JPM’s Marko Kolanovic: On the structural flow side we think conditions will however improve. With large option expiry tomorrow, a meaningful portion (~1/3) of short gamma will expire. This should reduce the chop and volatility going forward. Also given the weekly market seasonality (see here), post expiry week reversion should be a net positive for the market. Finally, over the next 10 days we will get into the month-end rebalancing period, which would prompt significant buying of equities. The stark underperformance of equities vs. bonds MTD leaves fixed-weight asset allocation portfolios ~4% underweight equities, which suggests they are likely to do a large rotation out of bonds and into equities to rebalance back to target weights. Our model suggests these flows could drive ~4% outperformance for equities during the last week of this month (all else equal), but given the record low liquidity and compounding effect of short gamma, the impact could be up to 4x times larger (e.g. in Dec’18 it was 2x our model estimate with the VIX at less than half its current level).