A cool $110 billion volatility trap
@Nomura estimates that a 2% SPX decline could trigger approximately $110 billion in mechanical selling across dealers, leveraged ETFs and volatility-control strategies.
At a 3% decline, that figure rises to almost $178 billion.
With systematic equity exposure already near the 95th percentile, the market is increasingly vulnerable to a self-reinforcing feedback loop.
Selling creates volatility.
Volatility creates more selling.
@Nomura estimates that a 2% SPX decline could trigger approximately $110 billion in mechanical selling across dealers, leveraged ETFs and volatility-control strategies.
At a 3% decline, that figure rises to almost $178 billion.
With systematic equity exposure already near the 95th percentile, the market is increasingly vulnerable to a self-reinforcing feedback loop.
Selling creates volatility.
Volatility creates more selling.