Earlier this week we published an in-depth note from Goldman laying out "all you need to know" about gamma and option-driven equity flows, which explained why "gamma has the potential to be one of the most important non-fundamental flows in equity markets (particularly when "short gamma" causes volatility to accelerate), but tracking gamma is complex and dynamic."

In this context, overnight Nomura's Charlie McElligott described Thursday's furious market moves from a "Greek" background, noting that the "Dealer gamma position flipped short midday yesterday in SPX/SPY consolidated options on the initial move through 3085 to the downside, which coincided with the level break lower around the EU cash equities close (where a number of large vol Dealers reside and thus, we often see signif moves in the US 10:45-11:45 EST window) and remained very heavy into/around the US cash close, when the majority of said US Dealer hedging occurs."

And while McEligott then pointed out that the overnight bounce helped push spot above the "gamma neutral" line of 3046 "as those vol Dealer flows subsided and / or “reset”—specially on the variance swap delta hedging side" the sharp selling seen in the past few minutes following the report that Florida Covid-19 cases jumped 2.8% to 70,971, the biggest daily jump since May 1, and compared with an average increase of 2% in the previous seven days, as deaths among Florida residents reached 2,877, an increase of 1%...

... dealer gamma is once again back in the red and well below its neutral position of 3,045 meaning that absent a sharp  thrust higher - perhaps with the help of retail buying where we are seeing the usual frenzied BTFDing...

... the pressure for the rest of Friday's session will be to the downside as dealers will be now forced to chase stocks lower.