Quantitative funds and leveraged ETFs sold off $70 billion in a single day, with another $50 billion in selling still to come.
According to Odaily, a JPMorgan report shows that the S&P 500 plunged 4.4% in a single day, while the Nasdaq 100 tumbled 6.4%. CTAs and leveraged ETFs collectively sold more than $70 billion that day, with leveraged ETFs selling over $60 billion in exposure, about 90% of it concentrated in tech products.
More notably, volatility-targeting funds still have about $50 billion in exposure to sell over the next few days, as their target leverage ratio falls from around the 67th percentile to the 30th percentile. The implied short gamma exposure of leveraged ETFs has dropped from about $7.5 billion per 1% move in volatility to about $6.5 billion.
The outlook for crypto markets is bearish. BTC and the Nasdaq have been highly correlated over the past two years. The equity-market-style deleveraging is not over, and risk assets broadly lack buyers, with high-beta altcoins under even greater pressure.
Scenario 1: If the remaining $50 billion in selling is gradually absorbed and volatility eases, the scale of passive selling may narrow. Scenario 2: If the market continues to fall, mechanical position reductions will remain a source of sustained pressure.
Are you more focused on how quickly the selling is absorbed, or on whether volatility can ease?
Source: Odaily
#BTC #ETH
Image 1: Quantitative funds and leveraged ETFs sell off $70 billion in a single day, with another $50 billion in selling still to come · Image from the source report
Image source: https://www.odaily.news/zh-CN/post/5213784
According to Odaily, a JPMorgan report shows that the S&P 500 plunged 4.4% in a single day, while the Nasdaq 100 tumbled 6.4%. CTAs and leveraged ETFs collectively sold more than $70 billion that day, with leveraged ETFs selling over $60 billion in exposure, about 90% of it concentrated in tech products.
More notably, volatility-targeting funds still have about $50 billion in exposure to sell over the next few days, as their target leverage ratio falls from around the 67th percentile to the 30th percentile. The implied short gamma exposure of leveraged ETFs has dropped from about $7.5 billion per 1% move in volatility to about $6.5 billion.
The outlook for crypto markets is bearish. BTC and the Nasdaq have been highly correlated over the past two years. The equity-market-style deleveraging is not over, and risk assets broadly lack buyers, with high-beta altcoins under even greater pressure.
Scenario 1: If the remaining $50 billion in selling is gradually absorbed and volatility eases, the scale of passive selling may narrow. Scenario 2: If the market continues to fall, mechanical position reductions will remain a source of sustained pressure.
Are you more focused on how quickly the selling is absorbed, or on whether volatility can ease?
Source: Odaily
#BTC #ETH
Image 1: Quantitative funds and leveraged ETFs sell off $70 billion in a single day, with another $50 billion in selling still to come · Image from the source report
Image source: https://www.odaily.news/zh-CN/post/5213784
