'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
A long-awaited regulatory inquest into the sudden collapse and rebound of US Treasury yields on October 15, 2014 has found volatility selling by buy-side firms may have played a part.
As reported by Risk in November last year, some market participants believed the most likely explanation for the violence of the move was a simultaneous unwind of short rates and short gamma positions by hedge funds and asset managers, which amplified trading in US Treasuries as their counterparties sought to delta
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