After some gloomy comments from the Goldman and JPM trading desks yesterday, which noted how selling was "starting to turn disorderly" and it certainly did, today JPM's head of cash trading Matt Reiner doubles down on the doom, and in fact, a casual read of his note would suggest he is about to jump out the window.
But before we dissect his latest thoughts, here a quick reminder from Goldman star trader Brian Garrett who explains in his latest report (available to pro subs) how the double whammy of short gamma and forced CTA selling is sending stocks sharply lower today (something we first did yesterday):
In the gs calculus, the market is net short the largest amount of SPX gamma in the data’s history. $3.3 billion of short gamma, which increases if the tape trades lower …
our trading desk believes that this footprint coupled with CTA modelled flows is having a clear impact on markets the last few sessions (look no further than S&P MOC imbalances the last 8 days)
chart(s) of the day below: SPX $gamma positioning at spot per 100bps … and to put it in perspective, the number of ES1 futures that need to trade per 100bps to maintain the hedge