Gamma jitters from defined outcome funds

Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses

An unlikely corner of the structured products market may be building up risky exposure for options dealers.

Yield enhancing options funds came under scrutiny earlier this year after economists blamed their soaring popularity for suppressing the Cboe Volatility Index, Vix. Experts largely dismiss fears that these instruments could spark a sudden reversal of low volatility in a repeat of 2018’s Volmaggedon unwind, when dealers were forced by gamma exposures from short vol exchange-traded funds to