After "Legendary" Upside-Grab, Top Nomura Strategist Surveys The Damage, Sees Gamma 'Clustering Risk' Building

As we detailed a number of times last week, equity vol has had a wild start to August, with a violently under-positioned Buyside chasing Spot higher and torching Downside protection along the way.

Below, top Nomura strategist, Charlie McElligott, breaks down the mechanics behind the panic-bid, the shifting Dealer Gamma picture, and why the risk calculus may be starting to tilt (pro subs can read his full note here)...