Nomura Warns ‘Watch For Vol Squeeze’ As Event-Risk Cluster Looms

Despite VIX being higher than Friday’s close for now, this first week of Sept (post Labor Day holiday) is likely lead to lower index vols, supporting equities into 9/11.

Nomura’s Charlie McElligott confirms that the Vol space has cooled-off as noted these past two weeks, with Dealers getting back a metric ton of their prior “Short Gamma” and are now “LONG Gamma vs Spot,” which has rallied as $Delta blows back higher (Calls pick-up, Puts roast) on an implied MASSIVE +$627B positive $Delta change over the past two weeks…