Doing some back of the envelope calculations on May #wti .. as of yesterday there was 109k open interest.. let’s assume 100k of that got squared up today 1/

May contract was down around $50 into the close.. let’s assume that on average most of the open interest was liquidated at down $20-25 on the day.. 2/

That means that there is a $2-2.5bn pnl hole out there.. I would also venture to guess that this pnl isn’t broadly spread out but is likely concentrated among a dozen firms 3/

This means there is a $200m negative pnl per firm among a dozen players.. some of the smaller players would be wiped out on this.. but even if you are a large $10bn fund, a $200m pnl still means a down 2% day which is a ton in this environment 4/

This would mean that risk managers even at these larger firms are likely forcing a risk reduction across the firm because a) there is at least a 2% pnl hit and b) VAR models are showing much bigger risk for same exposure 5/

This in turn implies that some of the strategies that worked recently might be under pressure for pnl on those being realized ( e.g. think Nasdaq overweights or momentum plays ) 6/

And all this is in addition to potential forced rather than voluntary and orderly conditions ism reduction by players who are facing margin calls after this historic oil move