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While we have grown used to panic-bids suddenly appearing as US cash markets open, this morning's flash-smash higher across the most liquid major indices suggests all is not well (options gamma?)...

Nasdaq exploded higher before dumping...

As did The Dow..

This followed a mini-flash-crash in VIX as CPI data hit...

While the rest of the market (bonds and FX) did nothing at the open.

Nomura's Charlie McElligott provides some color behind what might have happened at the open.

It’s still about Funds managing their gross- / net- exposures and covering shorts laid-out over the month of May (which did their job and “hedged” longs while reducing overall net-exposure during the peak of the Equities drawdown)—thus far in June, “Crowded Shorts” are outperforming “HF Top 50 Longs” by over 190bps MTD (5.1% vs 3.2%) on the “squeeze”

Additionally, the most recent TFF futures positioning data showed us that Leveraged Funds bot +$4.4B of S&P last week on a cover (still -$9.6B net short), while Asset Managers too stopped their recent selling and added +$2.2B on the week (net long +$98B in aggregate).

SPX / SPY options positioning WoW fully reversed course, with net $Gamma now “long” at +$11.1B (57th %ile since 2013) and net $Delta now quite positive as well at +$222.9B (77th %ile) and both “flipped positive,” while too for QQQ (Nasdaq) we see a similar move with net $Gamma back positive at $205mm (70th %ile) and net $Delta now at the opposite extreme at +$6.4B (90th %ile.

Which tells you “nobody” has been taking-off their options hedges.

Maybe they just did a little at the open?