Nomura Warns Traders Are "Hate-Selling" Index Vol; CTA Drawdowns Surge On Macro 'Regime-Shift'

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by Tyler Durden
Monday, Nov 27, 2023 - 06:05 PM

The "new regime" continues, according to Nomura's cross-asset strategist Charlie McElligott, albeit it at a slower pace than the "everything ripper" seen through most of November, as the extremes of prior regime's "Asset Under-positioning" stops are now much cleaner.

  • Bullish Bonds & STIRS (with downside continuing to be liquidated / unwound, as per large sales of SFRZ3 Put Flys and Put Spreads overnight)...

  • along with of course Bullish Stocks...

  • ...and Short US Dollar vs Long EM / Euro (and, even some “Long Yen” / downside in USDJPY optionality continuing to increase targeting large BoJ normalization next yr).

With cross-asset vols hammered lower "for the right macro reasons", as McElligott puts it: