September was the worst month for US stock benchmarks so far this year.1 There are lots of explanations doing the rounds – fiscal dominance in the US driving the sell-off in yields, weaker economic data, the typical reaction from equity markets to the last rate hike, and the bear steepening of the yield curve. All, no doubt, are playing a part. But the old adage that markets go down when there are more sellers than buyers rings true, and the end of September has seen a confluence of flow from short gamma dynamics and CTAs.

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