3580530961144265","authorId":"3580530961144265","name":"Vincewjs","avatar":"https://static.tigerbbs.com/b82f615cebf44420a077b013694f231d","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3580530961144265","idStr":"3580530961144265"},"htmlText":"Just don't see a portfolio of mine without tech related investments...Tech is an important source to drive any economy forward since life existed...don't understand if anyone&nbsp;would ever bet&nbsp;against tech in the long run. Don't seem wise in my opinion","listText":"Just don't see a portfolio of mine without tech related investments...Tech is an important source to drive any economy forward since life existed...don't understand if anyone&nbsp;would ever bet&nbsp;against tech in the long run. Don't seem wise in my opinion","text":"Just don't see a portfolio of mine without tech related investments...Tech is an important source to drive any economy forward since life existed...don't understand if anyone would ever bet against tech in the long run. Don't seem wise in my opinion","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193884634","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193176710,"gmtCreate":1620777783730,"gmtModify":1634196444815,"author":{"id":"3583811117795819","authorId":"3583811117795819","name":"snd","avatar":"https://static.tigerbbs.com/489eabf54a7f41df714f354de59deefd","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3583811117795819","idStr":"3583811117795819"},"htmlText":"Haha","listText":"Haha","text":"Haha","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193176710","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193176802,"gmtCreate":1620777755106,"gmtModify":1634196445373,"author":{"id":"3583811117795819","authorId":"3583811117795819","name":"snd","avatar":"https://static.tigerbbs.com/489eabf54a7f41df714f354de59deefd","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3583811117795819","idStr":"3583811117795819"},"htmlText":"Great article, thanks thanks thanks.&nbsp;","listText":"Great article, thanks thanks thanks.&nbsp;","text":"Great article, thanks thanks thanks.","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193176802","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193142663,"gmtCreate":1620777395952,"gmtModify":1631884222259,"author":{"id":"3569313801991301","authorId":"3569313801991301","name":"开开心心好心情的兄弟","avatar":"https://static.tigerbbs.com/dff103551cc901aee1ee3b3d32ec232c","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3569313801991301","idStr":"3569313801991301"},"htmlText":"Just buy more la. Don't be a scary cat. Trust the right side of innovation","listText":"Just buy more la. Don't be a scary cat. Trust the right side of innovation","text":"Just buy more la. Don't be a scary cat. Trust the right side of innovation","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":4,"repostSize":0,"link":"https://laohu8.com/post/193142663","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4297279,"gmtCreate":1620778980785,"gmtModify":1635497603973,"authorId":3574119575606145,"author":{"id":3574119575606145,"idStr":"3574119575606145","authorId":3574119575606145,"name":"L1324","avatar":"https://static.tigerbbs.com/b05b9f32dd8af2590c80da38d48e37fc","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193142663,"type":1,"supId":0,"prevId":0,"content":"did i bet on the wrong side? [捂脸]","text":"did i bet on the wrong side? [捂脸]","html":"did i bet on the wrong side? [捂脸]"},{"id":4313881,"gmtCreate":1620903345351,"gmtModify":1635496280850,"authorId":3569313801991301,"author":{"id":3569313801991301,"idStr":"3569313801991301","authorId":3569313801991301,"name":"开开心心好心情的兄弟","avatar":"https://static.tigerbbs.com/dff103551cc901aee1ee3b3d32ec232c","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193142663,"type":1,"supId":0,"prevId":0,"content":"stock is waiting game. only those if patient will win","text":"stock is waiting game. only those if patient will win","html":"stock is waiting game. only those if patient will win"},{"id":4322494,"gmtCreate":1620959312984,"gmtModify":1635495645506,"authorId":3569313801991301,"author":{"id":3569313801991301,"idStr":"3569313801991301","authorId":3569313801991301,"name":"开开心心好心情的兄弟","avatar":"https://static.tigerbbs.com/dff103551cc901aee1ee3b3d32ec232c","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193142663,"type":1,"supId":0,"prevId":0,"content":"those with patience will get the last laugh. endure 👍","text":"those with patience will get the last laugh. endure 👍","html":"those with patience will get the last laugh. endure 👍"},{"id":4334383,"gmtCreate":1621051865073,"gmtModify":1635494702889,"authorId":3569313801991301,"author":{"id":3569313801991301,"idStr":"3569313801991301","authorId":3569313801991301,"name":"开开心心好心情的兄弟","avatar":"https://static.tigerbbs.com/dff103551cc901aee1ee3b3d32ec232c","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193142663,"type":1,"supId":0,"prevId":0,"content":"see the stock is rocket . 😉","text":"see the stock is rocket . 😉","html":"see the stock is rocket . 😉"}],"langContent":"EN"},{"id":193120804,"gmtCreate":1620776219108,"gmtModify":1634196474027,"author":{"id":"3563000008783601","authorId":"3563000008783601","name":"Xrealm","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3563000008783601","idStr":"3563000008783601"},"htmlText":"Old","listText":"Old","text":"Old","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/193120804","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4296452,"gmtCreate":1620776238836,"gmtModify":1635497677872,"authorId":3563000008783601,"author":{"id":3563000008783601,"idStr":"3563000008783601","authorId":3563000008783601,"name":"Xrealm","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193120804,"type":1,"supId":0,"prevId":0,"content":"foef","text":"foef","html":"foef"}],"langContent":"EN"},{"id":193162626,"gmtCreate":1620776023765,"gmtModify":1634196477287,"author":{"id":"3574381604982902","authorId":"3574381604982902","name":"Jkan","avatar":"https://static.tigerbbs.com/9e5803c697580c21a815764131d05679","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3574381604982902","idStr":"3574381604982902"},"htmlText":"Gd","listText":"Gd","text":"Gd","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/193162626","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4296454,"gmtCreate":1620776245343,"gmtModify":1635497677653,"authorId":3563000008783601,"author":{"id":3563000008783601,"idStr":"3563000008783601","authorId":3563000008783601,"name":"Xrealm","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193162626,"type":1,"supId":0,"prevId":0,"content":"vub","text":"vub","html":"vub"}],"langContent":"EN"},{"id":193169613,"gmtCreate":1620775765832,"gmtModify":1634196481885,"author":{"id":"3580072870029753","authorId":"3580072870029753","name":"YauDK","avatar":"https://static.tigerbbs.com/4e00c10df4000c04392220903422d15f","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3580072870029753","idStr":"3580072870029753"},"htmlText":"I agree and love y’all, like and comment pls&nbsp;","listText":"I agree and love y’all, like and comment pls&nbsp;","text":"I agree and love y’all, like and comment pls","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/193169613","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4297038,"gmtCreate":1620778379858,"gmtModify":1635497625037,"authorId":3567166157226906,"author":{"id":3567166157226906,"idStr":"3567166157226906","authorId":3567166157226906,"name":"imteng87","avatar":"https://static.tigerbbs.com/85b7b030b8b0786177d474964394bab4","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193169613,"type":1,"supId":0,"prevId":0,"content":"Like and comment pls. Thanks.","text":"Like and comment pls. Thanks.","html":"Like and comment pls. Thanks."}],"langContent":"EN"},{"id":193184652,"gmtCreate":1620775638276,"gmtModify":1634196484872,"author":{"id":"3579391265651951","authorId":"3579391265651951","name":"CharlesKing","avatar":"https://static.tigerbbs.com/d8fbdcf3295ba7f84c1f2205610ea968","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3579391265651951","idStr":"3579391265651951"},"htmlText":"Like and comment plz👇👇👇","listText":"Like and comment plz👇👇👇","text":"Like and comment plz👇👇👇","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193184652","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193183469,"gmtCreate":1620775344751,"gmtModify":1634196490650,"author":{"id":"3578983795474363","authorId":"3578983795474363","name":"DesmondChin","avatar":"https://static.tigerbbs.com/b90cb6b6a6c328ac8d02a829e5e7c835","vip":1,"hat":"https://static.tigerbbs.com/46b6808e1ba3716fb9c53339adffa3c5","crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3578983795474363","idStr":"3578983795474363"},"htmlText":"Woodie out of woods","listText":"Woodie out of woods","text":"Woodie out of woods","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193183469","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193114253,"gmtCreate":1620775089372,"gmtModify":1634196494265,"author":{"id":"3580551463324218","authorId":"3580551463324218","name":"696e82ce","avatar":"https://community-static.tradeup.com/news/default-avatar.jpg","vip":1,"crmLevel":1,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3580551463324218","idStr":"3580551463324218"},"htmlText":"Up and down and up","listText":"Up and down and up","text":"Up and down and up","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/193114253","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4296298,"gmtCreate":1620775611493,"gmtModify":1635497690797,"authorId":3568776369893575,"author":{"id":3568776369893575,"idStr":"3568776369893575","authorId":3568776369893575,"name":"MingXuan","avatar":"https://static.tigerbbs.com/b6843a33a5048452e1f1380ec02671e9","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193114253,"type":1,"supId":0,"prevId":0,"content":"hi","text":"hi","html":"hi"}],"langContent":"EN"},{"id":193118580,"gmtCreate":1620774770040,"gmtModify":1634196497711,"author":{"id":"3579321366191100","authorId":"3579321366191100","name":"Fish80","avatar":"https://static.tigerbbs.com/e53ac64d68affd90e51a67cfb81bed9c","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3579321366191100","idStr":"3579321366191100"},"htmlText":"Ok","listText":"Ok","text":"Ok","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":2,"repostSize":0,"link":"https://laohu8.com/post/193118580","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4296116,"gmtCreate":1620774845651,"gmtModify":1635497707931,"authorId":3575443999456708,"author":{"id":3575443999456708,"idStr":"3575443999456708","authorId":3575443999456708,"name":"ponyinvestor","avatar":"https://static.tigerbbs.com/138d1ebc8820019726a687f0ffe45994","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193118580,"type":1,"supId":0,"prevId":0,"content":"Response","text":"Response","html":"Response"},{"id":4296125,"gmtCreate":1620774879574,"gmtModify":1635497706948,"authorId":3581629167637532,"author":{"id":3581629167637532,"idStr":"3581629167637532","authorId":3581629167637532,"name":"CuriousPhD","avatar":"https://static.tigerbbs.com/6f2eb06a7bbc1da3f700038e46d4e807","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193118580,"type":1,"supId":4296116,"prevId":0,"content":"Please reply to this comment","text":"Please reply to this comment","html":"Please reply to this comment"}],"langContent":"EN"},{"id":193111897,"gmtCreate":1620774722119,"gmtModify":1634196498749,"author":{"id":"3581998173257990","authorId":"3581998173257990","name":"kyawkh","avatar":"https://static.tigerbbs.com/b6819d2405688957eac033bb43e588a5","vip":1,"crmLevel":12,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3581998173257990","idStr":"3581998173257990"},"htmlText":"Umm","listText":"Umm","text":"Umm","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193111897","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193113780,"gmtCreate":1620774711240,"gmtModify":1631888966794,"author":{"id":"3571305152732730","authorId":"3571305152732730","name":"Atwosome","avatar":"https://static.tigerbbs.com/2085a92415ef32924f70d916d490adce","vip":1,"crmLevel":13,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3571305152732730","idStr":"3571305152732730"},"htmlText":"Two things were behind the QQQ crash - ARKK's vicious circle and CTA Deleveraging.","listText":"Two things were behind the QQQ crash - ARKK's vicious circle and CTA Deleveraging.","text":"Two things were behind the QQQ crash - ARKK's vicious circle and CTA Deleveraging.","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193113780","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193138880,"gmtCreate":1620774313940,"gmtModify":1634196505991,"author":{"id":"3572397521268164","authorId":"3572397521268164","name":"JayTan","avatar":"https://static.tigerbbs.com/2df5c1d990871ccbfc0f26d4948532db","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3572397521268164","idStr":"3572397521268164"},"htmlText":"Like and comment","listText":"Like and comment","text":"Like and comment","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":3,"repostSize":0,"link":"https://laohu8.com/post/193138880","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4295977,"gmtCreate":1620774384414,"gmtModify":1635497721627,"authorId":3575343781681994,"author":{"id":3575343781681994,"idStr":"3575343781681994","authorId":3575343781681994,"name":"Green_cow","avatar":"https://static.tigerbbs.com/603310c8ab4fc6c85e66f974bd131b56","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193138880,"type":1,"supId":0,"prevId":0,"content":"please like and comment","text":"please like and comment","html":"please like and comment"},{"id":4296006,"gmtCreate":1620774459952,"gmtModify":1635497718909,"authorId":3572397521268164,"author":{"id":3572397521268164,"idStr":"3572397521268164","authorId":3572397521268164,"name":"JayTan","avatar":"https://static.tigerbbs.com/2df5c1d990871ccbfc0f26d4948532db","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193138880,"type":1,"supId":4295977,"prevId":0,"content":"Thks","text":"Thks","html":"Thks"},{"id":4296137,"gmtCreate":1620774961107,"gmtModify":1635497705963,"authorId":3567682378937076,"author":{"id":3567682378937076,"idStr":"3567682378937076","authorId":3567682378937076,"name":"MRMR","avatar":"https://static.tigerbbs.com/63b03b65cf15e03c531d0e1a8de459f1","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193138880,"type":1,"supId":0,"prevId":0,"content":"Ok ","text":"Ok ","html":"Ok "}],"langContent":"EN"},{"id":193195493,"gmtCreate":1620773879612,"gmtModify":1634196511047,"author":{"id":"3574244375315958","authorId":"3574244375315958","name":"Jassss","avatar":"https://static.tigerbbs.com/a1a74261bc0d795b37c8c963ee5393f0","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3574244375315958","idStr":"3574244375315958"},"htmlText":"Like and comment pls&nbsp;","listText":"Like and comment pls&nbsp;","text":"Like and comment pls","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":7,"repostSize":0,"link":"https://laohu8.com/post/193195493","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4295859,"gmtCreate":1620773941464,"gmtModify":1635497732712,"authorId":3578111596572453,"author":{"id":3578111596572453,"idStr":"3578111596572453","authorId":3578111596572453,"name":"grrrr_nt","avatar":"https://static.tigerbbs.com/6a2c25086cfc9041f98ee91fb15859a4","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193195493,"type":1,"supId":0,"prevId":0,"content":"done. pls reply to this comment!","text":"done. pls reply to this comment!","html":"done. pls reply to this comment!"},{"id":4295865,"gmtCreate":1620773961671,"gmtModify":1635497732061,"authorId":3574244375315958,"author":{"id":3574244375315958,"idStr":"3574244375315958","authorId":3574244375315958,"name":"Jassss","avatar":"https://static.tigerbbs.com/a1a74261bc0d795b37c8c963ee5393f0","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193195493,"type":1,"supId":4295859,"prevId":0,"content":"Sure","text":"Sure","html":"Sure"},{"id":4295919,"gmtCreate":1620774192144,"gmtModify":1635497726736,"authorId":3581823222182692,"author":{"id":3581823222182692,"idStr":"3581823222182692","authorId":3581823222182692,"name":"40c9acb5","avatar":"https://community-static.tradeup.com/news/default-avatar.jpg","vip":1,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193195493,"type":1,"supId":0,"prevId":0,"content":"Done. Pls like n comment","text":"Done. Pls like n comment","html":"Done. Pls like n comment"},{"id":4295980,"gmtCreate":1620774390137,"gmtModify":1635497721301,"authorId":3575343781681994,"author":{"id":3575343781681994,"idStr":"3575343781681994","authorId":3575343781681994,"name":"Green_cow","avatar":"https://static.tigerbbs.com/603310c8ab4fc6c85e66f974bd131b56","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193195493,"type":1,"supId":0,"prevId":0,"content":"please like and comment","text":"please like and comment","html":"please like and comment"},{"id":4298402,"gmtCreate":1620782882623,"gmtModify":1635497502617,"authorId":3574244375315958,"author":{"id":3574244375315958,"idStr":"3574244375315958","authorId":3574244375315958,"name":"Jassss","avatar":"https://static.tigerbbs.com/a1a74261bc0d795b37c8c963ee5393f0","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193195493,"type":1,"supId":4295980,"prevId":0,"content":"Sure","text":"Sure","html":"Sure"}],"langContent":"EN"},{"id":193105072,"gmtCreate":1620773240296,"gmtModify":1634196519767,"author":{"id":"3576990637797737","authorId":"3576990637797737","name":"1Man2Stonks","avatar":"https://static.tigerbbs.com/2c93182b4ac6670e37860fa9cbdfd2d4","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3576990637797737","idStr":"3576990637797737"},"htmlText":"Nice wood","listText":"Nice wood","text":"Nice wood","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/193105072","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":193374630,"gmtCreate":1620772688520,"gmtModify":1634196527334,"author":{"id":"3559787818034959","authorId":"3559787818034959","name":"Ericlam","avatar":"https://static.tigerbbs.com/f2154f4bb8afd22f8e6fde60b57acb69","vip":1,"crmLevel":12,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3559787818034959","idStr":"3559787818034959"},"htmlText":"Stay calm&nbsp;","listText":"Stay calm&nbsp;","text":"Stay calm","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":4,"repostSize":0,"link":"https://laohu8.com/post/193374630","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4295628,"gmtCreate":1620772759792,"gmtModify":1635497752667,"authorId":3577965120664925,"author":{"id":3577965120664925,"idStr":"3577965120664925","authorId":3577965120664925,"name":"SR050321","avatar":"https://static.tigerbbs.com/6ad8f48d49f7392730c39c441b79e8f0","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193374630,"type":1,"supId":0,"prevId":0,"content":"Yeah ","text":"Yeah ","html":"Yeah "},{"id":4295665,"gmtCreate":1620772941458,"gmtModify":1635497749409,"authorId":3574151642706297,"author":{"id":3574151642706297,"idStr":"3574151642706297","authorId":3574151642706297,"name":"Derrick0359","avatar":"https://static.tigerbbs.com/1e4377b13ebe2fd65f630bf249fd6624","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193374630,"type":1,"supId":0,"prevId":0,"content":"[Cool][Cool]","text":"[Cool][Cool]","html":"[Cool][Cool]"},{"id":4299484,"gmtCreate":1620788916935,"gmtModify":1635497404721,"authorId":3559787818034959,"author":{"id":3559787818034959,"idStr":"3559787818034959","authorId":3559787818034959,"name":"Ericlam","avatar":"https://static.tigerbbs.com/f2154f4bb8afd22f8e6fde60b57acb69","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193374630,"type":1,"supId":4295665,"prevId":0,"content":"Nice","text":"Nice","html":"Nice"},{"id":4299485,"gmtCreate":1620788926287,"gmtModify":1635497404613,"authorId":3559787818034959,"author":{"id":3559787818034959,"idStr":"3559787818034959","authorId":3559787818034959,"name":"Ericlam","avatar":"https://static.tigerbbs.com/f2154f4bb8afd22f8e6fde60b57acb69","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193374630,"type":1,"supId":4295628,"prevId":0,"content":"Nice","text":"Nice","html":"Nice"}],"langContent":"EN"},{"id":193344875,"gmtCreate":1620772019497,"gmtModify":1634196535547,"author":{"id":"3574026189533561","authorId":"3574026189533561","name":"1PerCentClub","avatar":"https://static.tigerbbs.com/137535c7b4b589ca0f194fe3094266bf","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3574026189533561","idStr":"3574026189533561"},"htmlText":"Well read","listText":"Well read","text":"Well read","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":6,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/193344875","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4295605,"gmtCreate":1620772699450,"gmtModify":1635497755164,"authorId":3559787818034959,"author":{"id":3559787818034959,"idStr":"3559787818034959","authorId":3559787818034959,"name":"Ericlam","avatar":"https://static.tigerbbs.com/f2154f4bb8afd22f8e6fde60b57acb69","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193344875,"type":1,"supId":0,"prevId":0,"content":"Nice","text":"Nice","html":"Nice"}],"langContent":"EN"},{"id":193348232,"gmtCreate":1620771686826,"gmtModify":1634196538995,"author":{"id":"3580469278772937","authorId":"3580469278772937","name":"HoldTheDoor","avatar":"https://static.tigerbbs.com/635db0f1af7cd6ef4ce184b75309a7b0","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3580469278772937","idStr":"3580469278772937"},"htmlText":"Like and comment please&nbsp;","listText":"Like and comment please&nbsp;","text":"Like and comment please","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":2,"repostSize":0,"link":"https://laohu8.com/post/193348232","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4295457,"gmtCreate":1620771742578,"gmtModify":1635497769165,"authorId":3574929829220175,"author":{"id":3574929829220175,"idStr":"3574929829220175","authorId":3574929829220175,"name":"nicholastsj","avatar":"https://static.tigerbbs.com/d43d1a543e192369160adfc42ef5e783","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193348232,"type":1,"supId":0,"prevId":0,"content":"please reply to comment","text":"please reply to comment","html":"please reply to comment"},{"id":4295830,"gmtCreate":1620773781940,"gmtModify":1635497735539,"authorId":3576990193651421,"author":{"id":3576990193651421,"idStr":"3576990193651421","authorId":3576990193651421,"name":"KFChen","avatar":"https://static.tigerbbs.com/6830fa3fe8a82d29953fbb2e6153801e","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193348232,"type":1,"supId":4295457,"prevId":0,"content":"Like n comment pls","text":"Like n comment pls","html":"Like n comment pls"}],"langContent":"EN"},{"id":193343312,"gmtCreate":1620771550036,"gmtModify":1634196541337,"author":{"id":"3577235917796406","authorId":"3577235917796406","name":"CherylNg","avatar":"https://static.tigerbbs.com/aad1b16bd20201f59eb61ea7b053a21e","vip":1,"crmLevel":11,"crmLevelSwitch":0,"wearingBadges":[],"authorIdStr":"3577235917796406","idStr":"3577235917796406"},"htmlText":"Wow","listText":"Wow","text":"Wow","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/193343312","repostId":1138008630,"repostType":4,"repost":{"id":"1138008630","kind":"news","pubTimestamp":1620745704,"share":"https://www.laohunote.com/m/news/1138008630?lang=zh_CN&edition=full","pubTime":"2021-05-11 23:08","market":"us","language":"en","title":"ARKK Gamma & What's Really Behind The QQQrash?<blockquote>ARKK Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1138008630","media":"zerohedge","summary":"Nomura's “futures imbalance” monitor showedenormous sell pressure all day in NQ futsacross all lots ","content":"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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>","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 Gamma&amp;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 Gamma&amp;QQQrash背后的真正原因是什么？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-11 23:08\n\n</h4>\n</header>\n<article>\nNomura'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...<blockquote>野村证券的“期货失衡”监测显示NQ futs 全天面临巨大抛售压力所有批次尺寸（最大的至少1米），但是特别是在我们的中手和大手桶中，大型HFs和资产管理公司的代理人积极卖出/做空……</blockquote> <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.<blockquote>QQQ崩盘背后有两件事——ARKK的恶性循环和CTA去杠杆化。</blockquote> Nomura'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.<blockquote>野村证券 (Nomura) 的 Charlie McElligott 警告说，巨额约 20B 美元的 ARKK active ETF 绝对会变得最近几周，在超高增长率/高倍数/“无利可图”的单曲带来的负面反馈循环中，该公司陷入了困境。</blockquote> Critically, 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.<blockquote>他批判性地解释道，ETF 本身现在充当 “影子杠杆 ”，对这种抛售施加压力、尤其是他们可疑的风险管理实践，高度集中投资于极其缺乏流动性的名称。</blockquote> 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.<blockquote>再加上这些高速增长/高估值股票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策略/对冲工具，交易商基本上在当前 98-100 美元的水平附近最大化 “空头伽马”，而期权的净增量约为 -20 亿美元，基本上是 2020 年初以来的最低净增量。</blockquote> <img src=\"https://static.tigerbbs.com/c3eb7d728c70027833b43afaaa862ecc\" tg-width=\"716\" tg-height=\"383\"><blockquote></blockquote> But 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.<blockquote>但这并不是混乱的唯一驱动因素野村 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趋势在 3m 窗口 “卖出触发器 ”被突破并被翻转为 “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，这使得所有期限的多年传统 “+100% 多头 ”信号总体上降至 “+4.1% 多头”，这意味着在去杠杆化过程中，名义上的卖出金额约为 107 亿美元。</blockquote> And 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).<blockquote>QQQs 中之前警告过的深度交易商 “短伽马与现货 ”从 “流量 ”的角度夸大了这一点。我们在最近的报告中强调了股票风险的中心，这意味着 “加速器”（delta 对冲）流入抛售，目前美元伽马读数为 -6.73 亿美元（1.5%ile），而净 delta 则暴跌至 -200 亿美元（1.6%ile）。</blockquote> <img src=\"https://static.tigerbbs.com/152632ec316a19852871d7bb0082d743\" tg-width=\"992\" tg-height=\"611\"><blockquote></blockquote> And 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.<blockquote>小盘股也遭受了同样的损失IWM期权也向交易商展示了深度“短伽马与现货”仍然（翻转至 226.68），总体 $Gamma 为 -206mm (18%ile)，而 $Delta 为 -$8.9B (9.3%ile)，直至 227.34 为负值。</blockquote> <img src=\"https://static.tigerbbs.com/471db617d1ea1d81df7cfc6d0ec0280f\" tg-width=\"977\" tg-height=\"604\"><blockquote></blockquote> The question - amid this morning's panic-bid in IWM and QQQ - is it over?<blockquote>问题是——在今天早上IWM和QQQ的恐慌中——结束了吗？</blockquote> <img src=\"https://static.tigerbbs.com/d6eaed5fb984ef5034fce79dc93442c5\" tg-width=\"1280\" tg-height=\"808\"><blockquote></blockquote> We suspect no, as that ARKK Gamma vicious circle doesn't appear to be disappearing anytime soon.<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> The dramatic rebound this morning is explained by just how much more “skew” there is in the QQQ model.<blockquote>今天上午的大幅反弹可以用 QQQ 模型中的 “偏差 ”来解释。</blockquote> <img src=\"https://static.tigerbbs.com/fc561407c4bc89a8f4ffe08e23f292ba\" tg-width=\"640\" tg-height=\"480\"><blockquote></blockquote> As SpotGamma explains,this supports that view of much larger volatility, both in dealers selling as Nasdaq moves lower and buying if Nasdaq rises.<blockquote>正如 SpotGamma 解释的那样，这支持了波动性更大的观点，无论是在纳斯达克走低时卖出，还是在纳斯达克上涨时买入。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/arkk-gamma-whats-really-behind-qqqrash\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\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,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4296531,"gmtCreate":1620776614089,"gmtModify":1635497671347,"authorId":3579598681489240,"author":{"id":3579598681489240,"idStr":"3579598681489240","authorId":3579598681489240,"name":"newbe1001","avatar":"https://static.tigerbbs.com/4766ee30ada4a9df74dddcb9ae1d7131","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[]},"repliedAuthorId":0,"objectId":193343312,"type":1,"supId":0,"prevId":0,"content":"ooh","text":"ooh","html":"ooh"}],"langContent":"EN"}],"hasMoreComments":true,"newsSizeData":{"likeSize":219,"commentSize":41,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false},"isCrawlerRequest":true}